Analisis portofolio optimal model black-liiterman di bursa efek indonesia pada sektor industri barang konsumsi

Pudjiani, Meilina (2019) Analisis portofolio optimal model black-liiterman di bursa efek indonesia pada sektor industri barang konsumsi. Masters thesis, Institut Pertanian Bogor.

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Abstract

Inelastic demand level has been an advantage in consumer goods sector because this sector provides basic supply. In other words, although the price might incline, people will not stop from buying it since it is basic supply. The object of this study is consumer goods company because investment in this industrial sector has good prospect in investment world development. Optimum portfolio is a selection of various portfolio stocks efficiently. There are some models of optimum portfolio development such as Mean-Variance Model, Capital Asset Pricing Model (CAPM), and Black-Litterman Model. The principal of Mean-Variance model is quantitative approach, linking risk that is measured by standard deviation or variance and its expected return of mean return. This CAPM model used beta to link the risk and return. Black-Litterman model with Bayes approach uses views investor as prior information. Black-Litterman model shows the view of an investor with other investors could be different due to the view is subjective. The view is an investor's view in asserting the predicted return towards such stock. This research is a quantitative study by using secondary data on stock prices of the consumer goods sector on the Indonesian Stock Exchange for the period of January 2014 - December 2018 which was obtained from Yahoo Finance and the Indonesia Stock Exchange. Beta with score more than 1, means that the return of certain stock is sensitive to all market changes. Issuers with beta scored more than one were INDF and GGRM. There were four stocks that formed the optimum portfolio in long term of consumer goods sector identified by using Black-Litterman model. Those are stocks of PT Indofood CBP Sukses Makmur Tbk, PT Kimia Farma Tbk, PT Indofarma Tbk, PT Indofarma Tbk, and PT HM Sampoerna Tbk. Stock with the biggest proportion was ICBP's stock with proportion of 68.5379%, meanwhile the smallest proportion one was INAF's stocks with proportion of 3.0277%. The mean return was calculated from this proportion, resulting in 3.678% and the risk value was 1.471%. In the short term period the composition formed is five stocks, those are GGRM, ICBP, KAEF, INAF, and HMSP. In the short term period of 12 months (2018) the mean return generated was 4.523% with a risk of 1.809%.

Item Type: Thesis (Masters)
Uncontrolled Keywords: investasi; return; risiko; saham, Mean-Variance Model, Capital Asset Pricing Model, CAPM, Black-Litterman Model, investment, return, risk, stock.
Subjects: Manajemen Keuangan
Depositing User: SB-IPB Library
Date Deposited: 23 Dec 2019 04:03
Last Modified: 23 Dec 2019 04:03
URI: http://repository.sb.ipb.ac.id/id/eprint/3502

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