(Writers, Nelawani Angelia Sanggaria/05 38 021), The Optimal Portfolio Analysis Using Capital Asset Pricing Model to LQ-45 Shares, (First Counselor: Bahri, S.E., M.Si. Second Counselor: Mansur, S.Si., M.Si).
Capital market becomes an alternative for investors to invest their fund in shares. Investments in shares provide unlimited possibility for getting profit. Nevertheless, investors have to give attention not only the profit/return but also the possibility of realize return is not same with expected return or usually called risk. Return and risk moves in a same direction. Higher risk will be compensated with higher return. There are two kinds of investors, the risk takers and risk averse. But, most of investors in risk averse than risk takers.
There are two kinds of risk. They are systematic risk and unsystematic risk. Systematic risk or market risk can not be vanished by diversification but unsystematic risk can be. Investors can reduce the unsystematic risk by making portfolio investment.
For analysis, this research uses Capital Assets Pricing Model (CAPM). CAPM is a balancing model that measure correlation of risk and return in equilibrium market.
LQ-45 shares are the best forty five shares in Indonesia Stock Exchange. They are issued by famous companies with provable reputation in creating profit and paying dividend. For this analysis, researcher selected two shares that issued by PT. Indofood Sukses Makmur Tbk and PT. Kalbe Farma Tbk.
The result shows that portfolio investment of PT. Indofood Sukses Makmur Tbk and PT. Kalbe Farma Tbk gives higher return than each individual return.