NO TGL BNI BNOBU BPD JABAR BRI

1 3-Oct-16 5,625.00 468.00 1,620.00 12,275.00

2 4-Oct-16 5,575.00 468.00 1,640.00 12,275.00
3 5-Oct-16 5,525.00 468.00 1,625.00 12,300.00
4 6-Oct-16 5,400.00 460.00 1,575.00 12,400.00
5 7-Oct-16 5,300.00 460.00 1,595.00 11,975.00
6 10-Oct-16 5,300.00 440.00 1,590.00 11,850.00
7 11-Oct-16 5,200.00 446.00 1,635.00 11,950.00
8 12-Oct-16 5,175.00 446.00 1,660.00 12,000.00
9 13-Oct-16 5,375.00 448.00 1,735.00 11,975.00
10 14-Oct-16 5,475.00 448.00 1,700.00 12,225.00
11 17-Oct-16 5,500.00 460.00 1,635.00 12,150.00
12 18-Oct-16 5,400.00 460.00 1,600.00 12,200.00
13 19-Oct-16 5,400.00 450.00 1,585.00 12,150.00
14 20-Oct-16 5,450.00 450.00 1,630.00 12,125.00
15 21-Oct-16 5,425.00 450.00 1,730.00 12,225.00
16 24-Oct-16 5,450.00 458.00 1,675.00 12,200.00
17 25-Oct-16 5,475.00 468.00 1,620.00 12,150.00
18 26-Oct-16 5,450.00 472.00 1,615.00 12,075.00
19 27-Oct-16 5,525.00 468.00 1,615.00 12,200.00
20 28-Oct-16 5,525.00 496.00 1,595.00 12,200.00
PANIN ARTHA PERMATA BTPN MANDIRI MEGA
196.00 93.00 599.19 2,600.00 5,637.50 3,000.00
196.00 92.00 594.35 2,600.00 5,600.00 3,000.00
195.00 92.00 584.69 2,650.00 5,500.00 2,950.00
192.00 91.00 589.52 2,530.00 5,475.00 2,950.00
193.00 94.00 584.69 2,620.00 5,450.00 2,950.00
192.00 93.00 589.52 2,630.00 5,450.00 2,950.00
190.00 92.00 584.69 2,600.00 5,425.00 3,070.00
187.00 89.00 579.86 2,590.00 5,500.00 3,070.00
186.00 88.00 575.03 2,610.00 5,525.00 3,000.00
188.00 89.00 584.69 2,600.00 5,675.00 3,000.00
187.00 89.00 589.52 2,600.00 5,687.50 3,000.00
196.00 91.00 579.86 2,650.00 5,700.00 3,000.00
192.00 91.00 575.03 2,670.00 5,687.50 3,000.00
189.00 90.00 575.03 2,670.00 5,650.00 3,000.00
192.00 90.00 570.19 2,670.00 5,612.50 3,000.00
195.00 94.00 579.86 2,680.00 5,600.00 3,000.00
192.00 93.00 579.86 2,680.00 5,587.50 3,000.00
190.00 92.00 565.36 2,870.00 5,537.50 3,000.00
190.00 91.00 555.70 2,910.00 5,662.50 3,000.00
190.00 92.00 550.86 2,870.00 5,687.50 3,000.00
MNC MAYBANK DANAMON BD BCA BTN
72.00 340.00 4,090.00 620.00 15,975.00 1,930.00
72.00 348.00 4,070.00 630.00 15,950.00 1,980.00
70.00 358.00 4,040.00 625.00 15,800.00 1,930.00
70.00 340.00 3,890.00 615.00 15,775.00 1,950.00
70.00 334.00 3,840.00 615.00 15,800.00 1,925.00
69.00 334.00 3,810.00 620.00 15,700.00 1,920.00
68.00 332.00 3,960.00 625.00 15,800.00 1,915.00
69.00 332.00 4,000.00 625.00 15,600.00 1,915.00
69.00 330.00 3,980.00 615.00 15,450.00 1,900.00
68.00 326.00 3,980.00 615.00 15,800.00 1,950.00
68.00 328.00 4,000.00 610.00 15,900.00 1,940.00
69.00 322.00 3,920.00 610.00 16,050.00 1,920.00
69.00 314.00 3,880.00 610.00 15,975.00 1,920.00
69.00 312.00 3,870.00 675.00 15,750.00 1,920.00
69.00 318.00 3,950.00 655.00 15,800.00 1,910.00
70.00 318.00 3,980.00 660.00 15,675.00 1,940.00
68.00 396.00 3,870.00 675.00 15,500.00 1,940.00
67.00 398.00 3,810.00 670.00 15,500.00 1,935.00
66.00 370.00 3,920.00 660.00 15,525.00 1,940.00
66.00 366.00 3,830.00 670.00 15,600.00 1,920.00
