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Abstract
Hasil penelitian menunjukkan terdapat saham yang menjadi kandidat portofolio dari 27 saham yang diteliti dengan nilai cut-off-point sebesar 0.76692. Portofolio optimal dibentuk oleh saham yang mempunyai excess returns to beta (ERB) lebih besar dari Ci, dan diperoleh 13 saham yang masuk perhitungan portofolio optimal. Komposisi atau proporsi dana masing-masing saham adalah PT. Adaro Energy Tbk sebesar 12.597%, PT. Gudang Garam Tbk sebesar 13.417%, PT. HM Sampoerna Tbk sebesar 12.418%, PT. Astra Otopart Tbk sebesar 2.679%, PT. Multi Bintang Indonesia Tbk sebesar 8.225%, PT. Astra Agro Lestari Tbk sebesar 6.846%, PT. Goodyear Indonesia Tbk sebesar 2.973%, PT. Indika Energy Tbk sebesar 5.377%, PT. United Tractors Tbk sebesar 13.88%, PT. Pabrik Kertas Tjiwi Kimia Tbk sebesar 1.494%, PT. Indofood Sukses Makmur Tbk sebesar 4.211%, PT. Astra International Tbk sebesar 12.549%, PT. Bank Negara Indonesia Tbk sebesar 3.335% dengan return portofolio sebesar 0.140997, risiko portofolio sebesar 0.099101 dan excess return to beta portofolio sebesar 0.881142.
| Item Type | Thesis (Skripsi) |
|---|---|
| Thesis Type | S1 |
| Creators | Creators NIM MIRA DWIASTUTI |
| Department | Manajemen |
| Uncontrolled Keywords | Model Indeks Tunggal, portofolio optimal, expected return, excess return to beta, cut-off-point. |
| Divisions | Fakultas Ekonomi dan Bisnis > S1 - Manajemen |
| Additional Information | elib mass import |
| Depositing User | Unnamed user with email library@trunojoyo.ac.id |
| Date Deposited | 13 Oct 2026 23:13 |
| Last Modified | 24 Oct 2026 16:43 |
| URI | https://repository.trunojoyo.ac.id/id/eprint/708 |
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