OPTIMALISASI PORTOFOLIO SAHAM MENGGUNAKAN METODE MEAN ABSOLUTE DEVIATION DAN SINGLE INDEX MODEL PADA SAHAM INDEKS LQ-45

*Diah Wulandari  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Dwi Ispriyanti  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Abdul Hoyyi  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Received: 12 Feb 2020; Published: 13 Feb 2020.
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Open Access Copyright 2020 Jurnal Gaussian
License URL: http://creativecommons.org/licenses/by-nc-sa/4.0

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Abstract

Stock investment is the planting of money in a securities that indicates the ownership of a company in order to provide benefits in the future. In obtaining optimal results from stock investments, investors are expected to create a series of portfolios. The portfolio will help investors in allocating some funds in different types of investments in order to achieve optimal profitability. For selection of optimal stocks representing LQ-45 Index, used 2 methods of Mean Absolute Deviation (MAD) method and Single Index Model (SIM) method. In MAD method, 5 best stocks are BBCA with weight 23%, INDF 8%, KLBF 23%, TLKM 23%, and UNVR 23%. While the SIM method of candidate portfolio obtained is AKRA with weight 15,459%, BBCA 48,193%, BBNI 5,028%,KLBF 0,258% and TLKM 31,062%. Portfolio performance meter is used by sharpe ratio. The value of sharpe ratio is 0,36754 for optimal portfolio using MAD method and 0,40782 for optimal portfolio using SIM method, this means that optimal portfolio using SIM method has better performance than MAD.

 

Keywords: Investment, Portfolio, Index LQ-45, Mean Absolute Deviation, Single Index Model, Sharpe Ratio
Keywords: Investment, Portfolio, Index LQ-45, Mean Absolute Deviation, Single Index Model, Sharpe Ratio

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