COMPARISON ANALYSIS OF THE FORMATION OF OPTIMAL STOCK PORTFOLIO ON LQ45 INDEX AND DEVELOPMENT BOARD INDEX USING SINGLE INDEX MODEL AND RANDOM MODEL Arief Rachmansyah, Maya Sari, Ikaputera Waspada, Lena Lestary
UNIVERSITAS PENDIDIKAN INDONESIA
Jl. Dr. Setiabudi No.229, Isola, Kec. Sukasari, Kota Bandung, Jawa Barat 40154
Abstract
The purpose of this study is to provide empirical evidence that determining a stock portfolio using a single index model can provide optimal returns compared to determining a stock portfolio using a random model. The sample in this study were 374 stocks that are included in the Development Board Index and 45 stocks that are part of the LQ45 index which were selected by purposive sampling. The results showed that the determination of a stock portfolio using a single index model taken from the Development Board Index provides the most optimal return compared to the determination of other stock portfolios.
Keywords: Portfolio, Single Index Model, LQ45 Index & Development Board Index
