Optimal Portfolio Analysis Using Single Index Model

Rayna, Kartika Optimal Portfolio Analysis Using Single Index Model. In: International Conference. (Submitted)

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Abstract

This research aims to investigate the performance of the optimal portfolio and to determine the level of expected return and risk of the portfolio in LQ 45 for the period 2011-2014. The methodology o f this research is a quantitative design using Single Index Model. The sample of this research is all listed companies in LQ 45 which meet the sampling criteria. Using purposive sampling, there are 23 companies that can be used as samples with 6 periods of observation. The finding shows that only two companies can perform the optimal portfolio, namely; BBRI 92.34% and BMRI 7.65%. The other findings show the highest level of expected return is BBRI 9.31% and the highest risk comes to PT PP London Sumatera Indonesia Tbk (LSIP) amounted 0.43%. This research is only observed for four years and using LQ 45 Index. For further research, it is found that there are several method to determine and analyze the optimal portfolio. Keywords: Optimal portfolio, Expected return, Risk, LQ 45

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