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Perbandingan kinerja portfolio yang terbentuk dari saham-saham LQ45 dan JII dengan menggunakan metode efficient frontier
This research is aimed to know stocks constructing optimal portfolio from LQ45 index and JII. Then provide an overview about both portfolio performance. And explain optimal portfolio performance comparison base on one year investment simulation. Optimal portfolio is formed by efficient frontier method. While portfolio performance is refered to reward to variability ratio of each portfolio. The objects of this research are stocks which able to involve in LQ45 index and JII consistently. Research period is start from January 2003 until December 2006. Research period is devided in two groups. First periode is January 2003 until Desember 2005 for optimal portfolio construction. Second period is January 2006 until December 2006 for investment simulation for optimal portfolio. Base on the result from weekly data processing, it is known that the optimal portfolio from LQ45 index consist of 7 stocks while JII optimal portfolio consist of 5 stocks. Optimal portfolio of JII has higher expected return and risk than LQ45 optimal portfolio. And from investment simulation on both optimal portfolio, it is known that JII optimal portfolio can provide higher return with lower risk than LQ45optimal portfolio. Therefore reward to variabily ratio of JII portfolio is higher than LQ45 portfolio. So that, it can be said that JII portfolio performance is better than LQ45 portfolio performance.Ada tabel
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| 6093 | PSB lt.2 - Karya Akhir | 1 |
| Penerbit | Depok Departemen Manajemen Fakultas Ekonomi Universitas Indonesia., 2008 |
|---|---|
| Edisi | - |
| Subjek | Shares Share valuation Investment Performance Portfolio investment |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | xii, 119 p. : diagr. ; 30 cm. |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |