Pemilihan Saham Syariah yang Efisien untuk Pembentukan Portofolio Optimal

Nur Rachmat Arifin, Raditya Sukmana

Abstract

Abstract: Analysis of optimal portfolio allows investors to analyze appropriate to minimize the risks accepted by the objective of maximizing profit with the same risk among existing stocks. Data Envelopment Analysis (DEA) is used to determine the stocks with the efficient performance based on ratio analysis. Having selected some stocks efficient formation of optimal portfolio is then performed with a single index models and determined how much the proportion of funds invested in each stock. The sample data used are stocks in ISSI 2012-2017.
Based on the analysis of efficiency as a candidate portfolio models used DEA - CCR and DEA - BCC generate 16 efficient stocks that forming the candidate portfolio. After the analysis of all 18 stocks that efficiently obtained 6 stocks forming the optimal portfolio
Keywords: Optimal Portfolio,Data Envelopment Analysis (DEA), Efficiency Stocks, Relative Efficiency Score , Single Index Model.

Full Text:

PDF

References

Daftar Pustaka

Adler N and B Golany.2001. “Evaluation of Deregulated Airline Networks Using Data Envelopment Analysis Combined with Principal Component Analysis with an Application to Western Europe.” EJOR 132(2): 260-273.

Banker, R.D., Charnes, A., and Cooper, W.W. 1984, “Some Models for Estimating Technical and ` Scale Inefficiency in Data Envelopment Analysis”,Management Science, 30 (9), 1078-92.

Brigham, F. Eugene and Philip R. Daves. 2004, Intermediate Financial Management, Eighth Edition, McGraw-Hill, Inc.New York.

Brigham, E.F. and Houston, J.F. 2007. Fundamentals of Financial Management. London : Thomson.

Bursa Efek Indonesia. 2015. Data factbook Bursa Efek Indonesia tahun 2015. Bursa Efek Indonesia.

Bursa Efek Indonesia. 2015. Data Statistik Bursa Efek Indonesia tahun 2015. Bursa Efek Indonesia.

Charnes, A., Cooper, W.W., and Rhodes, E. 1978, “Measuring the Efficiency of Decision Making Units”, European Journal of Operation Research, 2, 6, 429- 44.

Chen, Hsin-Hung. 2008. “Stock selection using data envelopment analysis”. Industrial Management & Data Systems, 108(9), 1255-1268.

Elton, Edwin J, Martin J, Gruber, and Manfred W. Padberg. 1976. “Simple Criteria for Optimal Portfolio Selection”. The Journal of Finance, Volume XXXI No. 5 March 1976.

Elton Edwin J., and Martin J. Gruber. 1995. “Risk Reduction and Portfolio Size: An Analytical Solution”. Journal of Business 50: 415-37

Elton , Edwin J and Martim J Gruber 1995, Modern Portofolio Rheory and Insurement Analysis, Fith Edition,John Willey & Sons,Inc Tronto

Hartono,Jogiyanto.2010. Teori portofolio dan analisis investasi. Yogyakarta; EPFE

Leila Zamazami et al 2014 “portofolio selecton using dta enve;opment analysis (DEA) : Acase of slect indi invensmet companies “international jornal of currnt research and academic review vol 2 no 4 pp 50-55

Leivo, Timo, H. & Patari, Eero J. 2010. “Ehancement of Value Portfolio Performance Using Data Envelopment Analysis”. Studie in Economics and Finance. Vol.27, No.3. pp. 223-246.

Werastuti, Desak Nyoman Sri. 2014. “Pembentukan Portofolio Optimal melalui Pendekatan Efisiensi

Refbacks

  • There are currently no refbacks.