MODEL CAPITAL ASSET PRICING MODEL (CAPM) DALAM PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM JAKARTA ISLAMIC INDEX (JII)

Authors

  • NOVALISA NASTHASYA
  • Hazmira Yozza Jurusan Matematika FMIPA UNAND
  • DODI DEVIANTO

DOI:

https://doi.org/10.25077/jmua.12.4.299-308.2023

Keywords:

Investasi, Portofolio Optimal, Capital Asset Pricing Model

Abstract

Dalam berinvestasi saham, setiap investor ingin mendapatkan return yang tinggi dan risiko yang rendah. Salah satu cara untuk meminimalisir risiko adalah dengan membentuk portofolio optimal yang menguntungkan dari segi return dan risiko. Pada penelitian ini digunakan Capital Asset Pricing Model (CAPM) dalam membentuk portofolio optimal. Data yang digunakan adalah data saham dalam Jakarta Islamic Index (JII) periode Desember 2020-November 2021. Pemodelan menghasilkan 5 saham penyusun komposisi portofolio optimal. Return eskpektasi portofolio sebesar 0,015282 dan risiko portofolio sebesar 0,069750. Evaluasi kinerja portofolio optimal yang terbentuk diukur berdasarkan ukuran rasio Sharpe, Modigliani Square dan Treynor. Dari hasil penelitian didapat bahwa portofolio optimal yang dibentuk dengan Capital Asset Pricing Model (CAPM) layak untuk diinvestasikan.

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Author Biography

Hazmira Yozza, Jurusan Matematika FMIPA UNAND

Scopus ID = 57208426438

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Additional Files

Published

21-10-2023

How to Cite

NASTHASYA, N., Yozza, H., & DEVIANTO, D. (2023). MODEL CAPITAL ASSET PRICING MODEL (CAPM) DALAM PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM JAKARTA ISLAMIC INDEX (JII). Jurnal Matematika UNAND, 12(4), 299–308. https://doi.org/10.25077/jmua.12.4.299-308.2023

Issue

Vol. 12 No. 4 (2023)

Section

Articles

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