Pembentukan Portofolio Optimal Menggunakan Metode Data Envelopment Analysis (DEA) dan Indeks Tunggal (Single Index Model)

Darmawan, Surya and Kurniawan, Sholeh (2019) Pembentukan Portofolio Optimal Menggunakan Metode Data Envelopment Analysis (DEA) dan Indeks Tunggal (Single Index Model). Proceeding FMI ke 11 Samarinda, 11 (1). p. 176. ISSN 2407-0548

	Text No 74 Abstrak 156 - proseding fmi kr 11 2019 Samarinda 6-7 nov 2019.pdf Download (4MB)
	Text Sholeh-Surya--Artikel u FMI 11 Samarinda.pdf Download (456kB)

Abstract

This research aims to analyze portfolio selection using Data Envelopment Analysis (DEA) method and then compare its returns with single index method. The data used in this research is data of monthly stock closing price in the list of LQ 45 published by BEI in the period of February 2014 until July 2018, Jakarta Composite Index (JCI) and interest rate level Indonesian Bank Certificate (SBI). This research used two models of DEA, which are DEA CCR and DEA BCC. The establishment of optimal portfolio DEA model is by measuring efficiency value and transforming it into portfolio based on certain decision-making criteria. The results of this research show that portfolio formed by using DEA CCR model generates higher return than single index portfolio. Then, portfolio formed by using DEA BCC model generates lower return than single index portfolio. But, there is no significance difference in returns between DEA portfolio and single index portfolio. The conclusion in this research is that DEA CCR method can used as an alternative tool to arrange optimal portfolio. Keyword: Portfolio, DEA Method, Single Index Method

Item Type:	Article
Subjects:	H Social Sciences > HG Finance
Divisions:	Fakultas Ekonomi dan Bisnis > S1 Manajemen
Depositing User:	Drs. Surya Darmawan, M.M
Date Deposited:	09 Mar 2024 04:00
Last Modified:	09 Mar 2024 04:00
URI:	http://eprints.uty.ac.id/id/eprint/15052

Actions (login required)

View Item