Stock portofolio
230282763
A KA Model: an Optimization of the Stock's Portofolio
Abstract The elaborate proposes a compact alternative methodology to the classical stocks portfolio optimization based on the normal distribution of the returns of the assets named Adaptable Kurtosis Asymmetry model (A KA) In the financial theory is well known that odd order moments of a distribution describe a particular performance characteristic; on the contrary, the even order moments tell a precise sense of risk of a distribution of returns. If it is true that, in general terms, minimizing the variance also minimizes the volatility of portfolio return is also true that we should minimize the kurtosis to get away from unpleasant situations in case "Extreme" events occur, especially if negative. The idea behind this paper is to exploit the four moments of return's distributions, optimizing an alternative risk indicator to variance, such as the kurtosis of the final distribution of the portfolio, making constraints on distributive asymmetry, in a dynamic underlying logic.
Filippo Regina Mauro Gianfranco Bisceglia
169464105
Analisis Metode Capital Asset Pricing Model Dalam Upaya Pemilihan Portofolio Optimal Terhadap Investasi Saham(Studi pada Perusahaan yang Masuk dalam Perhitungan Indonesia Stock Exchange Periode 2016 2017)
The purpose of this study is to analyze the optimal portfolio selection on companies that listed in IDX30 when measured by Capital Asset Pricing Model method 2016 2017 period to investment decision making. The data used are secondary data in accordance with the companies of the sample listed on the IDX (Indonesia Stock Exchange) and Bank Indonesia. The research method used is descriptive method. The sampling technique used purposive sampling by taking samples of 15 companies. The results show that efficient stock companies are stocks that have an individual realization return rate greater than expected returns [Ri> E (Ri) or [Ri> E (Rj) During the period of research from 2016 2017 there were 10 stocks of efficient companies, while five other shares were included into inefficient companies. Stock prices that are included in the efficient stock group, will increase so that the return realization is high which is directly proportional to the value of beta. Thus, investors should invest in efficient stock groups.
Julia Wahyu Ciptaningrum Mba Sri Padmantyo
156594185
EVALUATING PORTFOLIO PERFORMANCE OF COMPANIES'STOCK LISTED IN LQ45 BASED ON SHARPE, TREYNOR AND JENSEN METHOD EVALUASI KINERJA PORTOFOLIO SAHAM PERUSAHAAN PADA LQ45 BERDASARKAN METODE SHARPE, TREYNOR DAN JENSEN
Capital market activity has an important role in developing the national economy, in order to enter the financial market, the investor needs to know about the risk in the capital market itself and determine the best stock to be taken. There are three common methods of analysis such as Sharpe ratio, Trenor ratio and Jensen's alpha which are sometimes confuse the investor in order to take which one of these three is the better method. This research objective is to identify whether there is a difference of portfolio performance among these three methods on LQ 45 by analyzing the performance of each sampling stock from LQ 45. This research was using Z score standardized to standardized these three method and after that used one way ANOVA to find whether there is any difference among these three methods or not. Conclusion this research showed no difference between any of these three methods. Any of this method can be used by the investor to analyze the ratio of portfolio performance. As a recommendation, using these three methods simultaneously can provide better information for manager as part of investment management process.
Vernando A Zakarias Ferdinand J Tumewu
168115693
OPPORTUNITIES FOR DETERMINING THE EFFICIENCY CURVE IN THE PORTOFOLIO OF COMPANIES LISTED ON BUCHAREST STOCK EXCHANGE
This article is organized in four parts. The first part presents theoretical aspects on determining the efficiency curve and the steps to be taken on this. The second part begins with a case study presenting the methods of determining the efficiency curve of a stock portfolio, in the case of several entities listed on the Bucharest Stock Exchange. The third part shows how useful Microsoft Excel is to determine the Markovitz efficiency curve of a stock portfolio. On completion of this work, we present the findings on the methods of determining the Markovitz efficiency curve using Microsoft Excel, and their related interpretations.
Hada Teodor Dumitrescu Daniela Ionela
169425389
Analisis Investasi Melalui Penetapan Portofolio Saham Optimal Pada Saham LQ 45 Bursa Efek Indonesia (The Analysis of Invesment by Determination Optimal Portofolio of LQ 45 at Indonesian Stock Exchange)
Ahmad Denny Firdausy
157129064
POST EARNING ANNOUNCEMENT DRIFT PADA PORTOFOLIO VALUE STOCK DAN GLAMOUR STOCK
Dalam pasar modal terdapat beberapa anomali pasar dan salah satunya adalah post earning announcement drift. Anomali ini terjadi karena adanya inefisiensi pasar yang menyebabkan terjadinya ketidakjelasan arah abnormal return pasca pengumuman laporan keuangan. Post earning announcement drift ini dapat dilihat dengan cara menghitung EAAR (earning announcement abnormal return) kemudian mengelompokkan saham kedalam 2 kelompok EAAR yaitu dan Tidak hanya itu, setelah selesai mengelompokkan saham kedalam kedua kelompok EAAR, maka setelah itu dilakukan perhitungan drift yang bertujuan untuk mengetahui tingkat post earning announcement drift pada masing masing kelompok saham. Kelompok saham yang digunakan dalam penelitian ini yaitu kelompok saham value stock dan glamour stock dimana keduanya merupakan dua kelompok saham yang menarik untuk diteliti. Tujuan penelitian ini adalah untuk mengetahui bagaimana perbedaan post earning announcement drift pada value stock dan glamour stock di Indonesia dengan jangka waktu penelitian dari tahun 2009 sampai dengan 2011. Metode yang digunakan dalam penelitian ini yaitu dengan menggunakan Uji Beda dengan menggunakan SPSS 21 dan sektor yang diteliti yaitu sektor manufaktur. Hasil yang diperoleh yaitu terdapat perbedaan post earning announcement drift pada value stock dan glamour stock
Marcella Averica Mulya
108416144
PEMBENTUKAN PORTOFOLIO YANG EFISIEN PADA SAHAM PERUSAHAAN PROPERTI YANG TERCATAT PADA BURSA EFEK INDONESIA (FORMATION OF EFFICIENT PORTFOLIO IN STOCK COMPANY PROPERTY LISTED ON THE INDONESIAN STOCK EXCHANGE)
Pemilihan sekuritas dalam investasi dimaksudkan untuk mendapatkan keuntungan dan mengurangi kemungkinan risiko. Tujuan penelitian adalah untuk menganalisis tingkat keuntungan rata rata yang diharapkan dan kemungkinan risiko baik dari sekuritas maupun portofolio serta memberikan alternatif pemilihan portofolio efisien. Objek penelitian berupa sekuritas sektor properti saham PT Lika, PT Suma dan PT Cide. Variabel penelitian berupa tingkat keuntungan yang diharapkan serta tingkat risiko yang diterima oleh investor dari suatu pilihan investasi. Penelitian menggunakan data sekunder berupa saham properti yang terdaftar dalam Bursa Efek Indonesia, meliputi pergerakan harga saham bulanan, dari Januari 2009 sampai dengan Desember 2011. Alat analisis untuk menentukan portofolio yang efisien menggunakan metode Markowitz, dan berdasarkan masalah keuntungan yang diharapkan dari sekuritas dan Varians (2) atau suatu ukuran penyerapan dari penyebaran peluang. Berdasarkan hasil penelitian dapat diindikasikan bahwa bagi pencari risiko, portofolio paling efisien terdapat pada proporsi saham PT Lika 25% PT Suma 50% dan PT Cide 25% Portofolio tersebut menghasilkan penerimaan yang bisa diharapkan terbesar, yaitu 2,19% dan tingkat risiko 15,88% Sebaliknya bagi penghindar risiko, portofolio paling efisien adalah proporsi saham PT Lika 30% PT Suma 20% dan PT Cide 50% Portofolio tersebut mempunyai pengembalian yang bisa diharapkan sebesar 0.0210870 dan tingkat risiko terkecil 11,24%
Komsi Koranti
152351380
Analisis Kinerja Portofolio Saham Subsektor Perkebunan Dengan Sharpe Measure, Treynor Measure, dan Jensen Measure (Stock Portfolio Performance Analysis in Estate Crop SubsectorUsing Sharpe Measure, Treynor Measure, and Jensen Measure)
Investors form a stock portfolio in order to gainreturns from several sources and distribute possible risks.Several methods are required when forming a stock portfolioto measure and evaluate portfolio performance. The currentresearch showed different results of the Sharpe Measure,Treynor Measure, and Jensen Measure when measuring stockportfolio performance in estate crop companies listed inIndonesia Stock Exchange. The data used in this researchwere stock data of PT Astra Agro Lestari Tbk. (AALI) PT PPLondon Sumatera Tbk. (LSIP) and PT Bakrie SumateraPlantation Tbk. (UNSP) data of stock composite index, andBank of Indonesia rate, taken from January 2006 to January2012. The Sharpe Measure result showed that best stockcombination came from portfolio of AALI and LSIP, while TheTreynor Measure and The Jensen Measure result showed thatthe best stock combination came from AALI and UNSP. Thedifference was caused by using of different risk variable in thecalculation of each measurement. This difference makesinvestors have chances to decide which method is suitable toinvestor perception of risk in forming portfolio. Keywords: portfolio, Sharpe, Treynor, Jensen.
Artie Arditha Rachman Igo Febrianto
229793622
ANALISIS KINERIA PORTOFOLIO ANTARA GROWTH STOCK DAN VALUE STOCKStudi Empiris pada Saham LQ45 di Bursa Efek Indonesia
Raden Andita Gunadarma Mba Eduardus Tandelilin
226160534
ANALISIS RASIONALITAS INVESTOR TERHADAP PEMILIHAN SAHAM DAN PENENTUAN PORTOFOLIO OPTIMAL DENGAN MODEL INDEKS TUNGGAL DI BEJ (Dengan ILQ 45 Sebagai Faktor Perhitungan)
The investor decide their large alternatives investation influenced by several factors. Particulary the stock investation would influenced by stock market condition correlated with stock pricing. Based on 17 stock which analized with an index model, it gets 3 stock in the portofolio optimal compasition. that compasitions trap on the stock from another industries sector. the result of this research have some conclusion with deciding optimal portofolio based on the an index models. key word retrun saham, Beta, Risk free, Excess return to beta, cut of rate, portofolio efisien, portofolio optimal, model indeks tunggal, indeks LQ 45
Edy Suryawardana