Analisis Perbandingan Value at Risk pada Portofolio Optimal Model Markowitz dan Model Korelasi Konstan dengan Simulasi Monte Carlo

Putri, Inka Ramadhani (2023) Analisis Perbandingan Value at Risk pada Portofolio Optimal Model Markowitz dan Model Korelasi Konstan dengan Simulasi Monte Carlo. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Meningkatnya jumlah investor setiap tahunnya menunjukkan tingginya minat masyarakat terhadap investasi saham. Idealnya investor menginginkan return yang maksimal atas investasinya. Investasi saham mampu untuk memberikan tingkat return yang tinggi dibandingkan dengan bentuk investasi lainnya. Namun, investasi saham juga memiliki risiko yang tinggi pula, sehingga penting bagi para investor untuk melakukan diversifikasi pada portofolionya. Upaya diversifikasi dengan pembentukan portofolio dilakukan untuk mengurangi besar risiko dari suatu investasi. Model Markowitz merupakan salah satu model pembentukan portofolio optimal yang memaksimalkan tingkat return dan meminimalkan tingkat risiko. Selain itu, terdapat model korelasi konstan yang mengasumsikan korelasi antar semua pasangan saham pada portofolio adalah sama atau konstan. Untuk mengetahui nilai risiko dari suatu investasi dapat dilakukan dengan perhitungan Value at Risk pada return yang diperoleh dari hasil simulasi Monte Carlo. Penelitian ini menganalisis risiko dari portofolio optimal dengan membandingkan Value at Risk antara model Markowitz dan model korelasi konstan. Berdasarkan analisis yang telah dilakukan, portofolio Markowitz tersusun atas 6 saham yaitu ANTM (22,22%), ERAA (1,04%), ITMG (43,74%), KLBF (14,84%), TBIG (17,36%), dan TOWR (0,8%) dengan expected return sebesar 0,1799% dan nilai Value at Risk sebesar-2,64%. Sedangkan, portofolio model korelasi konstan tersusun atas 5 saham di antaranya adalah ADRO (10,09%), ANTM (15,51%), BMRI (35,10%), INCO (6,26%), dan ITMG (33,12%) dengan dengan expected return sebesar 0,1589% dan nilai Value at Risk sebesar-2,98%. Portofolio berdasarkan model Markowitz memiliki tingkat expected return yang lebih besar dan risiko yang lebih kecil dibandingkan dengan portofolio modelkorelasi konstan. Dengan demikian, disimpulkan bahwa portofolio Markowitz lebih optimal dibandingkan dengan portofolio korelasi konstan.
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The increasing number of investors each year shows that the public’s interest in stock investment is increasing. Ideally, investors want the maximum return on their investment. Stock investment is able to provide a high rate of return compared to other forms of investment. However, stock investment also carries a high risk, so it is important for investors to diversify their portfolios. Diversify by forming a portfolio are carried out to reduce the amount of risk of an investment. The Markowitz model is one of the optimal portfolio formation models that maximizes the rate of return and minimizes the level of risk. In addition, there is a Constant Correlation Model that assumes the correlation between all pairs of stocks in the portfolio is the same or constant. To find out the risk value of an investment, it can be done by calculating the Value at Risk on the returns obtained from the Monte Carlo simulation results. This study analyzes the risk of the optimal portfolio by comparing the Value at Risk between the Markowitz model and the constant correlation model. Based on the analysis that has been done, Markowitz’s portfolio is composed of 6 stocks, namely ANTM (22,22%), ERAA (1,04%), ITMG (43,74%), KLBF (14,84%), TBIG (17,36%), and TOWR (0,8%) with an expected return of 0,1799% and Value at Risk of-2,64%. Meanwhile, the Constant Correlation Model portfolio is composed of 5 stocks including ADRO (10,09%), ANTM (15,51%), BMRI (35,10%), INCO (6,26%), and ITMG (33,12%) with an expected return of 0,1589% and a Value at Risk value of-2,98%. Portfolios based on the Markowitz model have a higher level of expected return and lower risk compared to Constant Correlation model portfolios. Thus, it can be concluded that the Markowitz portfolio is more optimal than the constant correlation portfolio.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Portofolio Optimal, Model Markowitz, Model Korelasi Konstan, Value at Risk, Simulasi Monte Carlo; Optimal portofolio, Markowitz Model, Constant Correlation Model, Value at Risk, Monte Carlo Simulation
Subjects:	Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry)
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User:	Inka Ramadhani Putri
Date Deposited:	05 Oct 2023 04:24
Last Modified:	05 Oct 2023 04:24
URI:	http://repository.its.ac.id/id/eprint/102566

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