NAMA
: ROBERTUS ROBERTUS WILLY WILLY GONZAGA
NIM
: 142140182
KELAS
: EA-C
MATA KULIAH
: AN ANALISIS IN INVESTASI
BAB 8 PEMILIHAN PORTOFOLIO
MENENTUKAN ATTAINABLE SET DAN EFFICIENT SET
Inve!"# $%&%! 'e'()(* +"',(n%( $%#( %+!(v%-%+!(v% n!+ 'e',en!+ &"#!".")("n/% Se)#* e! /%n 'e',e#(+%n +e'n+(n%n &"#!".")(" /%n $%&%! $(,en!+ $%#( +"',(n%( %+!(v%-%+!(v% /%n !e#e$(% $(e,! $en%n opportunity set %!% %!% attainable set K'&)%n e!3 $%#( &"#!".")(" /%n e.((en $(e,! $en%n efficient set %!% %!% efficient frontier % K"#e)%( An!%#% Se+#(!% %$%)%* "(!(. Se'&#n% Un!+ +"#e)%( &"(!(. e'&#n% e'&#n% $% ,%* %+!(v% A $%n $%n B5 /%(! R' V%#(%n "#!".")(":
6AB 7 1
9 &27 %29A2 ,2 9B2 2 % , 9% 9B S,!(!( n()%( , $en%n n()%( 1-%3 :
9 &27 %29A2 1-%32 9B2 2 % 1- %3 9% 9B ev(%( S!%n$%# :
9 & 7 √ a 2. σ A 2 +( 1−a ) 2 . σ B 2+ 2 . a . (1 −a ). σ a . σ B , T($%+ T($%+ A$% A$% K"#e)%( An!%#% Se+#(!% Un!+ +"#e)%( %n!%# $% %+!(v% A $%n B e,e%# n") /%(! 6AB 7 0 $%n ,!(!(+%n , 7 1-%3 5 #' v%#(%n $%#( &"#!".")(" 'en;%$(:
9 &2 7 %2 9A2 1- %32 9B2 %n ;(+% $(n/%!%+%n $%)%' $ev(%( !%n$%# 'en;%$(:
9 & 7 √ a 2 . σ A 2 +(1 −a ) 2 . σ B 2
< K"#e)%( An!%#% Se+#(!% %$%)%* Ne%!(. Se'&#n% Un!+ +"#e)%( ne%!(. e'&#n% e '&#n% %n!%#% %+!(v% A $%n B /%(! 6AB 7 -15 '%+% #' v%#(%n $%#( &"#!".")(" e!e)%* $()%++%n ,!(!( , 7 1-%3 'en;%$(:
9 &2 7 %2 9A2 1- %32 9B2 = 2 % 1-%3 9% 9B ev(%( S!%n$%#: 9 & 7
√
%2 9A2 1- %32 9B2 = 2 % 1-%3
9% 9B
MENENTUKAN PORTOFOLIO EFISIEN
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(71
(71 ;71 (D; S,;e+ !e#*%$%& +en$%)%-+en$%)%: n 13 >( 7 1 (71 23 >( 0 n!+ ( 7 1 %'&%( $en%n n n @3 >( R( 7 R& ( 71 < "#!".")(" O&!('%) $en%n A+!(v% Be,% R((+" "#!".")(" /%n ,en%#-,en%# "&!('%) e<%#% '' !($%+ !e#%n!n &%$% &#e.e#en( (nve!"# !e#!en!3 $%&%! $(&e#")e* $en%n 'enn%+%n %+!(v% ,e,% #((+" A+!(v% ,e,% #((+" %$%)%* %+!(v% /%n 'e'&n/%( #e!#n e+&e+!%( !e#!en! $en%n #((+" %'% $en%n n") $ "#!".")(" O&!('%) $en%n A$%n/% S('&%n%n $%n (n;%'%n Be,% R((+" Inve!"# $%&%! 'e'%+%n %+!(v% ,e,% #((+" +e $%)%' &"#!".")(" "&!('%) %+!(v% ,e#((+" $%)%' ,en!+ ('&%n%n )en$(n3 %!% &(n;%'%n ,"##">(n3 %)%' ,en!+ ('&%n%n )en$(n3 ,e#%#!( 'e',e)( %+!(v% ,e,% #((+" $%n 'e'%+%nn/% +e$%)%' &"#!".")(" e.((en %+!(v% ,e#((+" %)%' ,en!+ &(n;%'%n ,"##">(n3 ,e#%#!( 'e'(n;%' e;')%* $%n% $en%n !(n+%! ,n% ,e,% #((+" 'en;%) %+!(v% ,e,% #((+"3 $%n 'enn%+%n $%n% (n( n!+ 'en%',%* &#"&"#( $( &"#!".")(" e.((en %+!(v% ,e#((+"
