Perhitungan Proyek 5 PTM #8

Date Open High Low Close Volume Adj Close Return1/1/2014 590 765 590 760 15312600 754.6 02/3/2014 755 880 700 800 18638100 794.32 0.05263157893/3/2014 800 835 720 750 22357800 744.67 -0.06254/1/2014 745 825 710 745 24210800 739.71 -0.00666666675/1/2014 745 920 745 900 17907700 893.61 0.20805369136/2/2014 900 925 820 880 12181700 880 -0.02222222227/1/2014 870 940 845 925 8888300 925 0.05113636368/1/2014 925 970 855 935 11327000 935 0.01081081089/1/2014 940 1025 875 885 10167100 885 -0.0534759358

10/1/2014 870 895 780 810 22629900 810 -0.084745762711/3/2014 800 845 770 805 41115900 805 -0.006172839512/1/2014 805 815 710 785 15529100 785 -0.0248447205

1/1/2015 785 815 675 740 30100700 740 -0.05732484082/2/2015 745 855 740 845 18410500 845 0.14189189193/2/2015 850 850 695 735 13121400 735 -0.13017751484/1/2015 740 740 635 645 20479600 645 -0.12244897965/1/2015 645 710 635 690 10440800 690 0.06976744196/1/2015 685 690 600 645 14214300 645 -0.06521739137/1/2015 645 690 620 640 6118600 640 -0.0077519388/3/2015 640 650 490 595 6066200 595 -0.07031259/1/2015 580 585 490 505 8775800 505 -0.1512605042

10/1/2015 505 720 495 670 14216000 670 0.3267326733E(Ri) -0.0001951126

Date Open High Low Close Volume Adj Close1/1/2014 25100 25800 20650 21475 1568100 20558.142/3/2014 21475 25750 21250 25500 1994800 24411.33/3/2014 24525 27900 24400 26000 1724300 24889.954/1/2014 26550 29475 25125 29400 1238100 28144.795/1/2014 29400 29850 26600 27325 1345500 26480.046/2/2014 26875 29350 26050 28175 1232600 27303.757/1/2014 27300 28175 25600 26700 1338700 25874.378/1/2014 26700 26700 25500 25500 1568800 24711.479/1/2014 25550 26050 22775 23000 1818400 22288.78

10/1/2014 23100 23500 19250 23500 2462300 23024.9711/3/2014 23850 25450 22775 24000 1568800 23514.8612/1/2014 23775 24550 22350 24250 1076800 23759.811/1/2015 24250 26150 23150 23250 1145300 22780.022/2/2015 23600 26500 23275 24650 1431700 24151.723/2/2015 25000 26525 23150 24300 1127000 23808.84/1/2015 24300 24300 19500 20350 1203700 203505/1/2015 20350 27525 20050 24800 1898500 248006/1/2015 24800 25850 21325 22950 1042700 229507/1/2015 23100 26000 19675 20075 938200 200758/3/2015 20075 20850 14425 17125 1015000 171259/1/2015 17500 18750 14800 18125 1442100 18125

10/1/2015 18250 22100 18025 19900 2426000 19900E(Ri)

Return0

0.1874272410.01960784310.1307692308-0.07057823130.0311070448-0.0523513753-0.0449438202-0.09803921570.02173913040.02127659570.0104166667-0.04123711340.0602150538-0.014198783

-0.16255144030.2186732187-0.0745967742-0.1252723312-0.14694894150.05839416060.09793103450.0012780569

Date Open High Low Close Volume Adj Close1/1/2014 1090 1110 950 1030 27943200 1021.72/3/2014 1020 1080 995 1040 29458600 1031.623/3/2014 1040 1190 1025 1135 56131700 1125.854/1/2014 1135 1265 1065 1175 37414900 11755/1/2014 1175 1290 1140 1200 39366000 12006/2/2014 1175 1210 1070 1090 13701700 10907/1/2014 1100 1270 1085 1270 17362800 12708/1/2014 1270 1275 1185 1195 15194600 11959/1/2014 1160 1225 1070 1110 12928500 1110

