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Menghitung Expected Return dan Risiko Investasi dengan Metode Capital Asset Pricing Model (CAPM) dan Fungsi Utility

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dc.contributor Fakultas Matematika dan Ilmu Pengetahuan
dc.creator Putri, Lita Dwi Kusumawati Wahyono
dc.creator Kurniati, Eti
dc.creator Rohaeni, Onoy
dc.date 2021-01-21
dc.date.accessioned 2021-03-15T03:43:01Z
dc.date.available 2021-03-15T03:43:01Z
dc.identifier http://karyailmiah.unisba.ac.id/index.php/matematika/article/view/25979
dc.identifier 10.29313/.v7i1.25979
dc.identifier.uri http://hdl.handle.net/123456789/28817
dc.description Abstract. One thing that investors pay attention to in investing is a practical and profitable financial instrument. The investor attitude in investing greatly affects the expected return and the risk of the investment. The greater the risk, the more probable it is to obtain large return. This study aims to calculate the expected return and the risk of investment using the capital asset pricing model (CAPM) and utility function method. The obtained results are positive values of efficient stocks from the two methods. Based on the CAPM method, the value of market balance related to expected return and risk of a portfolio is 0.00538. Meanwhile, individual securities related to expected return and systematic risk of AA shares are worth 0.00476, BB shares are worth 0.00544, and CC shares are worth 0.00440. Based on the risk in the utility function, the greater the risk rejection index, the smaller the obtained utility value.Keywords: Expected Return, Risk, Capital Asset Pricing Model (CAPM), Utility Function.Abstrak. Salah satu yang diperhatikan oleh investor dalam berinvestasi adalah instrument keuangan yang praktis dan memiliki keuntungan (return) yang menarik. Sikap investor dalam berinvestasi sangat memengaruhi expected return dan risiko. Semakin besar risiko maka semakin besar pula kemungkinan mendapat return yang tinggi. Penelitian ini bertujuan untuk menghitung expected return dan risiko investasi dengan metode capital asset pricing model (CAPM) dan fungsi utiliy. Hasil yang diperoleh adalah nilai positif untuk kedua metode yang terbentuk dari saham-saham efisien. Berdasarkan metode CAPM, keseimbangan pasar yang berhubungan dengan expected return dan risiko dari suatu portofolio bernilai 0.00538. Sedangkan, sekuritas individual yang berhubungan dengan expected return dan risiko sistematis untuk saham AA bernilai 0.00476, saham BB bernilai 0.00544, dan saham CC bernilai 0.00440. Berdasarkan risiko pada fungsi utility, semakin besar indeks penolakan risiko maka semakin kecil nilai utility yang diperoleh.Kata Kunci: Expected Return, Risiko, Capital Asset Pricing Model (CAPM), Fungsi Utiliy.
dc.format application/pdf
dc.language eng
dc.publisher Universitas Islam Bandung
dc.relation http://karyailmiah.unisba.ac.id/index.php/matematika/article/view/25979/pdf
dc.rights Copyright (c) 2021 Prosiding Matematika
dc.source Prosiding Matematika; Vol 7, No 1, Prosiding Matematika (Februari,2021); 31-39
dc.source Prosiding Matematika; Vol 7, No 1, Prosiding Matematika (Februari,2021); 31-39
dc.source 2460-6464
dc.source 10.29313/.v7i1
dc.subject Matematika
dc.subject Expected Return, Risiko, Capital Asset Pricing Model (CAPM), Fungsi Utiliy.
dc.title Menghitung Expected Return dan Risiko Investasi dengan Metode Capital Asset Pricing Model (CAPM) dan Fungsi Utility
dc.type info:eu-repo/semantics/article
dc.type info:eu-repo/semantics/publishedVersion
dc.type Peer-reviewed Article
dc.type Kuantitatif


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