Analisis Penyusunan Portofolio Dengan Menggunakan Metode Data Envelopment Analysis

Abstract

This study aims to analyze portfolio selection using Data Envelopment Analysis (DEA) to produce high return and comparing its return with single index model. The data used in this study is a secondary data obtained from published financial statements and the Indonesian Capital Market Directory (ICMD) published by Indonesian Stock Exchange. This study used two models of DEA to measure the efficiency value of stock and formed into portfolios based on multiple criteria decision making that has been determined. The results from study indicates that the portfolio formed by two of DEA models yield higher returns when compared to the returns obtained by portfolio single index model. The results of this study are limited to the sample used and the criteria that have been determined in this study. However, from the results of this study indicates that the DEA method can made as an alternative tool that used to construct the optimal portfolio.

Keywords: Portfolio, DEA, Single Index Model