Portofolio dengan Menggunakan Model Indeks Tunggal dan Metode Z

Werner R. Murhadi


This study aimed to establish the optimal portfolio using a single index
model approach and Z methods. This study used a sample of companies included in
the LQ-45 period February 2009-January 2013. The results showed that the portfolio
returns by using a single index models and Z methods did not give different results.
The use of a single index model can provide a smaller risk than the use of Z method.
The use of a single index model produces 11 stocks included in the portfolio, while
the Z method produces 6 stocks included in the portfolio. The results indicated Z
method is more suitable to investors who have limited funds and limited time.

Keywords: Optimal Portfolio, Single Index Model, Z Method


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