Analisis Portofolio Optimal Saham Syariah Menggunakan Multi Index Models (Periode: 04 Januari 2010 – 1 Juli 2013)

Authors

  • Mulat Arja’i UIN Sunan Kalijaga
  • Mohammad Farhan Qudratullah UIN Sunan Kalijaga

DOI:

https://doi.org/10.14421/fourier.2013.22.105-111

Keywords:

multi-index models, the optimum portfolio, shariah stocks

Abstract

The portfolio is a combination or aggregation of two or more individual stock and concern for investors is to form the optimum portfolio and one of the ways that can be used are Multi-Index Models (MIM). This Model is a development of the Single Index Models (SIM), if on a SIM only consider one factor that affects the value of the stock, then return at MIM considers more than one factor. This study discusses the optimal portfolio analysis using Multi-Index Models with a case study on the stock of the Sharia Jakarta Islamic Index (JII) period 4 January 2010 – 1 July 2013 by using composite stock price index (IHSG), index Dow Jones Industrial Average (DJIA) and index the Hang Seng Index as a factor in MIM. The results of this research were obtained that the optimum portfolio is a portfolio that was created based on the stocks that had the highest positive return value, i.e. UNVR 41,40%, SMGR 40.66%, KLBF 11.01, and LPKR 6,93% with a value of expected return portfolio amounted to 2.55% and risk of a portfolio of 0,29%.

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Published

2013-10-31

How to Cite

Arja’i, M., & Qudratullah, M. F. (2013). Analisis Portofolio Optimal Saham Syariah Menggunakan Multi Index Models (Periode: 04 Januari 2010 – 1 Juli 2013). Jurnal Fourier, 2(2), 105–111. https://doi.org/10.14421/fourier.2013.22.105-111

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Section

Articles