Penggunaan Model Markowitz

Selasa, 29 Juli 2008 - September 2004

Penulis: Faisal & Yenni Rachmawati

Keywords: Efficient Portofolio, Optimal Portofolio, Risk and Return, Diversification

Abstract.

The efficient portfolio model was introduced by Markowitz (1952) and culminated in his classic book (1959). This model assumes that an investor has two aims on mind: expcts high return and require a minimum level of risk. The purpose of this study is to identify the optimal portofolio by using risk free assets with Markowitz model. Samples are collected by using purposive sampling to all listing companies at the manufacture industry during the year of 2002. The investing program with quadratic model was used to analyze 16 stocks and 52 weeks observation from manufacture companies. It needs two curves to create the optimal portfolio, they are an efficient frontier curve and portfolio nineth is the optimal one. From the exploration it is recommended that risk averse investor choose the optimal one. From the exploration it is recommended that risk averse investor choose the optimal portfolio with return and deviation are 544% and 8,3% respectedly. While the portfolio for every stock in this optimal portfolio are Astra International Tbk (X2) = 25.45%, Gajah Tunggal Tbk (5X) = 54%, Kalbe Farma Tbk (X10) = 15.11%, and Kimia Farma Tbk (X11) = 6%.