10/1/2014 1085 1110 925 970 18831800 97011/3/2014 945 1010 920 980 12584600 98012/1/2014 970 1120 945 1065 13539800 10651/1/2015 1065 1135 1015 1065 17002500 10652/2/2015 1060 1080 990 1005 10172500 10053/2/2015 1005 1020 850 865 7475600 8654/1/2015 860 925 790 795 5393900 7955/1/2015 795 840 760 760 6734500 7606/1/2015 775 780 675 680 4822600 6807/1/2015 680 685 475 475 6248000 4758/3/2015 480 655 450 500 34868800 5009/1/2015 498 540 465 486 20375200 486

10/1/2015 490 540 372 378 188070700 378E(Ri)

Return0

0.00970873790.09134615380.03524229070.0212765957-0.09166666670.1651376147-0.0590551181-0.0711297071-0.12612612610.01030927840.0867346939

0-0.0563380282-0.1393034826-0.0809248555-0.0440251572-0.1052631579-0.30147058820.0526315789

-0.028-0.2222222222-0.0406256269


10/1/2014 7000 7075 6325 6775 34508100 6558.3811/3/2014 6875 7200 6700 7125 19031400 6897.1912/1/2014 7100 7475 6850 7425 22794300 7187.61/1/2015 7425 8100 7000 7850 35119100 7599.012/2/2015 7800 8175 7450 7850 30065700 7599.013/2/2015 7850 8575 7800 8575 42097500 8300.834/1/2015 8575 8575 6700 6850 38973700 6630.985/1/2015 6850 7950 6850 7300 25898700 7215.826/1/2015 7300 7350 6550 7075 22847300 6993.417/1/2015 7125 7150 6325 6650 15216900 6573.328/3/2015 6475 6875 5450 5925 34915300 5856.689/1/2015 5900 6200 4975 5225 24011200 5225

10/1/2015 5250 6875 5075 5900 37303800 5900E(Ri)

Return0

0.08171206230.06115107910.006779661

-0.04713804710.02826855120.0618556701-0.0194174757-0.0693069307-0.03900709220.05166051660.04210526320.0572390572

00.0923566879-0.20116618080.0656934307-0.0308219178-0.0600706714-0.1090225564-0.11814345990.1291866029-0.0007659881


10/1/2014 10750 11075 10000 11075 33601300 10826.2411/3/2014 11100 11550 10600 11525 18612500 11266.1412/1/2014 11500 11725 11000 11650 19686100 11388.331/1/2015 11650 12100 11325 11675 26061100 11412.772/2/2015 11675 13050 11600 12875 33614200 12585.813/2/2015 12875 13275 12600 13275 22569800 132754/1/2015 13275 13450 11250 11625 29963600 116255/1/2015 11625 12750 11400 11775 29077200 117756/1/2015 11725 11775 10050 10350 37237600 103507/1/2015 10350 10900 9300 10000 26401200 100008/3/2015 10125 10875 9025 10625 32287000 106259/1/2015 10400 10550 7975 8650 33175200 8650

10/1/2015 8725 11700 8550 10525 32133500 10525E(Ri)

Return0

0.11411411410.03234501350.03394255870.03030303030.012254902

0.0847457627-0.0133928571-0.0565610860.06235011990.04063205420.010845987

0.00214592270.10278372590.0310679612-0.12429378530.0129032258-0.1210191083-0.0338164251

0.0625-0.18588235290.21676300580.0149872271

Date Open High Low Close Volume Adj Close1/1/2014 758.15 899.67 758.15 864.29 27401800 817.952/3/2014 859.24 1086.69 833.97 985.6 35723900 932.753/3/2014 985.6 1228.21 960.33 1172.61 31359500 1109.744/1/2014 1172.61 1258.53 985.6 1026.03 28531600 971.025/1/2014 1026.03 1177.66 985.6 1066.47 23819300 1009.296/2/2014 1071.52 1127.12 924.95 935.05 13466200 884.927/1/2014 945.16 1298.97 935.05 1167.55 27231400 1144.558/1/2014 1167.55 1263.59 1137.23 1228.21 10528200 12049/1/2014 1197.88 1228.21 1000.76 1026.03 22938800 1005.81

