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Title: Analisis pembentukan dan pengukuran risiko portofolio optimal pada saham Lq 45
Authors: Rifka Indi
Advisors: Pudji Astuty
Keywords: LQ 45 index, kupiec test, backtesting test, EWMA, value at risk, jensen index, single index modelsharpe index, markowitz model, optimal portfolio
Issue Date: 26-May-2017
Publisher: UIN Syarif Hidayatullah Jakarta: Fakultas Ekonomi dan Bisnis, 2017
Abstract: This study aims to analyze the optimal portfolio formation on LQ 45 stock and to know the potential maximum loss that will occur during the next day. The research objects consist of consistent stocks listed on the LQ 45 Index during the period of August 1, 2011 to July 29, 2016. The research methodology used in optimal portfolio formation is Single Index Model and Markowitz Model, with the measurement of portfolio performance using Sharpe Index, Treynor Index, and Jensen Index. The result of study shows that optimal portfolio with Single Index Model consists of three stocks namely BBCA, ICBP, and UNVR. While, optimal portfolio with Markowitz Model consists of five stocks namely BBCA, BBRI, ICBP, LPKR, and UNVR. From these two models, the calculation of Treynor Index and Jensen Index that generated by Single Index Model has a higher value compared than Markowitz Model, thus the optimal portfolio with Single Index Model has a better performance. Furthermore, risk measurement is calculated by Value at Risk (VaR) method with EWMA approach, because the return data is heteroscedasticity. Based on the result of Backtesting Test and Kupiec test, VaR on BBCA shares, UNVR shares, and optimal portfolio are valid.
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