ADIRA BII CIMB BCI AMRC CORP MITRA NG
6,150.00 2,080.00 875.00 212.00 15.63 192.00
6,200.00 2,080.00 900.00 212.00 15.80 187.00
6,175.00 2,070.00 880.00 200.00 16.11 187.00
6,075.00 2,070.00 895.00 197.00 16.22 187.00
6,125.00 2,040.00 890.00 194.00 16.13 187.00
6,100.00 2,040.00 885.00 193.00 16.30 187.00
6,125.00 2,040.00 915.00 190.00 16.11 186.00
6,150.00 2,040.00 905.00 190.00 16.03 186.00
6,075.00 2,040.00 890.00 188.00 15.83 186.00
6,150.00 2,040.00 900.00 187.00 16.00 186.00
6,175.00 2,040.00 890.00 187.00 16.05 186.00
6,200.00 2,010.00 890.00 190.00 16.26 186.00
6,225.00 2,010.00 890.00 192.00 16.47 186.00
6,175.00 2,010.00 875.00 193.00 16.56 186.00
6,100.00 2,010.00 890.00 193.00 16.67 186.00
6,100.00 2,010.00 950.00 200.00 16.77 186.00
6,200.00 2,010.00 950.00 200.00 16.72 186.00
6,200.00 2,000.00 945.00 196.00 16.87 186.00
6,300.00 2,000.00 970.00 195.00 16.91 186.00
6,300.00 2,000.00 960.00 194.00 16.68 186.00
JUMLAH IHSG
64,665.32 0.00
64,685.15 19.83
64,240.80 -444.35
63,742.74 -498.06
63,257.82 -484.92
62,958.82 -299.00
63,364.80 405.98
63,324.89 -39.91
63,255.86 -69.03
64,202.69 946.83
64,238.07 35.38
64,260.12 22.05
64,088.00 -172.12
63,880.59 -207.41
64,062.36 181.77
64,037.63 -24.73
63,857.08 -180.55
63,790.73 -66.35
64,366.11 575.38
64,315.04 -51.07
NO TGL BNI BNOBU BPD JABAR BRI
1 3-Oct-16 0.00000 0.00000 0.00000 0.00000
2 4-Oct-16 -0.00889 0.00000 0.01235 0.00000
3 5-Oct-16 -0.00897 0.00000 -0.00915 0.00204
4 6-Oct-16 -0.02262 -0.01709 -0.03077 0.00813
5 7-Oct-16 -0.01852 0.00000 0.01270 -0.03427
6 10-Oct-16 0.00000 -0.04348 -0.00313 -0.01044
7 11-Oct-16 -0.01887 0.01364 0.02830 0.00844
8 12-Oct-16 -0.00481 0.00000 0.01529 0.00418
9 13-Oct-16 0.03865 0.00448 0.04518 -0.00208
10 14-Oct-16 0.01860 0.00000 -0.02017 0.02088
11 17-Oct-16 0.00457 0.02679 -0.03824 -0.00613
12 18-Oct-16 -0.01818 0.00000 -0.02141 0.00412
13 19-Oct-16 0.00000 -0.02174 -0.00938 -0.00410
14 20-Oct-16 0.00926 0.00000 0.02839 -0.00206
15 21-Oct-16 -0.00459 0.00000 0.06135 0.00825
16 24-Oct-16 0.00461 0.01778 -0.03179 -0.00204
17 25-Oct-16 0.00459 0.02183 -0.03284 -0.00410
18 26-Oct-16 -0.00457 0.00855 -0.00309 -0.00617
19 27-Oct-16 0.01376 -0.00847 0.00000 0.01035
20 28-Oct-16 0.00000 0.05983 -0.01238 0.00000
Variance 0.0002069 0.0004159 0.0007191 0.0001153
 PANIN ARTHA PERMATA BTPN MANDIRI MEGA
0.00000 0.00000 0.00000 0.00000 0.00000 0.00000
0.00000 -0.01075 -0.00808 0.00000 -0.00665 0.00000
-0.00510 0.00000 -0.01625 0.01923 -0.01786 -0.01667
-0.01538 -0.01087 0.00826 -0.04528 -0.00455 0.00000
0.00521 0.03297 -0.00819 0.03557 -0.00457 0.00000
-0.00518 -0.01064 0.00826 0.00382 0.00000 0.00000
-0.01042 -0.01075 -0.00819 -0.01141 -0.00459 0.04068
-0.01579 -0.03261 -0.00826 -0.00385 0.01382 0.00000
-0.00535 -0.01124 -0.00833 0.00772 0.00455 -0.02280
0.01075 0.01136 0.01680 -0.00383 0.02715 0.00000
-0.00532 0.00000 0.00826 0.00000 0.00220 0.00000