10/1/2014 1046.25 1157.45 950.22 1157.45 20112300 1134.6411/3/2014 1157.45 1374.78 1122.07 1324.24 15614600 1298.1412/1/2014 1324.24 1384.89 1162.5 1263.59 15243200 1238.691/1/2015 1263.59 1556.74 1263.59 1455.65 15833900 1426.972/2/2015 1440.49 1602.23 1435.44 1501.14 13052200 1471.563/2/2015 1511.25 1526.41 1273.7 1491.03 20197400 1461.654/1/2015 1475.87 1516.3 1364.67 1389.95 10732100 1362.565/1/2015 1389.95 1592.12 1329.29 1445.54 11315600 1417.066/1/2015 1470.82 1531.47 1207.99 1278.75 8516400 1253.557/1/2015 1293.91 1314.13 1036.14 1061.41 12197200 1047.128/3/2015 1051.3 1202.94 742.99 874.4 14370900 862.639/1/2015 874.4 909.78 760 815 13975600 815

10/1/2015 820 1215 810 1085 17600600 1085E(Ri)

Return0

0.14035798170.189742289-0.1250031980.0394140522-0.12322897030.24864980480.0519549484-0.16461354330.12808592340.1441012571-0.0457998550.15199550490.031250644

-0.0067348815-0.06779206320.0399942444-0.1153824868-0.1699628543-0.1761901621-0.06793229640.33128834360.0206759373

Date Open High Low Close Volume Adj Close1/1/2014 495,942 500,902 476,105 479.08 7214900 479.082/3/2014 480,072 483,048 473,129 476,105 6410000 476,1053/3/2014 476,105 495,942 456,267 492,967 5121900 492,9674/1/2014 492,967 492,967 456 461 3174500 4615/1/2014 461 464 438 438 2228600 4386/2/2014 441 445 413 422 1736400 4227/1/2014 421 450 421 437 2189600 4378/1/2014 437 438 418 433 2358100 4339/1/2014 433 437 415 415 3035800 415

10/1/2014 426 540 413 530 8991200 53011/3/2014 525 530 452 490 4161800 49012/1/2014 490 625 490 555 18856800 5551/1/2015 555 650 550 595 12732600 5952/2/2015 590 595 510 525 10096900 5253/2/2015 525 540 476 492 8555000 4924/1/2015 490 600 485 595 10999700 5955/1/2015 595 600 469 469 11071600 4696/1/2015 475 493 438 445 6173100 4457/1/2015 446 460 410 437 2417200 4378/3/2015 436 444 318 326 4366500 3269/1/2015 327 374 283 309 12312900 309

10/1/2015 318 360 300 320 40324000 320E(Ri)

Return0

992.790181180.0354165573-0.9990648461-0.0498915401-0.03652968040.0355450237-0.0091533181-0.04157043880.2771084337-0.07547169810.13265306120.0720720721-0.1176470588-0.06285714290.2093495935-0.2117647059-0.0511727079-0.0179775281-0.2540045767-0.05214723930.035598705547.219460578


10/1/2014 56200 61500 55500 57750 790800 56776.8611/3/2014 57950 64250 57550 61175 716800 60144.1412/1/2014 61400 61525 57100 60700 406800 59677.151/1/2015 60700 64000 51900 57800 1122900 56826.022/2/2015 57325 58500 53400 53425 857500 52524.743/2/2015 53100 55325 47525 51000 1127500 50140.64/1/2015 51500 54650 49025 50000 1434100 49157.455/1/2015 50000 50600 44750 47100 1609200 46306.326/1/2015 47050 47500 42000 45100 700800 44340.027/1/2015 45250 54150 44775 49500 870800 495008/3/2015 49000 49875 41000 44500 698700 445009/1/2015 44500 44500 39500 42000 513300 42000

10/1/2015 42075 47800 41950 42950 1636600 42950E(Ri)

Return0

0.1384248210.035639413

0.1437246964-0.07876106190.027857829

0.0130841121-0.00369003690.049537037

0.01896779890.0593073593-0.0077646097-0.0477759473-0.0756920415-0.0453907347-0.0196078431

