Simple Techniques for Determining the Optimal Portofolio

Nugraha, C.H. Asta (2012) Simple Techniques for Determining the Optimal Portofolio. In: Prosiding Seminar & Konferensi nasional Manajemen Bisnis: memberdayakan UMKM dalam meningkatkan kesejahteraan masyarakat menghadapi persaingan global. Kudus, 26 Mei 2012. Badan Penerbit Universitas Muria Kudus, Kudus, pp. 47-67. ISBN 978-602-99614-4-7

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Abstrak

The calculation of optimal portfolio would be easy to do if security analysts and fund managers have a single standard that measure the desirability of including a stock in the optimal portfolio. If a Single Index Model is accepted as describing the co movement between securities, such standard exists. The desirability of any stock is directly related its excess return to beta ratio. Excess return is the defference between expected return on the stocks and the riskless rate of interest such as rate on a Treasury Bill. How many stocks are selected depends on a unique cut of rate such that all stocks with ratios of (R i – R F ) / i will be included and all stocks with lower ratios excluded. We call this cut off ratio C* The rules for determining which stocks are included in the optimum portfolio are as follows : (1) Find the “excess return to beta” ratio for each stock under consideration and rank from the highest to lowest. (2) The optimum portfolio consists of investing in all stocks for which (R i – R F ) / i is greater than a particular cut off point C*.

Tipe dokumen: Bagian dari buku dan sejenisnya
Uncontrolled Keywords: Single Index Model, Excess Return, Beta, Cut of Rate (C*)
Subjects: Ilmu-ilmu Sosial > Perdagangan. Perniagaan > Manajemen rekod bisnis. Kearsipan. Arsip bisnis.
Ilmu-ilmu Sosial > Teori Ekonomi
Ilmu-ilmu Sosial > Industri. Pemanfaatan lahan. Perburuhan > Manajemen. Manajemen industri
Ilmu-ilmu Sosial > Teori Ekonomi > Pendapatan. Faktor saham
Teknologi > Manufaktur > Manajemen produksi, Manajemen operasi
Divisions: Fakultas Ekonomi > Magister Manajemen (S2)
Depositing User: Users 2 tidak ditemukan.
Tanggal Deposit: 25 May 2012 02:49
Last Modified: 25 May 2012 02:49
URI: http://eprints.umk.ac.id/id/eprint/283

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