PERBANDINGAN OPTIMISASI PORTOFOLIO METODE SINGLE INDEKS MODEL DENGAN METODE MEAN-SEMIVARIANCE; COMPARISON OF PORTFOLIO OPTIMIZATION METHOD WITH SINGLE INDEX MODEL MEAN-SEMIVARIANCE

PRASETYANINGRUM, ROHMI, Gunardi

2016 | Disertasi | FMIPA

Stocks are one alternative investments. In stock investing, investors will form a portfolio to reduce risk. One method is the optimal portfolio analysis using Single Index Model. This model is a simplified form of the model portfolio of Markowitz. Markowitz (1959) also argues that "the analysis based semivariansi tend to produce better portfolio than the portfolio based on variance". The establishment of optimal portfolios using Single Index Model. This model assumes that stock returns are affected by market returns. It seems that there is a causal relationship between two variables, which can be analyzed by linear regression analysis. The method used to estimate the parameters in the regression analysis is the least squares estimation. The basic provisions in determining members of the portfolio by single index model is all the shares will be accepted as the optimal portfolio. * ERB? C * will be accepted as the optimal portfolio. Portfolio optimization using the Mean-Semivariance not require the assumption of any distribution, so it is easier to use than the Mean-Variance. Computation was easy and the heuristic approach semivarian-semikovarian generated matrix that has the same shape and the completion of the variance-covariance matrix belonging Mean-Variance method. Then will be compared the performance between the portfolio optimization Mean-Semivariance with Single Index portfolio optimization model to determine who should be selected for the portfolio of investments. The portfolio will be chosen which has the best performance based on the value of Sharp Ratio. A portfolio that has the highest value of Sharp Ratio will be selected as the portfolio has the best performance.

Kata Kunci : mean-semivariance, single index model, sharp ratio.