摘要：Keyword: Key words: stock portfolio. Abstrack:ABSTRACT:In carrying out investment activities, an investor faced with two things: the rate of return and also the risks that may arise from uncertainty. Investing in the stock market of choice among investors, because it promises a higher return rate. But we need to remember that the greater the return, then the level the greater the risk. So investors minimize their liability risk by diversifying, diversification can be realized by combining a variety of securities in the investment, in other words they form a portfolio. Single index model analysis method can be used to determine the stocks that form the optimal portfolio and the proportions. JSE create an index known as the index of liquid 45 (LQ-45). This index consists of stocks that have large market capitalization and high liquidity. Formation of optimal portfolio in July 2007 - June 2009 of 23 shares of LQ-45 of the continuous entry in the LQ-45 index, there are 4 stocks that can form the optimal portfolio, namely PTBA (Bukit Asam Coal Tbk) is 60.4876%, INKP (Indah Kiat Pulp %26 Paper Tbk) equal to 27.1575%, UNTR (United Tractors Tbk) equal to 10.7909%, AALI (Astra Agro Lestari Tbk) equal to 1.5640%. Promising portfolio returns the rate of 4.8693% per month with standard deviation / risk of 23.8590%.
