KOMPARASI PORTOFOLIO OPTIMAL MENGGUNAKAN METODE SINGLE INDEX MODEL (SIM) DAN CONSTANT CORRELATION MODEL (CCM) PADA PERUSAHAAM INDEKS MNC 36 PERIODE NOVEMBER 2017 – APRIL 2018

Abstract

This study aims to find out what are the combinations of securities that can form an optimal portfolio by
applying the Single Index Model (SIM) method and the Constant Correlation Model (CCM) method, to
analyze differences from the optimal return value that will be formed by applying the Single Index Model
(SIM) method and the Constant Correlation Model (CCM) method, to analyze differences in the optimal
risk value that will be formed by applying the Single Index Model (SIM) method and the Constant
Correlation Model (CCM) method. A portfolio is said to be optimal if a portfolio has a combination of a
return and a best risk. All optimal portfolios formed using the Single Index Model (SIM) method obtain a
portfolio return of 2% and obtain a portfolio risk of 8%, and for the Constant Correlation Model (CCM)
method to obtain a portfolio return of 34% and obtain a portfolio risk of 1%