%A NIM. 17106010017 LIA FEBRIYANTI
%O Moh. Farhan Qudratullah, S.Si., M.Si.
%T ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL DAN STOCHASTIC DOMINANCE
%X Investment is essentially spending some money or saving money on
something in the hope of getting additional or profit on that money. Investment in
stocks contained the term " high risk high return ". One way to reduce risk is to
diversify. Diversification can be realized by combining various stock options in
investment (forming an optimal portfolio).
In this study, the optimal portfolio was formed using two models, namely
the Single Index Model and Stochastic Dominance and measurement of the optimal
portfolio performance using the Treynor Index . The single index model is based on
the observation that the price of a security fluctuates in the same direction as the
market price index, while Stochastic Dominance is a technique for choosing risky
investments without having to pay attention to the distribution of investment returns
that must be normal. This study uses a case study on the Jakarta Islamic
Index (JII) sharia shares which are incorporated in the Indonesia Stock Exchange
(IDX). The sample taken in this study are stocks that have a value of The expected
return is greater than the return value of the risk-free asset ( E(Ri )  Rbr ) and 8
shares are obtained.
The results show that the Single Index Models and Stochastic Dominance
both produce five optimal portfolio candidate stocks. The highest proportion in the
Single Index Model is owned by INCO shares of 38.50% and the lowest proportion
is owned by ANTM shares of 3.50% with an expected portfolio return of 3.09% per
month and portfolio risk of 15.24% per month. Meanwhile the highest proportion
in Stochastic Dominance is owned by ICBP shares of 63.64% and ADRO, CTRA,
INCO and PTBA shares of 9.09% with an expected return of portfolio of 1.07% per
month and portfolio risk of 5.20% per month. From the results of portfolio
performance using the Single Index Model, the Treynor Index is 1.84% higher than
using Stochastic Dominance with a Treynor Index of 0.84%.
%K Optimal Portfolio, Single Index Model, Stochastic Dominance
%D 2021
%I UIN SUNAN KALIJAGA YOGYAKARTA
%L digilib48657