Optimal Portfolio: Case Study in Main Board and Development Board Indonesia Stock Exchange

Abstract

This study analyzed to obtain optimal portfolio with single index model and then compare this performance use Sharpe Index. The sample in this study is based on purposive sampling method on the basis of certain criteria. There are 26 companies in Main Board and 49 companies in Development Board are selected since forming optimal portfolio with single index model. The result shows that there are differences between optimal portfolio performance of Main Board and market portfolio (performance of Main Board), between optimal portfolio performance of Development Board and market portfolio (performance of Development Board). In addition, the difference also happens between optimal portfolio Main Board and optimal portfolio Development Board.

Keywords: Portfolio, Single Index Model, Main Board, Development Board