ANALISIS PENENTUAN PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL MARKOWITZ PADA PERUSAHAAN SEKTOR PERBANKAN YANG TERDAFTAR DALAM INDEKS LQ45 DI BURSA EFEK INDONESIA

Abstract

ABSTRACT
In stock investment activities in the capital market, an investor needs to
have expertise in minimizing the level of investment risk that must be borne. One
way that can be done by investors to minimize the risk level is to form a portfolio.
the determination of the shares of the candidate portfolio can be done using the
Markowitz model. The value of expected return is the value used as the basis for
calculating the Markowitz model. This study using six samples of banking sector
companies of BEI which selected by using purposive sampling method. Sample
selection results show that of the six shares of the banking sector companies there
are five shares of banking companies that can be used as a portfolio candidate. In
this study, five candidates of the company's optimal portfolio stocks are the shares
of BBCA (Bank Central Asia Tbk), BBNI (Bank Negara Indonesia Tbk), BBRI
(Bank Rakyat Indonesia Tbk), BMRI (Bank Mandiri Tbk) and BBTN (Bank
Tabungan Negara Tbk). from the establishment of this portfolio obtained portfolio
return rate of 16.21% and portfolio risk level or standard deviation that reached
the lowest point of 0.64%.
Keywords: investment, optimal portfolio, Markowitz model