Analisis Portofolio Untuk Menentukan Expected Return Optimal dan Risiko Minimal pada Saham Perusahaan Telekomunikasi yang Terdaftar di Bursa Efek Indonesia

Long-term stock investment development is carried out by means of portfolio optimization. Selection of stocks for portfolios is not only based on high-value stock prices but also takes into account their fluctuations. Estimation of future stock price fluctuations has an indirect impact on future portfolio formation. This research has implemented the Kalman filter method to obtain the best estimation results from various stock prices with a high degree of accuracy. The results are then used to form a stock portfolio on the basis of Goal Programming. This study has compared the optimization results with the real value of stock prices. The results obtained, Kalman filter-based Goal Programming is more effective for predicting future portfolios compared to the Goal Programming method with a return difference of Rp. 178,039,848. This suggests that optimization with the Kalman Filter-based Objective Programming can be used as a tool to determine future stock portfolios.

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“…The calculation of the Expected return (profits expected by investors in the future) uses the equation [30] ( ) 100.000.000…”

Section: Methodsmentioning

confidence: 99%

Optimization of Stock Portfolios Using Goal Programming Based on the Kalman-Filter Method

Fauziyah

Purnaningrum

2021

J. Mat. Mantik

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“…According to Gozali (2009) referred to in (Paramitasari & Mulyono, 2016) the coefficient of determination (R2) measures how far the model's ability to explain variations in the dependent variable. The coefficient of determination ranges between zero (0) and one (1).…”

Section: Methodsmentioning

confidence: 99%

Reaction Of The Top 10 Capitalization Shares in the 2020 Pilpres Event

Praptiwi

Widjatmaka

2021

Eduvest

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This research is a study that aims to see whether there is empirical evidence of the reaction of the Indonesian capital market to international political events, namely the 2020 US Presidential Election using abnormal return indicators and trading volume activity. The research methodology used is event research. This study uses primary data taken from the first party and researchers get data directly from a questionnaire given to all employees of IT companies in the Special Region of Yogyakarta. The population in this study are stocks that are included in the top 10 capitalization companies in Indonesia. The sampling technique in this study used convinience sampling. The data collection technique in this study used a questionnaire equipped with an answer level as the choice of respondents to answer questions. The data analysis technique used multiple linear regression and the application used SPSS version 22. The results of the paired sample t-test statistical calculation both abnormal return and trading volume activity showed that there was no difference in the average abnormal return and trading volume activity before and after the event.

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“…Hubungan risiko dan return yang diharapkan dari suatu investasi merupakan hubungan yang searah dan linier. Artinya semakin besar risiko yang harus ditanggung, semakin besar pula tingkat return yang diharapkan (Paramitasari dan Mulyono, 2015).…”

Section: Bunclassified

Aplikasi Model Indeks Tunggal dalam Pembentukan Portofolio Optimal pada Data Harga Saham Indeks IDX30 di Bursa Efek Indonesia

Maudinatul

Sunendiari²

2021

JRS

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Abstract. The purpose of this study is to identify and analyze stocks that are included in the optimal portfolio on the IDX30 Index on the Indonesia Stock Exchange (IDX), the proportion of funds and the level of profit for each stock that can form a single index model for the optimal portfolio. The research method used is descriptive with a quantitative approach. The object of this research is secondary data, namely stock prices listed on the IDX30 Index in the period September 2014 – January 2021. The results of this study using a single index model show that from 30 companies there are 11 preferred stocks and the proportion of funds for each share is the value of the proportion the highest fund is BBCA of Rp. 30,025,989 and the lowest proportion of funds is BBTN of Rp. 845,917. Analysis of the level of expected return portfolio that will be obtained by investors is 2.52% and the risk level of the stock portfolio is 1.86%. Abstrak. Tujuan penelitian ini untuk mengetahui dan menganalisa saham-saham yang termasuk portofolio optimal pada Indeks IDX30 di Bursa Efek Indonesia (BEI), proporsi dana serta tingkat keuntungan pada masing-masing saham yang dapat membentuk model indeks tunggal portofolio optimal. Metode penelitian yang digunakan adalah deskriptif dengan pendekatan kuantitatif. Objek penelitian ini berupa data sekunder yaitu harga saham yang terdaftar pada Indeks IDX30 pada periode September 2014 – Januari 2021. Hasil penelitian ini dengan menggunakan model indeks tunggal menunjukkan bahwa dari 30 perusahaan terdapat 11 saham pilihan dan didapatkan proporsi dana masing-masing saham yaitu nilai proporsi dana tertinggi adalah BBCA sebesar Rp. 30.025.989 dan nilai proporsi dana terendah adalah BBTN sebesar Rp. 845.917. analisis tingkat expected return portofolio yang akan diperoleh oleh investor yaitu sebesar 2,52% dan tingkat risiko portofolio saham yaitu sebesar 1,86%.

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Analisis Portofolio Untuk Menentukan Expected Return Optimal dan Risiko Minimal pada Saham Perusahaan Telekomunikasi yang Terdaftar di Bursa Efek Indonesia

Cited by 4 publications

References 1 publication

Optimization of Stock Portfolios Using Goal Programming Based on the Kalman-Filter Method

Optimization of Stock Portfolios Using Goal Programming Based on the Kalman-Filter Method

Reaction Of The Top 10 Capitalization Shares in the 2020 Pilpres Event

Aplikasi Model Indeks Tunggal dalam Pembentukan Portofolio Optimal pada Data Harga Saham Indeks IDX30 di Bursa Efek Indonesia

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