RETURN MASING-MASING HARGA PENUTUPAN SAHAM

BULAN INDF.JK r1 TLKM.JK r2

4/1/2019 6950 -5.1672010544321 3790 2.8610534041266
5/1/2019 6600 6.24055661874297 3900 5.9719234701622
6/1/2019 7025 0.70922283094918 4140 3.7919234862294
7/1/2019 7075 11.3454876234043 4300 3.4289073478632
8/1/2019 7925 -2.8801990903706 4450 -3.196619206249
9/1/2019 7700 0 4310 -4.751487560751
10/1/2019 7700 3.19515998066024 4110 -4.478360262697
11/1/2019 7950 -0.3149608902896 3930 1.0126668817929
12/1/2019 7925 -1.2698583337128 3970 -4.376502796676
1/1/2020 7825 -18.552155952463 3800 -8.5099330518
2/1/2020 6500 -2.3347363996991 3490 -9.932970861552
3/1/2020 6350 2.71861403041568 3160 10.219094089655
4/1/2020 6525 -12.64410983995 3500 -10.53605156578
5/1/2020 5750 12.6441098399498 3150 -3.226086221822
6/1/2020 6525 -1.1560822401076 3050 0
7/1/2020 6450 16.7352191685794 3050 -6.431996578756
8/1/2020 7625 -6.4319965787559 2860 -11.08143663403
9/1/2020 7150 -2.1202207650603 2560 2.3167059281534
10/1/2020 7000 1.41846349919564 2620 20.930781946156
11/1/2020 7100 -3.5846131773136 3230 2.4466052154407
12/1/2020 6850 -12.419038023138 3310 -6.232546319783
1/1/2021 6050 0 3110 11.527901002319
2/1/2021 6050 2.04506104712908 3490 -4.393092922573
3/1/2021 6175 3340

E( r ) = -0.5140555524463 -0.54954440046
sigma^2 = 63.0147163884197 60.802464639327
sigma = 7.93818092439444 7.7975935159078
rho(12) = 0.29891514131633
rho(13) = 0.04375753339231
rho(23) = 0.1685304204494
sigma(12) = 18.5024610802534
sigma(13) = 3.60277623909524
sigma(23) = 13.6302041347818

Matriks M = 63.01471639 18.50246108 3.602776239 -0.514055552

 18.50246108 60.80246464 13.63020413 -0.5495444
3.602776239 13.63020413 107.5788576 -1.697509699
-0.514055552 -0.5495444 -1.697509699 0
1 1 1 0

Matriks M^-1 = 0.01124321705 -0.01159079622 0.0003475791659 0.3588072419

-0.01159079622 0.01194912064 -0.0003583244246 0.5012068589
0.0003475791659 0.0003583244246 1.074525876E-05 -0.8600141008
0.3588072419 0.5012068589 -0.8600141008 -95.63559296
0.6891647268 0.7682417281 -0.4574064549 -77.94726615

x= 0.01124321705 -0.01159079622 0.0003475791659

-0.01159079622 0.01194912064 -0.000358324425
0.0003475791659 0.0003583244246 1.074525876E-05
0.3588072419 0.5012068589 -0.8600141008
0.6891647268 0.7682417281 -0.4574064549

x= 0.742985813085
0.843422756935
-0.58640857002
-92.292605094
-107.7552642225
SAHAM
PTBA.JK r3
3960 -25.78291093
3060 -3.3225647628 INDF.JK
2960 -7.7231347936 E(r1) = -0.514055552446346
= 63.0147163884197
2740 -10.373976976
= 7.93818092439444
2470 -8.8853337356
2260 -0.4434597068
2250 7.28373239523
2420 9.4558582625 TLKM.JK
2660 -18.533360726 E(r2) = -0.549544400459678
= 60.8024646393266
2210 1.34833503373
= 7.79759351590775
2240 -2.7150989066
2180 -15.071621738
1875 3.6653317648
1945 3.78355343427 PTBA.JK
2020 0.49382816406 E(r3) = -1.69750969888532
2030 0.49140148024 107.578857560043
2040 -3.4916265106 10.3720228287467
1970 -0.5089069507
1960 18.5717145795
2360 17.4522864308
2810 -8.5395084412
2580 4.91592359581
2710 -1.1131840369
2680

-1.6975096989
107.57885756
10.3720228287

1 0.011243217053743 -0.011590796219593
 1 -0.011590796219593 0.011949120644203
1 diperoleh 0.00034757916585 -0.00035832442461
0 M^-1 0.358807241868637 0.501206858899076
0 0.689164726806878 0.768241728092756

0.6891647268
0.7682417281
-0.4574064549
-77.94726615
-96.0631743

0.3588072419 0.6891647268 0
0.5012068589 0.7682417281 0
-0.8600141008 -0.4574064549 x 0
-95.63559296 -77.94726615 0.15
-77.94726615 -96.0631743 1
 DATA HARGA PENUTUPAN SAHAM
BULAN INDF.JK TLKM.JK PTBA.JK
4/1/2019 6950 3790 3960
5/1/2019 6600 3900 3060
6/1/2019 7025 4140 2960
7/1/2019 7075 4300 2740
8/1/2019 7925 4450 2470
9/1/2019 7700 4310 2260
10/1/2019 7700 4110 2250
11/1/2019 7950 3930 2420
12/1/2019 7925 3970 2660
1/1/2020 7825 3800 2210
2/1/2020 6500 3490 2240
3/1/2020 6350 3160 2180
4/1/2020 6525 3500 1875
5/1/2020 5750 3150 1945
6/1/2020 6525 3050 2020
7/1/2020 6450 3050 2030
8/1/2020 7625 2860 2040
9/1/2020 7150 2560 1970
10/1/2020 7000 2620 1960
11/1/2020 7100 3230 2360
12/1/2020 6850 3310 2810
1/1/2021 6050 3110 2580
2/1/2021 6050 3490 2710
3/1/2021 6175 3340 2680

0.00034757916585 0.358807241868636 0.6891647268069

 -0.00035832442461 0.501206858899076 0.7682417280928
1.074525875963E-05 -0.86001410076771 -0.4574064549
-0.860014100767713 -95.6355929642406 -77.94726614947
-0.457406454899634 -77.9472661494686 -96.06317429987