Analisa Perbandingan Portofolio Optimal Yang Terbentuk Dengan Menggunakan Beta Historis Dan Beta Koreksi Blume
This research aims to study the optimal portfolio comparisons are made using historical beta and beta correction Blume on the concept of Single Index Model for the banking industry. This is done by analyzing the results of optimal portfolios using historical beta and the optimal portfolio using the...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Theses and Dissertations NonPeerReviewed |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2012
|
| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/98333/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=53486 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Universitas Gadjah Mada |
| Summary: | This research aims to study the optimal portfolio comparisons are made
using historical beta and beta correction Blume on the concept of Single Index
Model for the banking industry. This is done by analyzing the results of optimal
portfolios using historical beta and the optimal portfolio using the beta correction
Blume. Optimal portfolio results were then compared and tested statistically using
the T test to determine whether significant differences in the resulting optimal
portfolios using historical beta and beta correction Blume
The results of the analysis, the optimal portfolio using the beta correction
Blume generate average profits are higher than the average profits generated by
the historical beta. Further differences in the average gain was tested using the test
statistic T and obtained an average yield of the advantages of using historical beta
and beta Blume correction did not differ significantly
Use of beta Blume correction to adjust the historical beta values for the
formation of an optimal portfolio can be ignored for Investment Managers and
stock anaylst in decision making |
|---|