0.04813 0.02247 -0.01639 0.01923 0.00220 0.00000
-0.02041 0.00000 -0.00833 0.00755 -0.00219 0.00000
-0.01563 -0.01099 0.00000 0.00000 -0.00659 0.00000
0.01587 0.00000 -0.00842 0.00000 -0.00664 0.00000
0.01563 0.04444 0.01696 0.00375 -0.00223 0.00000
-0.01538 -0.01064 0.00000 0.00000 -0.00223 0.00000
-0.01042 -0.01075 -0.02501 0.07090 -0.00895 0.00000
0.00000 -0.01087 -0.01709 0.01394 0.02257 0.00000
0.00000 0.01099 -0.00871 -0.01375 0.00442 0.00000
0.0002434 0.0003123 0.0001282 0.0004860 0.0001100 0.0001291
 MNC MAYBANK DANAMON BD BCA BTN
0.00000 0.00000 0.00000 0.00000 0.00000 0.00000
0.00000 0.02353 -0.00489 0.01613 -0.00156 0.02591
-0.02778 0.02874 -0.00737 -0.00794 -0.00940 -0.02525
0.00000 -0.05028 -0.03713 -0.01600 -0.00158 0.01036
0.00000 -0.01765 -0.01285 0.00000 0.00158 -0.01282
-0.01429 0.00000 -0.00781 0.00813 -0.00633 -0.00260
-0.01449 -0.00599 0.03937 0.00806 0.00637 -0.00260
0.01471 0.00000 0.01010 0.00000 -0.01266 0.00000
0.00000 -0.00602 -0.00500 -0.01600 -0.00962 -0.00783
-0.01449 -0.01212 0.00000 0.00000 0.02265 0.02632
0.00000 0.00613 0.00503 -0.00813 0.00633 -0.00513
0.01471 -0.01829 -0.02000 0.00000 0.00943 -0.01031
0.00000 -0.02484 -0.01020 0.00000 -0.00467 0.00000
0.00000 -0.00637 -0.00258 0.10656 -0.01408 0.00000
0.00000 0.01923 0.02067 -0.02963 0.00317 -0.00521
0.01449 0.00000 0.00759 0.00763 -0.00791 0.01571
-0.02857 0.24528 -0.02764 0.02273 -0.01116 0.00000
-0.01471 0.00505 -0.01550 -0.00741 0.00000 -0.00258
-0.01493 -0.07035 0.02887 -0.01493 0.00161 0.00258
0.00000 -0.01081 -0.02296 0.01515 0.00483 -0.01031
0.0001542 0.0037126 0.0003448 0.0007364 0.0000783 0.0001512
 ADIRA BII CIMB BCI AMRC CORP MITRA NG
0.00000 0.00000 0.00000 0.00000 0.00000 0.00000
0.00813 0.00000 0.02857 0.00000 0.01088 -0.02604
-0.00403 -0.00481 -0.02222 -0.05660 0.01962 0.00000
-0.01619 0.00000 0.01705 -0.01500 0.00683 0.00000
0.00823 -0.01449 -0.00559 -0.01523 -0.00555 0.00000
-0.00408 0.00000 -0.00562 -0.00515 0.01054 0.00000
0.00410 0.00000 0.03390 -0.01554 -0.01166 -0.00535
0.00408 0.00000 -0.01093 0.00000 -0.00497 0.00000
-0.01220 0.00000 -0.01657 -0.01053 -0.01248 0.00000
0.01235 0.00000 0.01124 -0.00532 0.01074 0.00000
0.00407 0.00000 -0.01111 0.00000 0.00312 0.00000
0.00405 -0.01471 0.00000 0.01604 0.01308 0.00000
0.00403 0.00000 0.00000 0.01053 0.01292 0.00000
-0.00803 0.00000 -0.01685 0.00521 0.00546 0.00000
-0.01215 0.00000 0.01714 0.00000 0.00664 0.00000
0.00000 0.00000 0.06742 0.03627 0.00600 0.00000
0.01639 0.00000 0.00000 0.00000 -0.00298 0.00000
0.00000 -0.00498 -0.00526 -0.02000 0.00897 0.00000
0.01613 0.00000 0.02646 -0.00510 0.00237 0.00000
0.00000 0.00000 -0.01031 -0.00513 -0.01360 0.00000
0.0000801 0.0000210 0.0004705 0.0003087 0.0000865 0.0000346
 IHSG
0.00000
0.00000
-23.40797
0.12087
-0.02638
-0.38340
-2.35779
-1.09831
0.72964
-14.71621
-0.96263
-0.37677
-8.80590
0.20503
-1.87638
-1.13605
6.30085
-0.63251
-9.67189
-1.08876
-59.18455
 Risk Free 6%

No Nama Perusahaan E (Ri) Beta Var - ei ERBi Ai

