ANALISIS PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL PADA SAHAM INDEKS BUMN20 DI BURSA EFEK INDONESIAPERIODE 2020-2021

This study aims to determine the stocks formed in the optimal portfolio, the proportion of funds allocated and the rate of return and risk using a single index model on BUMN20 Index stocks listed on the Indonesia Stock Exchange for the 2020-2021 period. BUMN20 index stocks are listed in Indonesia with a population of 20 companies. The research method used in this study is descriptive quantitative. The sample used is purposive sampling of 12 shares of companies whose issuers are active during a certain period, companies publish complete annual financial statements amd companies have positive net income. The results of this study indicate that the stocks selected as candidates for the optimal portfolio are BBNI 29.5%, BMRI 13.9% and SMGR 1.8%. The level of portfolio expected return is 12.3%, while the risk is 1.8%