Melola Discovery

← Melola Discovery

Prosiding

ANALYSIS OPTIMAL PORTFOLIO FORMATION USING SINGLE INDEX MODEL IN BANKING SECTOR (LQ-45) 2020-2021

Management Dynamics Conference 8 · Vol. 8 No. 1 (2023) · pp. 77–82

Published
2023-06-22
Publisher
FPJM
Language
en

Abstract

Abstract This study aims to determine the optimal portfolio formation using a single index model. With the aim to know and be a material consideration for investors when making investment decisions. This type of research is quantitative. The population using in this study is the LQ-45 index stock. The sampling technique using purposive sampling, banks registered in LQ-45 with a total sample of 5 shares selected. The type of data used is secondary data with the method of analysis using a single index model. From the results of calculations using the single index model approach, it shows that the five banking stocks listed on LQ-45 for the period June 2020 - June 2021 can form an optimal portfolio by owning each share portion, namely BMRI 35%, BBRI 30%, BBTN 18 %, BBCA 12% and BBNI 5%. So that the stocks that make up the optimal portfolio have a return of 0.0322 or 3% and a portfolio risk of 0.0242 or 2%. Abstrak Penelitian ini bertujuan untuk menentukan pembentukan portofolio optimal menggunakan model indeks tunggal. Tujuannya adalah untuk memberikan informasi dan pertimbangan bagi para investor dalam pengambilan keputusan investasi. Jenis penelitian ini adalah kuantitatif. Populasi yang digunakan dalam penelitian ini adalah saham indeks LQ-45. Teknik pengambilan sampel menggunakan purposive sampling, dengan memilih 5 saham perbankan terdaftar di LQ-45 sebagai sampel. Jenis data yang digunakan adalah data sekunder dengan metode analisis menggunakan model indeks tunggal. Dari hasil perhitungan menggunakan pendekatan model indeks tunggal, diperoleh bahwa lima saham perbankan yang terdaftar di LQ-45 periode Juni 2020 - Juni 2021 dapat membentuk portofolio optimal dengan kepemilikan masing-masing saham, yaitu BMRI 35%, BBRI 30%, BBTN 18%, BBCA 12%, dan BBNI 5%. Dengan demikian, saham-saham yang membentuk portofolio optimal memiliki tingkat pengembalian sebesar 0,0322 atau 3% dan risiko portofolio sebesar 0,0242 atau 2%.

Keywords

Collaboration network of the authors

24 authors · 36 co-authorship links

Hover or tap a name to highlight its co-authors. Double-click to open the author's page.

  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Cepi PahleviAffiliation unknown2
SYAMSU ALAMAffiliation unknown1
Halizah Putri IrianiAffiliation unknown1
Andi Kabila T SoseAffiliation unknown1
Rakhman LabaAffiliation unknown1
Andi Ratna Sari DewiAffiliation unknown1
Teguh PernandaAffiliation unknown1
HasdianaAffiliation unknown1
Ria MardianaAffiliation unknown1
Gora Anadi SantikaAffiliation unknown1
Dian A.S. ParawansaAffiliation unknown1
SumardiAffiliation unknown1
HerlianaAffiliation unknown1
SITI HAMIDAHAffiliation unknown1
Erlina PakkiAffiliation unknown1
Riska Prayoga YogaAffiliation unknown1
Dian ParawansaAffiliation unknown1
Rezaldy Giffary P. Ilham EcaAffiliation unknown1
Hamka Yudha PratamaAffiliation unknown1
Andi Ratna Sari DewiAffiliation unknown1
Fakhryadi AmranAffiliation unknown1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.unhas.ac.id/index.php/madic8/oai, first harvested 2 Nov 2026, last seen 2 Nov 2026.
Original metadata (oai_dc) 
<oai_dc:dc xmlns="http://www.openarchives.org/OAI/2.0/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:oai_dc="http://www.openarchives.org/OAI/2.0/oai_dc/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/  http://www.openarchives.org/OAI/2.0/oai_dc.xsd">
	<dc:title xml:lang="en">ANALYSIS OPTIMAL PORTFOLIO FORMATION USING SINGLE INDEX MODEL IN BANKING SECTOR (LQ-45) 2020-2021</dc:title>
	<dc:creator xml:lang="en">Muslim, Mutmainnah </dc:creator>
	<dc:creator xml:lang="en">Sobarsyah, M.</dc:creator>
	<dc:creator xml:lang="en">Aswan, Andi </dc:creator>
	<dc:subject xml:lang="en">Optimal Portofolio</dc:subject>
	<dc:subject xml:lang="en">Single Index Model</dc:subject>
	<dc:subject xml:lang="en">LQ-45 Index</dc:subject>
	<dc:description xml:lang="en">Abstract
This study aims to determine the optimal portfolio formation using a single index model. With the aim to know and be a material consideration for investors when making investment decisions. This type of research is quantitative. The population using in this study is the LQ-45 index stock. The sampling technique using purposive sampling, banks registered in LQ-45 with a total sample of 5 shares selected. The type of data used is secondary data with the method of analysis using a single index model.
From the results of calculations using the single index model approach, it shows that the five banking stocks listed on LQ-45 for the period June 2020 - June 2021 can form an optimal portfolio by owning each share portion, namely BMRI 35%, BBRI 30%, BBTN 18 %, BBCA 12% and BBNI 5%. So that the stocks that make up the optimal portfolio have a return of 0.0322 or 3% and a portfolio risk of 0.0242 or 2%.
Abstrak
Penelitian ini bertujuan untuk menentukan pembentukan portofolio optimal menggunakan model indeks tunggal. Tujuannya adalah untuk memberikan informasi dan pertimbangan bagi para investor dalam pengambilan keputusan investasi. Jenis penelitian ini adalah kuantitatif. Populasi yang digunakan dalam penelitian ini adalah saham indeks LQ-45. Teknik pengambilan sampel menggunakan purposive sampling, dengan memilih 5 saham perbankan terdaftar di LQ-45 sebagai sampel. Jenis data yang digunakan adalah data sekunder dengan metode analisis menggunakan model indeks tunggal. 
Dari hasil perhitungan menggunakan pendekatan model indeks tunggal, diperoleh bahwa lima saham perbankan yang terdaftar di LQ-45 periode Juni 2020 - Juni 2021 dapat membentuk portofolio optimal dengan kepemilikan masing-masing saham, yaitu BMRI 35%, BBRI 30%, BBTN 18%, BBCA 12%, dan BBNI 5%. Dengan demikian, saham-saham yang membentuk portofolio optimal memiliki tingkat pengembalian sebesar 0,0322 atau 3% dan risiko portofolio sebesar 0,0242 atau 2%.</dc:description>
	<dc:publisher xml:lang="en">FPJM</dc:publisher>
	<dc:date>2023-06-22</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.unhas.ac.id/index.php/madic8/article/view/25677</dc:identifier>
	<dc:source xml:lang="en">Management Dynamics Conference 8; Vol. 8 No. 1 (2023): MADIC ; 77-82</dc:source>
	<dc:language>en</dc:language>
	<dc:relation>https://journal.unhas.ac.id/index.php/madic8/article/view/25677/10033</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2023 Management Dynamics Conference 8</dc:rights>
</oai_dc:dc>