BibTex Citation Data :
@article{J.Gauss26622, author = {Bramadita Fauziyyah and Alan Prahutama and Sudarno Sudarno}, title = {ANALISIS PORTOFOLIO OPTIMAL MENGGUNAKAN MULTI INDEX MODEL (Studi Kasus: Kelompok Saham IDX30 periode Januari 2014 – Desember 2018)}, journal = {Jurnal Gaussian}, volume = {8}, number = {1}, year = {2019}, keywords = {Investment; Optimum Portfolio; Multi Index Model}, abstract = { Investment is the placement of a number of funds at this time in the hope of making a profit in the future. The purpose of investors investing is to get many profit by understanding that there is a possibility of losses. But, the higher the expected return then the risk also greater. The method to minimize risk is portfolio. One of the optimum portfolio method is Multi Index Model. Multi Index Model is model that use more than one index or factor that affects the return on stock. The stock in this research is 10 stocks of IDX30 period January 2014 – December 2018. Index in this research is IHSG, Hang Seng Index and DJIA. Multi Index Model has assumptions: residual variance of stock i equals , variance of index j equals , E(c i ) = 0, covariance between index equals 0, covariance between the residual for stock and index equals 0 and covariance between the residual for stock equals 0. The result of this research is there are 4 stocks that fulfill the assumpions to be made as the optimum portfolio, that is GGRM (Gudang Garam Tbk) 23.67%, UNVR (Unilever Indonesia Tbk) 37.09%, BBCA (Bank Central Asia Tbk) 25.15% dan ASII (Astra International Tbk) 14.09% with a value of expected return portfolio is 1.19% and risk of portfolio is 3.79%. Keywords: Investment, Optimum Portfolio, Multi Index Model }, issn = {2339-2541}, pages = {58--67} doi = {10.14710/j.gauss.8.1.58-67}, url = {https://ejournal3.undip.ac.id/index.php/gaussian/article/view/26622} }
Refworks Citation Data :
Investment is the placement of a number of funds at this time in the hope of making a profit in the future. The purpose of investors investing is to get many profit by understanding that there is a possibility of losses. But, the higher the expected return then the risk also greater. The method to minimize risk is portfolio. One of the optimum portfolio method is Multi Index Model. Multi Index Model is model that use more than one index or factor that affects the return on stock. The stock in this research is 10 stocks of IDX30 period January 2014 – December 2018. Index in this research is IHSG, Hang Seng Index and DJIA. Multi Index Model has assumptions: residual variance of stock i equals , variance of index j equals , E(ci) = 0, covariance between index equals 0, covariance between the residual for stock and index equals 0 and covariance between the residual for stock equals 0. The result of this research is there are 4 stocks that fulfill the assumpions to be made as the optimum portfolio, that is GGRM (Gudang Garam Tbk) 23.67%, UNVR (Unilever Indonesia Tbk) 37.09%, BBCA (Bank Central Asia Tbk) 25.15% dan ASII (Astra International Tbk) 14.09% with a value of expected return portfolio is 1.19% and risk of portfolio is 3.79%.
Keywords: Investment, Optimum Portfolio, Multi Index Model
Article Metrics:
Last update:
The Authors submitting a manuscript do so on the understanding that if accepted for publication, copyright of the article shall be assigned to Media Statistika journal and Department of Statistics, Universitas Diponegoro as the publisher of the journal. Copyright encompasses the rights to reproduce and deliver the article in all form and media, including reprints, photographs, microfilms, and any other similar reproductions, as well as translations.
Jurnal Gaussian and Department of Statistics, Universitas Diponegoro and the Editors make every effort to ensure that no wrong or misleading data, opinions or statements be published in the journal. In any way, the contents of the articles and advertisements published in Jurnal Gaussian journal are the sole and exclusive responsibility of their respective authors and advertisers.
The Copyright Transfer Form can be downloaded here: [Copyright Transfer Form Jurnal Gaussian]. The copyright form should be signed originally and send to the Editorial Office in the form of original mail, scanned document or fax :
Dr. Rukun Santoso (Editor-in-Chief) Editorial Office of Jurnal GaussianDepartment of Statistics, Universitas DiponegoroJl. Prof. Soedarto, Kampus Undip Tembalang, Semarang, Central Java, Indonesia 50275Telp./Fax: +62-24-7474754Email: jurnalgaussian@gmail.com
Jurnal Gaussian by Departemen Statistika Undip is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Visitor Number:
View statistics