-0.058-0.0424628450.0975609756-0.101010101

-0.05617977530.02261904760.003351814


10/1/2014 2865 2930 2680 2750 112433200 2679.4311/3/2014 2760 2830 2590 2825 80143600 2752.512/1/2014 2835 2890 2725 2865 56383700 2791.481/1/2015 2865 2930 2780 2830 67449500 2757.372/2/2015 2830 3020 2800 2935 93724800 2859.683/2/2015 2945 2995 2770 2890 98755900 2815.834/1/2015 2885 2910 2595 2615 100667400 26155/1/2015 2615 2895 2615 2845 72988900 28456/1/2015 2870 2955 2800 2930 68959600 29307/1/2015 2935 2950 2800 2940 54657200 29408/3/2015 2940 2970 2590 2870 88768900 28709/1/2015 2865 2875 2485 2645 56642400 2645

10/1/2015 2640 2830 2600 2680 73135900 2680E(Ri)

Return0

0.021978022-0.0473118280.02257336340.1368653422-0.04271844660.07505070990.00566037740.0938086304-0.05660377360.02727272730.014159292

-0.01221640490.0371024735-0.0153321976-0.09515570930.08795411090.02987697720.0034129693-0.0238095238-0.07839721250.01323251420.0094001149

Date Open High Low Close Volume Adj Close1/1/2014 9500 9650 9200 9625 6076400 96252/3/2014 9625 10550 9500 10500 11941600 105003/3/2014 10500 11400 9550 10300 8203800 103004/1/2014 10300 11000 9400 11000 13159100 110005/1/2014 11000 15000 11000 15000 12528300 150006/2/2014 14950 15150 13950 14450 7227000 144507/1/2014 14000 15000 13100 14300 3651400 143008/1/2014 14300 15950 14000 15075 4379600 150759/1/2014 15075 17500 14700 15025 5381100 15025

10/1/2014 15425 15500 13125 13775 1807300 1377511/3/2014 13800 15400 12800 13625 2496900 1362512/1/2014 13600 14700 13375 13700 1216900 137001/1/2015 13700 14000 13000 13400 1763000 134002/2/2015 13400 13700 11875 12225 3725000 122253/2/2015 12100 13950 12100 13400 7110000 134004/1/2015 13400 14425 11775 14200 4775600 142005/1/2015 14200 15775 13525 14100 1699600 141006/1/2015 14100 14725 12900 14400 2934000 144007/1/2015 14400 16900 13750 16550 3812200 165508/3/2015 16700 17100 13300 15100 4168100 151009/1/2015 15100 16125 11875 12375 2986500 12375

10/1/2015 12375 12800 10600 10900 3492800 10900E(Ri)

Return0

0.0909090909-0.0190476190.067961165

0.3636363636-0.0366666667-0.01038062280.0541958042-0.0033167496-0.0831946755-0.01088929220.0055045872-0.0218978102-0.08768656720.09611451940.0597014925-0.00704225350.02127659570.1493055556-0.0876132931-0.1804635762-0.11919191920.0114863871

Date Open High Low Close Volume Adj Close1/2/2014 4,294,495,117 451,021,582 4,161,192,871 4,418,756,836 2904054300 4,418,756,8362/3/2014 4407.00 466,526,709 4,320,783,203 462,021,582 3676107000 462,021,5823/3/2014 4,589,624,023 490,349,707 4,567,759,766 4,768,276,855 4558713200 4,768,276,8554/1/2014 4,796,162,109 4,933,112,793 4,721,596,191 4,840,145,996 3817112600 4,840,145,9965/2/2014 484,534,082 5,091,316,895 4,828,216,797 4,893,908,203 3692492000 4,893,908,2036/2/2014 4,900,973,145 4,971,945,801 4,835,037,109 4,878,582,031 2992343200 4,878,582,0317/1/2014 4,877,649,902 5,165,416,016 4,862,419,922 5,088,801,758 4490889700 5,088,801,7588/4/2014 5,076,227,051 5,223,975,098 5,043,524,902 5,136,862,793 3750031200 5,136,862,7939/1/2014 5,159,942,871 5,262,567,871 5,082,727,051 5,137,579,102 3743514000 5,137,579,102

