ANALISIS PERBANDINGAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL DAN MODEL MARKOWITZ (STUDI KASUS KOMPAS 100 PADA PERIODE AGUSTUS 2009- JULI 2012)

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ANALISIS PERBANDINGAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL DAN MODEL MARKOWITZ (STUDI KASUS KOMPAS 100 PADA PERIODE AGUSTUS 2009- JULI 2012)

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Title: ANALISIS PERBANDINGAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL INDEKS TUNGGAL DAN MODEL MARKOWITZ (STUDI KASUS KOMPAS 100 PADA PERIODE AGUSTUS 2009- JULI 2012)
Author: Anggraeni, Amalia
Abstract: This study aims to analyze Comparison of Optimal Portfolio Using Single Index Model and Markowitz model with case studies on 32 shares in Indonesia Stock Exchange Kompas100 period August 2009 - July 2012 . This type of research is explanatory survey.Metode data collection methods used were field observations in order to obtain secondary data . Quantitative method used is the method of the single index model and Markowitz model . Besides the different test is used to determine the average ratio of expected return and risk with Single Index Model and Model Markowitz . Research shows that the expectations generated Return on Single Index Model is of 2.59 % , with a risk level of 0.4 % . While the Markowitz model produced a smaller return expectations , ie 0.12 % and 0.02 % risk level . Comparative analysis of the expected return and risk of Single Index Model and Markowitz model using statistical tests independent t - test . Sig - t test results showed that using greater than 0.05 is 0.508 > 0:05 so that H0 is accepted , then there is a distinction between ecpected return Model Index single with Markowitz model the expected return on the Compass 100 the period August 2009 - July 2012 . While the results of the calculation Independent sig - t 0318 > 0.05 which states H0 is accepted , that there is a difference between risk and the risk of Single Index Model Markowitz model with the Compass 100 the period August 2009 - July 2012 .
URI: http://repository.widyatama.ac.id/xmlui/handle/123456789/3093
Date: 2014


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