Constructing an Optimal Portfolio with a Single Index Model on the Shares of Bumn Companies Listed in the IDXBUMN20 Index on the Indonesia Stock Exchange
Bagus Wicaksono Kurniawan,
C. Ambar Pujiharjanto,
Nilmawati Nilmawati
Abstract:This study aims to determine the optimal portfolio using a single index model on the shares of state-owned companies listed in the IDXBUMN20 index on the Indonesia Stock Exchange. The population was 20 issuers and using purposive sampling, 13 issuers were obtained as samples. By using a single index model, the results show that 7 stocks make up the optimal portfolio with the proportion of funds as follows ANTM (27.52%), BBNI (24.02%), PTBA (17.86%), BMRI (15.08%), TINS (7.51%), BBRI (7.45%) and PGAS (0.56%). M… Show more
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