10/1/2014 5,148,574,219 5,165,394,043 4,900,717,773 5,089,546,875 3444212600 5,089,546,87511/3/2014 5,102,537,109 5,157,083,984 4,965,387,207 5,149,888,184 4288219800 5,149,888,18412/1/2014 5,150,379,883 5,226,946,777 5,005,274,902 5,226,946,777 4600621800 5,226,946,7771/2/2015 5,233,795,898 5,325,039,062 5,121,814,941 5,289,403,809 5350420300 5,289,403,8092/2/2015 5,277,153,809 5,464,219,238 5,254,036,133 5,450,293,945 4379688100 5,450,293,9453/2/2015 5,452,831,055 5,518,674,805 5,350,470,215 5,518,674,805 4610533700 5,518,674,8054/1/2015 5,516,797,852 5,524,036,133 5,015,007,812 5,086,424,805 4351595800 5,086,424,8055/4/2015 5,093,333,984 5,347,132,812 5,089,417,969 5,216,378,906 4247861300 5,216,378,9066/1/2015 5,212,133,789 5,215,549,805 4,826,129,883 4,910,658,203 3299502900 4,910,658,2037/1/2015 4,924,065,918 4,982,910,156 4,711,491,211 4,802,528,809 3409749100 4,802,528,8098/3/2015 4,778,043,945 4,868,074,219 4,111,111,816 4,509,606,934 3650082300 4,509,606,9349/1/2015 4,484,204,102 4,484,789,062 4,033,586,914 4,223,908,203 3447175000 4,223,908,203

10/1/2015 4,231,410,156 4,696,157,227 4,207,798,828 4,455,180,176 4403177500 4,455,180,176

Return0

-0.89544082219.32046346050.01507235070.011107559

-0.00313168360.04309033360.00944446990.0001394448-0.00934919460.01185592950.01496315850.01194904690.03041744250.0125462701-0.0783249630.0255492032-0.0586078405-0.0220193281-0.0609932572-0.06335335540.0547530775

E(Ri) 0.398577681

Portofolio Banyak Aktiva - Portofolio Optimal Model Indeks Tunggal - Kelompok 8

DataPeriode ACES AALI ANTM ASII

1/1/2014 0 0 0 02/3/2014 0.0526315789 0.187427241 0.00970873786407767 0.08171206233/3/2014 -0.0625 0.0196078431 0.0913461538461538 0.06115107914/1/2014 -0.0066666667 0.1307692308 0.0352422907488987 0.0067796615/1/2014 0.2080536913 -0.0705782313 0.0212765957446809 -0.04713804716/2/2014 -0.0222222222 0.0311070448 -0.0916666666666667 0.02826855127/1/2014 0.0511363636 -0.0523513753 0.165137614678899 0.06185567018/1/2014 0.0108108108 -0.0449438202 -0.0590551181102362 -0.01941747579/1/2014 -0.0534759358 -0.0980392157 -0.0711297071129707 -0.0693069307

10/1/2014 -0.0847457627 0.0217391304 -0.126126126126126 -0.039007092211/3/2014 -0.0061728395 0.0212765957 0.0103092783505155 0.051660516612/1/2014 -0.0248447205 0.0104166667 0.086734693877551 0.04210526321/1/2015 -0.0573248408 -0.0412371134 0 0.05723905722/2/2015 0.1418918919 0.0602150538 -0.0563380281690141 03/2/2015 -0.1301775148 -0.014198783 -0.139303482587065 0.09235668794/1/2015 -0.1224489796 -0.1625514403 -0.0809248554913295 -0.20116618085/1/2015 0.0697674419 0.2186732187 -0.0440251572327044 0.06569343076/1/2015 -0.0652173913 -0.0745967742 -0.105263157894737 -0.03082191787/1/2015 -0.007751938 -0.1252723312 -0.301470588235294 -0.06007067148/3/2015 -0.0703125 -0.1469489415 0.0526315789473684 -0.10902255649/1/2015 -0.1512605042 0.0583941606 -0.028 -0.1181434599

