teori investasi dan porto folio
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jadi investasi itu buat wealthTRANSCRIPT
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TEORI INVESTASI DAN PORTOFOLIO
DEPARTEMEN AGRIBISNISFAKULTAS EKONOMI DAN MANAJEMEN BOGOR AGRICULTURE UNIVERSITY2010
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INVESTASI
• NET ADDITION TO EXISTING CAPITAL STOCK• CAPITAL ACCUMULATION• CAPITAL FORMULATIONCapital di sini berbeda dengan pengertian capital
(modal)
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INVESTASI
• INVESTMENT: the commitment of funds to one or more assets that will be held over some future time period
• INVESTMENT ANALYSIS: The study of the investment process→focus: the management of an investor’s wealth
• WEALTH : the sum of current income and the present value of all future income
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INVESTMENTS
• INVESTMENTS terdiri dari aset keuangan (financial asset) maupun aset nyata (real asset) dan aset yang daat dipasarkan (marketable asset) maupun tidak dapat dipasarkan (non-marketable assets securities).
• FINANCIAL ASSETS : are paers (or electronic) claims on some issuers (government or corporotion).
• REAL ASSETS : are tangible assets• MARKETABLE SECURITIES : are financial assets that are
easily and cheaphly tradable in organized markets.
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INVESTASI
• The investments of funds in various assets is only part of the overall financial decision making and planning that most individuals must do.
• Kombinasi optimasi dari aset keuangan → wealth naik
• Wealth harus dievaluasi dan dikelola dalam konteks portofolio yang merupakan pengaturan aset seorang investor
• Mengapa kita berinvestasi? → unutk meningkatkan kekayaan moneter saat ini maupun masa depan
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INVESTASI• Investasi Tetap (fixed Investment)1. Business fixed investment 2. Residential investment • Investasi Persediaan (Inventory Investment)J.A Schumpeter:Induced investment Investasi yang besar dan kecilnya sangat tergantung / dipengruhi oleh
perubahan pendapatan nasional, volume penjualan, keuntungan perusahaan, dll.
Outonomous Investment Investasi yang besar dan kecilnya tidak dipengaruhi oleh tingkat
pendapatan, tetapi ditentukan oleh perubaha-perubahan yang bersifat jangka panjang; adanya penemuan baru, teknologi baru, dll
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The Basic Nature of Investment Decisions
• Investors berharap mendapatkan pengembalian dari investasinya:
a. Pengemabalian yang diharapkan (expected return = pengembalian yang telah diantisipasi untuk beberapa periode ke depan)
b. Realized return (pengembalian aktual dari beberapa periode yang telah lalu)
• Investors harus selalu memperhitungkan risiko yang ada dalam suatu investasi
• Risiko didefinisikan sebagai peluang pengmbalian investasi yang berbeda dari pengembalian yang diharapkan
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INVESTASI
• IN ECONOMICThe standard assumption in that investors are
rational → prefer certainty to uncertainty.• Risk Avers InvestorsAn investor who will not assume a given level of
risk unless he or she expects to be adequately compensated.
• The Expected Return - Risk TradeoffSlope upward
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Teori Investasi
• Internal funds theory of investment• Marginal efficiency of capital • Akselerator• Neoclassical theory of investment• Tobin q
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Internal Fund Theory of InvestmentStok kapital yang diinginkan dan investasi bergantung pada tingkat keuntungan
perusahaan Jan Tinbergen Realized profits secara aktual merefleksikan keuntungan yang diharapakan
(expected profits)Sumber Investasi • Pendapatan laba yang tidak dibagikan (retained earnings)• Pengeluaran depresiasi• Pinjaman• Penjualan obligasi• Penjualan saham, dllSumber Investasi Internal• Pendapatan laba yang tidak dibagikan (retained earnings) • Pengeluaran depresiasi Dipengaruhi oleh kebijakan pajak
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Marginal Efficiency of capital (MEC)
John maynard Keynes, 1936• Tingkat perolehan bersih yang diharapkan
(expected net rate of return) atas pengeluaran kapital tambahan.
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Marginal Efficiency of Capital (MEC)
Tingkat diskonto yang menyamakan aliran perolehan yang diharapkan di masa yang akan datang dengan biaya sekarang dari kapital tambahan
Formula umum
Ck = Current cost dari investasi R = Expected returnTahun = 1,2,…,n
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Keputusan Investasi
• Keputusan InvestasiDitentukan antara Present Value (PV) dengan
Current Cost (Ck) dari kapital tambahan.• JikaPV>Ck = investasi dilakukanPV<Ck = investasi tidak dilakukan
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Present Value
• Present Value
PV = Present Value R = Expected returnI = Interset RateTahun = 1,2,…,n
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Keputusan Investasi
Keputusan Investasi• Ditentukan jika MEC > i• Menunjukan tingkat perolehan bersih yang
diharapkan lebih besar daripada biaya peminjaman
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Permintaan Investasi
Permintaan Investasi • menunjukan permintaan kapital tambahan
terhadap tingkat suku bunga (i) pada MEC tertentu
I1 I2
i1
i1
Suku Bunga (i)
Investasi (I)
I = f(i)
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Structuring The Decisions Process
To maximize the expected returns → choose securities → 2 steps:
1. Security Analysis Involves the valuation and analysis of individual
securities → harus tahu karakteristik sekuritas2. Portofolio managementThe management of a group of assets →
portofolio performance
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Portofolio Theory
• Portofolio Means combination of assets invested in and held by an
investor • Classic portofolio theory The Markowitz model →diversifikasi portofolio akan
menurunkan risiko portofolio• Efficient Portofolio (Markowitz): A portofolio which has the largest expected return for a
given level of risk or the smallest risk for a given level of expected return
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Assumptions of Markowitz Model
1. Investor like return an dislike risk2. Act rationally in making decisions3. Make decisions on the basis of maximizing
their expected utilityType of data4. Ex-post : actual return and risk values for the
period5. Ex-ante : expected future events
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Optimal PortofolioThe Single-Index Model
A model that related return on each security to return on a market index
Rit = ai + biRMi + e itRit = The random return (TR) on security I in period tRmi = The random return (TR) on market index in period tai = The constant return unique to security Ibi = Measure of the sensitivity of the stock’s return to the
return on the market indexeit = The random residual error in periode t, or the different
between actual return for some period and the return expected given the market return
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Optimal Portofolio
E (Ri) = ai + bi RM + C1 NF + eNF = Non market factorRm = The random return (TR) on market
index in period tE (Ri) = ai + bi E (RM)