Optimalisasi Portofolio Menggunakan Capital Asset Pricing Model (CAPM) dan Multi Index Model Pada Perusahaan LQ45

Arifin, Bayu (2024) Optimalisasi Portofolio Menggunakan Capital Asset Pricing Model (CAPM) dan Multi Index Model Pada Perusahaan LQ45. Tesis (S2) - thesis, Universitas Bakrie.

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Abstract

This study aims to determine the results of portfolio optimization using the Capital Asset Pricing Model (CAPM) and Multi Index Model in LQ45 companies. The research utilizes monthly stock data that consistently appear in the LQ45 index on the Indonesia Stock Exchange from 2012 to 2022. Seventeen stocks were selected: ADRO, ASII, BBCA, BBNI, BBRI, BMRI, ICBP, INCO, INDF, INTP, KLBF, MNCN, PTBA, SMGR, TLKM, UNTR, and UNVR. The data was collected from January 2012 to December 2022. Using the CAPM model, no optimal portfolio was formed. However, using the Multi Index Model, an optimal portfolio was formed consisting of four stocks: INDF, INTP, MNCN, and TLKM, generating a return of 0.28% and a risk of 1.29%. This study concludes that the Multi Index Model is capable of demonstrating optimal portfolio results.

Item Type:	Thesis (Tesis (S2) - )
Uncontrolled Keywords:	Portfolio, Index LQ45, CAPM Model, Multi Index Model.
Subjects:	Finance Finance > Investment Thesis > Thesis (S2)
Divisions:	Fakultas Ekonomi dan Ilmu Sosial > Program Studi Magister Management
Depositing User:	Bayu Arifin
Date Deposited:	30 Aug 2024 08:10
Last Modified:	30 Aug 2024 08:10
URI:	https://repository.bakrie.ac.id/id/eprint/10190

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