PORTOFOLIO OPTIMAL MENGGUNAKAN CAPITAL ASSET PRICING MODEL DENGAN KEYAKINAN HETEROGEN

• Main Authors: , ATHIKAH DIAN A, , Prof. Dr. rer. nat. Dedi Rosadi, S.Si., M.Sc.
• 格式: Theses and Dissertations NonPeerReviewed
• 出版: [Yogyakarta] : Universitas Gadjah Mada 2013
• 主題: ETD
• 在線閱讀: https://repository.ugm.ac.id/126925/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=67164
• 機構: Universitas Gadjah Mada

Investment is a form of financial activity which the investor put on their wealth on the market with the expectation of profit. The higher expectation of investment return, the higher risk that should be faced. Investor can minimalizing the investment risk by asset portfolio (diversification), which is investing their wealth on many assets, so that the risk of one asset can be covered by anothe assets. One of the single factor model that can be used to find the weight of each assets on portfolio is Capital Asset Pricing Model (CAPM). This model assume that investor under homogeneous belief about the future mean and covariance return of risky assets. This assumption has been discussed by many researchers since years ago even until now, since it is not realistic and agree with the real condition of the market, where each investors has their own belief about the future expected mean and covariance return. This work provide portfolio with CAPM under heterogeneous belief of future mean and covariance return to be compared with CAPM under homogeneous belief of future mean and covariance return, for its rate of return and risk. Then the result show that portfolio with CAPM under heterogeneous belief deliver higher return and lower risk than portfolio with CAPM under homogeneous belief.