5 PANIN -0.00144 -7.409624E-05 0.000002150 829.18369 2.1175136432
22 MITRA NG -0.00157 -9.848827E-05 0.000000003 625.14513 1740.9268399
17 ADIRA 0.00124 -0.000134767 0.000007719 435.98369 1.0258844568
1 BNI -0.00080 -0.000158254 -0.012244834 384.18434 -0.000785775
9 MANDIRI 0.00049 -0.000190592 0.000021784 312.21979 0.5206218406
6 ARTHA -0.00039 -0.000201117 0.000002394 300.29000 5.0737900288
15 BCA -0.00115 -0.000302768 0.000030596 201.96919 0.6051298789
8 BTPN 0.00518 -0.000369265 0.000008070 148.45906 2.5084087747
13 DANAMON -0.00312 -0.000606693 0.000109418 104.03150 0.3499570661
4 BRI -0.00025 -0.000595077 0.000001482 101.24926 24.189026312
21 AMRC CORP 0.00330 -0.000703959 0.000002500 80.54835 15.968892149
12 MAYBANK 0.00526 0.0027457898 0.000446214 -19.93534 -0.336833408
20 BCI -0.00428 0.0013596901 0.000003027 -47.27400 -28.87716354
14 BD 0.00422 0.0009226112 0.000050379 -60.46077 -1.021563243
11 MNC -0.00427 0.000718993 0.000029329 -89.38523 -1.575476442
2 BNOBU 0.00311 0.0005691949 0.000000574 -99.95624 -56.40979631
3 BPD JABAR -0.00044 0.0003611321 0.000001075 -167.35983 -20.30515241
10 MEGA 0.00006 0.0003449401 0.000020958 -173.76788 -0.986511408
19 CIMB 0.00486 0.0002751333 0.000004480 -200.39433 -3.385922706
16 BTN -0.00019 0.000226136 0.000019175 -266.15932 -0.709823794
7 PERMATA -0.00414 0.0002055106 0.000005425 -312.07677 -2.429406145
18 BII -0.00195 7.671504E-06 0.000007042 -8075.21921 -0.067486929

Kesimpulannya : saham yang membentuk portofolio optimal adalah saham Bank Mitra
 Bi Aj Bj Ci Xi Wi
0.00255373 2.1175136432 0.00255373 0.1270313543 -25489.87914 0.17%
2.78483630 1743.0443536 2.78739004 89.597988747 -15143032.57 99.83%
0.00235303 1741.9527244 2.78718934 89.54279933 0 0.00%
-0.00000205 1.0250986821 0.00235099 0.0614972462 0 0.00%
0.00166749 0.5198360659 0.00166544 0.0311870475 0 0.00%
0.01689630 5.5944118695 0.01856379 0.3352912557 0 0.00%
0.00299615 5.6789199078 0.01989245 0.3403289958 0 0.00%
0.01689630 3.1135386536 0.01989245 0.1865896157 0 0.00%
0.00336395 2.8583658408 0.02026025 0.1712937232 0 0.00%
0.23890572 24.538983378 0.24226967 1.4512434662 0 0.00%
0.19825226 40.157918461 0.43715798 2.3478911472 0 0.00%
0.01689630 15.632058741 0.21514856 0.9259702545 0 0.00%
0.61084667 -29.21399695 0.62774297 -1.689216201 0 0.00%
0.01689630 -29.89872679 0.62774297 -1.728808754 0 0.00%
0.01762569 -2.597039685 0.03452199 -0.15550029 0 0.00%
0.56434492 -57.98527275 0.58197061 -3.361730659 0 0.00%
0.12132632 -76.71494872 0.68567124 -4.421015148 0 0.00%
0.00567718 -21.29166382 0.12700350 -1.267838633 0 0.00%
0.01689630 -4.372434114 0.02257348 -0.261991204 0 0.00%
0.00266691 -4.0957465 0.01956321 -0.245456675 0 0.00%
0.00778464 -3.139229939 0.01045156 -0.188235755 0 0.00%
0.00000836 -2.496893074 0.00779300 -0.149743567 0 0.00%
89.597988747 -15168522.45 100%

lah saham Bank Mitra Niaga dan Bank Panin dengan komposisi dana 99,83% dan 0,17%