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All Journal Conference In Business, Accounting And Management (Cbam) 2012 Jurnal Keuangan dan Perbankan JBTI : Jurnal Bisnis : Teori dan Implementasi Ekonomi-Qu (Jurnal Penelitian Ilmu Ekonomi) JMBI UNSRAT (Jurnal Ilmiah Manajemen Bisnis dan Inovasi Universitas Sam Ratulangi) JWM (JURNAL WAWASAN MANAJEMEN) West Science Business and Management International Journal of Economics, Business and Innovation Research Jurnal Manajemen Maranatha Jurnal Akuntansi
C Ambar Pujiharjanto
Universitas Pembangunan Nasional “Veteran”, Yogyakarta
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Journal : West Science Business and Management

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Constructing an Optimal Portfolio with a Single Index Model on the Shares of Bumn Companies Listed in the IDXBUMN20 Index on the Indonesia Stock Exchange Bagus Wicaksono Kurniawan; C. Ambar Pujiharjanto; Nilmawati Nilmawati
West Science Business and Management Vol. 1 No. 05 (2023): West Science Business and Management
Publisher : Westscience Press

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.58812/wsbm.v1i05.499

Abstract

This study aims to determine the optimal portfolio using a single index model on the shares of state-owned companies listed in the IDXBUMN20 index on the Indonesia Stock Exchange. The population was 20 issuers and using purposive sampling, 13 issuers were obtained as samples. By using a single index model, the results show that 7 stocks make up the optimal portfolio with the proportion of funds as follows ANTM (27.52%), BBNI (24.02%), PTBA (17.86%), BMRI (15.08%), TINS (7.51%), BBRI (7.45%) and PGAS (0.56%). Measurement of portfolio performance using the Treynor method of 0.17233 is higher than market performance which has a value of 0.01441.
Co-Authors Ambarwati, Sri Dwi Ari Bagus Wicaksono Kurniawan Hasa Nurrohim KP Hasa Nurrohim KP, Hasa Nurrohim Joko Sukendro Ketut Nama Nilmawati Nilmawati Nilmawati Nilmawati R. Hendri Gusaptono Saifuddin Anshori Santosa, Budi Setyo Budi Hadi Sri Isworo Ediningsih Sri Isworo Ediningsih Sri Isworo Ediningsih Yuni Siswanti