ANALISIS PORTOFOLIO OPTIMUM PERUSAHAAN AGRIBISNIS DI BURSA EFEK INDONESIA

Investment decision process is an understanding of the relationship between risk and return that is expected by an investor. An investor who will invest reasonably to derive the maximum possible benefit. In general economics and special science of investing there is an assumption that investors are rational beings. Rational investor would choose stocks that provide maximum return or minimum risk, and this attitude is held by the risk averse. This study is conducted by using secondary data obtained from the Center for Capital Market Reference or Pusat Referensi Pasar Modal (PRP. M) in IDX (Indonesia Stock Exchange) at the Jakarta headquarters and representative offices Manado. The company is a joint field agribusiness studied in the period February 2011 - February 2012. The processed data is taken from the data in the study JCI, stock prices and dividends. Data were analyzed using a model of a single index. This model analyzes the variables of share and market in shaping the optimal portfolio The method of data analysis in this study using the value Excess Return to Beta (ERB) of each stock, and then narrow down the value of the shares with Cutoff Point (Ci). When ERB > Ci then, the stock is included in the optimal portfolio. However, if the ERB Ci maka, saham tersebut termasuk dalam portofolio optimum. Namun, bila ERB < Ci, maka saham tersebut tidak termasuk dalam portofolio optimum. Penelitian sudah dilaksanakan pada April-Mei 2012. Hasil penelitian menunjukan bahwa 4 dari 9 saham Agribisnis , yaitu Agro Astra Lestari Tbk, bahtera Adimina Samudra Tbk, inti Agri Resources Tbk, dan Multibreeder Adirama tergolong sebagai portofolio optimum, dimana memiliki nilai ERB yang positif serta lebih besar dari Ci, atau tingkat return lebih besar dari resiko yang mungkin dihadapi portofolio tersebut. Kata Kunci: proses investasi, bursa saham, agribusiness