PORTOFOLIO OPTIMAL DENGAN METODE BEST BETA CAPM ( Studi Kasus Pada Saham – Saham LQ-45 Periode 2010 – 2013 )

ASTRIANI KUSUMANINGRUM, Dr. Abdurakhman, M.Si.

2014 | Skripsi | STATISTIKA

Masalah 'best-beta' muncul yaitu pada potensi kesalahan pada model asset pricing Sharpe-Lintner-Hitam (CAPM) yang telah diakui. Dengan memasukkan variable target kedalam preferensi investor, diperoleh suatu best beta CAPM yang membahas perbandingan teori CAPM dan analisis sederhana dalam meningkatkan akurasi penetapan harga. Pengamatan empiris menunjukkan bahwa BCAPM diharapkan memprediksi hasil yang lebih baik dibandingkan dengan CAPM yaitu sekitar 20% sampai 30% per tahun. Kita tidak dapat menemukan, kita bisa setidaknya memperbaiki, kita dapat memberikan sedikit perkembangan.

The issue of 'best-beta’ arises as soon as potential errors in the Sharpe- Lintner-Black capital asset pricing model (CAPM) are acknowledged. By incorporating a target variable into the investor preferences, this study derives a best-beta CAPM (BCAPM) that maintains the CAPM's theoretical appeal and analytical simplicity yet unambiguously improves its pricing accuracy. Empirical observations suggest that the BCAPM predicts expected returns better than the CAPM by 20% to 30% annually. Where we cannot invent, we may at least improve; we may give somewhat of novelty to that which was old, condensation to that which was diffuse, perspicuity to that which was obscure, and currency to that which was recondite.

Kata Kunci : Resiko, Capital Asset Pricing Model ( CAPM ), Beta, Portofolio