10/1/2015 0.3267326733 0.0979310345 -0.222222222222222 0.1291866029

InputReturn Bebas Resiko (RBR) = 0.00625

E(Ri) -0.0001951126 0.0012780569 -0.0406256269423915 -0.0007659881Standard Deviasi 0.1146836818 0.1023610893 0.107051176187613 0.0812778779

βi -0.0064797034 0.0004522735 0.0134781166182137 0.0062133888(Alpha)i 0.0025048976 0.0003291388 -0.0215645446441736 -0.0027818239

Kovarian ei kuadrat 0.0129752431 0.0104769298 0.0106936946808475 0.0064432484ERBi 0.9946616736 -10.993222353 -3.47790631808644 -1.1291725487

Hasil Pengurutan ERBi dari Nilai Terbesar ke Terkecil

NAMA SAHAM ERBi E(Ri) Standard Deviasi βiBBRI 6.4760982353 0.0149872271 0.0883662732263036 0.0013491499ACES 0.9946616736 -0.0001951126 0.114683681842933 -0.0064797034CTRA 0.8338905804 0.0206759373 0.146272408889492 0.0172995566TLKM -0.5395566676 0.0094001149 0.0578313093555571 -0.0058383393ASII -1.1291725487 -0.0007659881 0.0812778779143742 0.0062133888SILO -1.3253778431 0.0114863871 0.11233708151888 -0.0039508636

GGRM -1.3495392488 0.003351814 0.0683449557226352 0.0021475374GIAA -3.2573739254 47.219460578 216.657610841995 -14.494255698

ANTM -3.4779063181 -0.0406256269 0.107051176187613 0.0134781166AALI -10.993222353 0.0012780569 0.10236108927439 0.0004522735

Output1

NAMA SAHAM Zi Wi Nama SahamCTRA 0.9820103701 -0.2078687644 ANTMACES -0.0982031438 0.0207873224 ASIICTRA 0.030825885 -0.0065251232 GGRMTLKM 2.4398555337 -0.5164606917 AALIASII -1.8584364923 0.3933877982 ACESSILO 0.6682639243 -0.1414559361 CTRA

GGRM -0.9914812781 0.2098735354 CTRAGIAA 0.0012763144 -0.0002701661 TLKM

ANTM -5.3892852735 1.1407863957 SILOAALI -0.5090102217 0.1077456298 GIAA

61%21%

11% 6%1%

Portofolio Optimal Model SIM

ANTMASIIGGRMAALIACES


BBRI CTRA GIAA GGRM TLKM SILO0 0 0 0 0 0

0.1141141141 0.140357981695959 993 0.138424821 0.021978022 0.09090909090.0323450135 0.189742288961039 0 0.035639413 -0.047311828 -0.0190476190.0339425587 -0.125003197994218 -0.9990648461 0.1437246964 0.0225733634 0.0679611650.0303030303 0.0394140522206954 -0.0498915401 -0.0787610619 0.1368653422 0.36363636360.012254902 -0.123228970341407 -0.0365296804 0.027857829 -0.0427184466 -0.0366666667

0.0847457627 0.248649804823272 0.0355450237 0.0130841121 0.0750507099 -0.0103806228-0.0133928571 0.0519549483962144 -0.0091533181 -0.0036900369 0.0056603774 0.0541958042-0.056561086 -0.164613543286572 -0.0415704388 0.049537037 0.0938086304 -0.00331674960.0623501199 0.128085923413546 0.2771084337 0.0189677989 -0.0566037736 -0.08319467550.0406320542 0.14410125707374 -0.0754716981 0.0593073593 0.0272727273 -0.01088929220.010845987 -0.0457998550111763 0.1326530612 -0.0077646097 0.014159292 0.0055045872

