Portfolio optimization using the capital asset pricing model (CAPM) at the idx-30 index company on the Indonesia stock exchange (IDX)

The purpose of this study was to find out how to optimize portfolios using the Capital Asset Pricing Model (CAPM) method at IDX-30 Index companies on the Indonesia Stock Exchange (IDX). This model based itself on equilibrium conditions. In market equilibrium conditions, the level of return required by investors for a stock would be affected by the risk of the stock. The research method used was a descriptive method that explained how to optimize the portfolio using the CAPM method. This method focused on solving existing problems or actual problems. The data collected was initially arranged, explained and then analyzed (this method was often called the analytic method). In this study the data had been analyzed using the formula CAPM ki=Rf+ i(ERm-Rf ). Based on the results of the calculation of the CAPM analysis showed that shares of Lippo Karawaci Tbk with a risk level of -0.027395 and an expected rate of return of 5.2% were stocks that had the highest rate of return with little risk. There were also four stocks that had a high rate of return with little risk, namely Matahari Departement Store Tbk shares had a risk level of -0.01845 and a return rate of 5.1%, shares of Bank Rakyat Indonesia (Persero) Tbk had a risk level of -0.015186 and a rate of return of 5.1%, Sawit Sumbermas Sarana Tbk had a risk level of -0.013846 and a rate of return of 5.1%, Indonesian cement shares (Persero) Tbk had a risk level of -0.00988 and the level a return of 5.1%. These stocks were stocks that formed portfolio optimization at the IDX-30 stock index on the Indonesia Stock Exchange. Thus, the Capital Asset Pricing Model (CAPM) could explain how to optimize portfolios at the IDX-30 stock index. It could also be concluded that the optimal stock among stocks at the IDX-30 index was LPKR shares. While the efficient shares were LPPF shares, BBRI shares, SSMS shares, SMGR shares.