摘要：Keywords: Portfolio, Return, RiskABSTRACTThe objective of this research is to determine the level of benefits and risks of theirrespective securities, knowing the level of expected return and risk in the portfolio that is formedfrom six securities and determine an efficient portfolio based on investor preferences BakrieGroup Companies listed in the Indonesia Stock Exchange securities (UNSP), (BUMI), (ENRG),(ELTY), (BTEL), (BNBR).This research is a field research case studies using Markowitz Model. The data used aremonthly stock price movement data of the six shares of the company during the three years fromMarch 2007 - March 2010.During the period March 2007 until March 2010 the possibility of the rate of profitgenerated from each of the securities is between 0.08% -0.532% with a risk level between 0.54%-45.49%. Based on ten portfolios that have been formed from six securities produce rates ofreturn between 1.88% -3.46% with a risk level between 14.43% -24.10%. When analyzed basedon investor risk preferences, it can be concluded that for investors who like risk (risk lover) willselect the portfolio to-9 as an efficient portfolio. With the proportion of shares UNSP 10%,BUMI 40%, ENRG 10%, ELTY 20 %, BTEL 10%, and BNBR10%, were resulting in a return of3.46% with expectations of 14.89% risk. For investors who are neutral to risk (risk-neutral) willselect the portfolio to-6 as an efficient portfolio. With the proportion of stock funds UNSP 15%,BUMI 40%, ENRG 10%, ELTY 15%, BTEL 10%, and BNBR 10%, were resulting in a returnexpectation of 3.27% with 14.63% risk. While for the investors who dislike risk (risk averter)will choose the portfolio to-3 as an efficient portfolio. With the proportion of shares UNSP 20%,BUMI 40%, ENRG 10%, ELTY 10 %, BTEL 10%, and BNBR 10%, were resulting in a returnof 3.09% with expectations of 14.43% risk.