0.0021459227 0.151995504871042 0.0720720721 -0.0477759473 -0.0122164049 -0.02189781020.1027837259 0.0312506440421805 -0.1176470588 -0.0756920415 0.0371024735 -0.08768656720.0310679612 -0.00673488149006763 -0.0628571429 -0.0453907347 -0.0153321976 0.0961145194-0.1242937853 -0.0677920632046303 0.2093495935 -0.0196078431 -0.0951557093 0.05970149250.0129032258 0.0399942443972804 -0.2117647059 -0.058 0.0879541109 -0.0070422535-0.1210191083 -0.115382486821534 -0.0511727079 -0.042462845 0.0298769772 0.0212765957-0.0338164251 -0.169962854349951 -0.0179775281 0.0975609756 0.0034129693 0.1493055556

0.0625 -0.17619016214281 -0.2540045767 -0.101010101 -0.0238095238 -0.0876132931-0.1858823529 -0.067932296431839 -0.0521472393 -0.0561797753 -0.0783972125 -0.18046357620.2167630058 0.331288343558282 0.0355987055 0.0226190476 0.0132325142 -0.1191919192

0.0149872271 0.020675937256145 47.219460578 0.003351814 0.0094001149 0.01148638710.0883662732 0.146272408889492 216.65761084 0.0683449557 0.0578313094 0.11233708150.0013491499 0.017299556554862 -14.494255698 0.0021475374 -0.0058383393 -0.00395086360.0054358332 0.00134574999023835 24.597709922 0.0004799978 0.0060737078 0.00615294360.0078009204 0.0201332452487095 46054.365993 0.0046515794 0.0032006811 0.01255377816.4760982353 0.833890580397022 -3.2573739254 -1.3495392488 -0.5395566676 -1.3253778431

Hasil Pengurutan ERBi dari Nilai Terbesar ke Terkecil

(Alpha)i Kovarian ei kuadrat Aj Sigma Aj Bj0.0054358332 0.00780092042392493 0.0015110818 0.0015110818 0.00023333210.0025048976 0.0129752431208904 9.7437227E-05 0.001608519 0.0032358974

0.00134575 0.0201332452487095 0.0179335176 0.0195420366 0.01486470030.0060737078 0.00320068109640001 0.1920469961 0.2115890327 0.0106496727-0.0027818239 0.00644324837545393 0.0055098814 0.2170989142 0.00599172940.0061529436 0.0125537780972483 -0.0028266104 0.2142723037 0.00124339650.0004799978 0.00465157941626283 -0.004442937 0.2098293668 0.000991473324.597709922 46054.3659929055 -0.0145478944 0.1952814723 0.0045616402

-0.0215645446 0.0106936946808475 -0.051203719 0.1440777533 0.01698754570.0003291388 0.0104769297782102 5.5171817E-05 0.1441329251 1.9523975E-05

1.8725806815Wi Portofolio Optimal

60.9% bp -0.001969382621.0% ap -0.000921470511.2%5.8%1.1%0.0%0.0%0.0%0.0%0.0%

61%21%

11% 6%1%

Portofolio Optimal Model SIM

ANTMASIIGGRMAALIACES


IHSG (Rm)0

-0.89544082219.32046346050.01507235070.011107559

-0.00313168360.04309033360.00944446990.0001394448-0.00934919460.01185592950.01496315850.01194904690.03041744250.0125462701-0.0783249630.0255492032-0.0586078405-0.0220193281-0.0609932572-0.06335335540.0547530775

0.3985776812.05380291790.9523809524-0.22073362360.39215955430.4119440651

Sigma Bj Ci Nama Saham Ci0.0002333321 0.0063676 ASII 0.7980153774 C* = portofolio optimal0.0034692295 0.006687 TLKM 0.79527765660.0183339299 0.0765133 SILO 0.78404182210.0289836026 0.7952777 GGRM 0.76500934170.034975332 0.7980154 GIAA 0.7003225482

0.0362187284 0.7840418 AALI 0.48717895890.0372102018 0.7650093 ANTM 0.48702461440.041771842 0.7003225 CTRA 0.0765132766

0.0587593877 0.4870246 ACES 0.00668704890.0587789117 0.487179 BBRI 0.0063676367

Documents

Perhitungan Proyek 5 PTM #8