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Liliana Chandra
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Economics, Econometrics & Finance

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Analisis Pembentukan Portofolio Optimal dengan Menggunakan Model Markowitz untuk Saham LQ 45 Periode 2008-2012 Chandra, Liliana; Hapsari, Yudith Dyah
Jurnal Manajemen Vol 11, No 1 (2014): Jurnal Manajemen
Publisher : Jurnal Manajemen

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (956.496 KB)

Abstract

The shares which are included in the LQ45 list attract investors., Make a portfolio diversification is necessary to minimize unsystematic risk. In this paper the authors wanted to construct an optimal portfolio in accordance with the theory of Markowitz.The data are taken from the yahoo.finance monthly data for stocks that are respectively included in LQ45 consistently in the period 2008 to 2012.. In establishing the optimal portfolio, the author uses the Linear Solver Microsoft Programming in Excel.Program. To determine the optimal portfolio,  17 shares which consistent listed in LQ45 in the period 2008 to 2012quired.. The Author formed 14 portfolios from the 14 stocks which have  positive return. Portfolio  Ewhich has the highest risk adjusted return (RAR) is selected
ANALISIS PEMBENTUKAN PORTOFO OPTIMAL DENGAN MENGGUNAKAN MODEL MARKOWITZ UNTUK SAHAM LQ 45 PERIODE 2008‐‐2012 Chandra, Liliana; Hapsari, Yudith Dyah
Jurnal Manajemen Vol 11 No 1 (2014): Jurnal Manajemen
Publisher : Fakultas Ekonomi dan Bisnis Universitas Katolik Indonesia Atma Jaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1009.334 KB)

Abstract

The shares which are included in the LQ45 list attract investors., Make a portfolio diversification is necessary to minimize unsystematic risk. In this paper the authors wanted to construct an optimal portfolio in accordance with the theory of Markowitz. The data are taken from the yahoo.finance monthly data for stocks that are respectively included in LQ45 consistently in the period 2008 to 2012.. In establishing the optimal portfolio, the author uses the Linear Solver Microsoft Programming in Excel.Program. To determine the optimal portfolio, 17 shares which consistent listed in LQ45 in the period 2008 to 2012quired.. The Author formed 14 portfolios from the 14 stocks which have positive return. Portfolio Ewhich has the highest risk adjusted return (RAR) is selected as the optimal portfolio.
Co-Authors Yudith Dyah Hapsari