Thomas Partono, - and Widiyanto, FE Pendidikan Ekonomi and Arief Yulianto, - and Handika Vidayanto, - (2017) The Analysis of Optimal Portfolio Forming with Single Index Model on Indonesian Most Trusted Companies. International Research Journal of Finance and Economics, 163. pp. 50-59. ISSN 1450-2887

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Abstract

This study aims to form the optimal portfolio in trusted company in Indonesia. This research is a descriptive research with quantitative approach and purposive sampling technique. The population is the Indonesian Most Trusted Companies with 33 sample companies, while the total sample of 27 companies. The analysis model is Single Index Model. The results of this research there are eight stocks forming the optimal portfolio, and the respective percentage of shares that UNVR by 23%, PGAS by 29%, JSMR by 24%, ADHI by 11%, NISP amounted to 2%, HMSP by 5%, and WEHA by 1%. Portfolios are formed also generate the expected return of 1.6% with 0,1% systematic risk and 0,1% unique risk and for the total risk is 4%. While the stock formed from the overall sample Indonesian Most Trusted Companies provide expected return of -0.4%, with a greater risk of 5%. Rational investors will choose investments into companies that have a single index model analysis on trusted companies.

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