ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL DAN STOCHASTIC DOMINANCE

LIA FEBRIYANTI, NIM. 17106010017 (2021) ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL DAN STOCHASTIC DOMINANCE. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

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%.

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