Comparison Of Applying Single Index Model And Capital Asset Pricing Model By Means Achieving Optimal Portfolio

Agregat: Jurnal Ekonomi dan Bisnis

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Title Comparison Of Applying Single Index Model And Capital Asset Pricing Model By Means Achieving Optimal Portfolio
 
Creator Chanifah, Siti
Hamdani, Hamdani
Gunawan, Andi
 
Subject Optimal Portfolio, Single Index Model (SIM), and Capital Asset Pricing Model (CAPM)
 
Description The aim of this research is to analyse  the comparison of applying Single Index Model and Capital Asset Pricing Model by means of achieving the Optimal Portfolio towards registered Issuers which are listed on the Liquid Index 45 (LQ45). The observation has been conducted for 60 months, since February 2014 until January 2019.  Quantitative approach has been used to analyse 45 companies as the total number of population of the research. There have been chosen 26 companies (issuers) as the sample of the research through Purposive Sampling Technique out of 45 companies. Single Index Model and CAPM  have been used as the tools of analysis in this research. The results of the research show that portfolio is formed by Single Index Model because it considers all aspects of the economy which cause a security which may avoid from losses. Meanwhile, Capital Asset Pricing Model only considers particular risk in an efficient portfolio combinations. Needless to say,  it would be better for investors to use Single Index Model in order to gain the most valueable achievement on investment yield value.    
 
Publisher Universitas Muhammadiyah Prof. DR HAMKA.
 
Date 2020-07-03
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journal.uhamka.ac.id/index.php/agregat/article/view/4887
10.22236/agregat_vol4/is1pp8-24
 
Source Agregat: Jurnal Ekonomi dan Bisnis; Vol. 4 No. 1 (2020); 8-24
2549-7243
2549-5658
10.22236/agregat_vol4/is1
 
Language eng
 
Relation https://journal.uhamka.ac.id/index.php/agregat/article/view/4887/1887
 
Rights Copyright (c) 2020 Agregat: Jurnal Ekonomi dan Bisnis
 

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