PORTOFOLIO OPTIMAL DENGAN MULTI GROUP MODEL (SHORTSALES ALLOWED) (Studi Kasus Pada Saham-Saham LQ-45 di IDX Periode 2012-2013);OPTIMAL PORTFOLIO BY MULTI GROUP MODEL (SHORTSALES ALLOWED)

FREDY ARI PURWANDONO, Adhitya Ronnie Effendie

2013 | Skripsi | PROGRAM STUDI STATISTIKA

Mean Variance Method is a classical portfolio method which was introduced by Harry Markowitz on his article titled Portfolio Selection. This method is using variance and co variance matrix from securities, so as in certain cases which have many securities will take longer time in its solution. Meanwhile, this methode will not include risk free assets as portfolios construction. Then Elton, Gruber, Padberg on 1976 adviced Multi Group Model which divided stocks into certain groups based on its sectors. This new method, will include risk free assets into its solution. Multi Group Model Method is based on the correlation within the group are same for all the pairs in its group and the correlation for all pairs of stocks between group is the same. In this essay, will explanation about optimal portfolios construction by Multi Group Model Method, where will be compared by Mean Variance Method for specifying which method has better solution. Parameter is used by Sharpe Ratio.

Kata Kunci : Portofolio; Multi Group Model; Sharpe Ratio