Portofolio Reksadana Optimal Saham Bluechip pada Kondisi Pasar Saham Bearish dan Bullish

Abstract

in bullish and bearish markets, investors should seek the optimization of investments in the mutual funds. this research attempted to elaborate on how to divide funds that are less productive for the investors in accordance with the slogan, “don’t pull all of your eggs in one basket”; so that the objective of the return portfolio obtained becomes maximum, and the risk of the return becomes minimum all at once. By the operational and technical study, the data were analyzed by the goal programming model formulation and the simulation of the priorities. the results of the goal programming optimization analysis showed that in bearish market, the investors are risk averse who keep retaining the funds in the form of cash, at least 20% of cash to maintain the liquidity. As in the bearish market, it is not easy to trade the owned stocks although it is categorized as bluechip stocks. the risk averse investors will also invest the funds at the minimum rate (idr 20,000,000) on the stock with the lowest return risk, i.e. tlkM stocks. for the risk-seeking investors, they will also optimize the investment of the stocks portfolio with a similar pattern; nonetheless, it is significantly different from the investment into BUMI stocks. The risk-seeking investors invest the funds with the largest proportion of BuMi stocks, while the risk averse investors invest in the smallest proportion. in contrast, in the bullish market, both risk averse and risk seeking investors leave no part of the funds in cash. Both types of investors precisely maximize the investment proportion in BuMi stocks. Keywords: