<![CDATA[This study aims to determine 50 Leading Companies in Market Capitalization included optimal portfolio, the composition of stocks in optimal portfolio; and the expected return and risk of optimal portfolio. The type of research used in this research is descriptive research with quantitative approach . This study uses secondary data time series for the period 2012-2015. Data analysis method used is the analysis of stocks with single index model. The results showed 5 stocks of 31 samples including the optimal portfolio. The following stocks forming the optimal portfolio and its composition: AALI (1,15%), UNVR (5,36%), EMTK (41,00 %), HMSP (29,79 %), and ICBP (22,70 %). Portfolio that is formed will produce the expected return of a portfolio of 2,71 % and 0,14% of the portfolio risk. Keyword: Optimal Portfolio Composition, Single Index Model, Expected Return, Risk ABSTRAK Penelitian ini bertujuan untuk mengetahui saham 50 Leading Companies in Market Capitalization yang termasuk portofolio optimal, besarnya komposisi saham-saham dalam portofolio optimal; serta expected return dan risiko portofolio optimal. Jenis penelitian yang digunakan dalam penelitian ini adalah penelitian deskriptif dengan pendekatan kuantitatif. Penelitian ini menggunakan data sekunder berupa harga saham periode 2012-2015. Metode analisis data yang digunakan adalah analisis saham dengan single index model. Hasil penelitian menunjukkan dari 5 saham dari 31 sampel saham termasuk portofolio optimal. Berikut saham-saham pembentuk portofolio optimal beserta komposisinya: AALI (1,15%), UNVR (5,36%), EMTK (41,00%), HMSP (29,79%), dan ICBP (22,70%). Portofolio yang terbentuk akan menghasilkan expected return portofolio sebesar 2,71% dan tingkat risiko portofolio sebesar 0,14%. Kata kunci: Komposisi Portofolio Optimal, Single Index Model, Expected Return, Risiko]]>
