Rebeka, Jean (2024) Penerapan Metode Mean-Conditional Value At Risk Optimization Dengan Mempertimbangkan Preferensi Risiko Dalam Pembentukan Portofolio Optimal Saham Perbankan Indonesia. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Investasi saham adalah salah satu bentuk investasi yang populer di pasar keuangan. Dalam pasar modal Indonesia, sektor perbankan telah berkembang pesat dan menjadi tulang punggung perekonomian, serta memberikan potensi keuntungan sekaligus risiko yang signifikan, sehingga diperlukan manajemen risiko yang efektif untuk pengambilan keputusan investasi. Dalam menghadapi kompleksitas dan ketidakpastian pasar, penelitian ini akan membahas pembentukan portofolio optimal dan estimasi risiko investasi menggunakan pendekatan Mean-CVaR Optimization dengan melibatkan elemen risk aversion, Value at Risk (VaR), dan Conditional Value at Risk (CVaR). Data saham dalam penelitian ini adalah data harga penutupan saham perbankan BBCA, BBNI, BBRI, dan BMRI, yang konsisten terdaftar di Indeks IDX30 selama periode Agustus 2019 hingga Juli 2023. Hasil dari penelitian menunjukkan bahwa nilai semakin investor bersifat risk-seeker, saham yang memiliki expected return yang lebih tinggi akan mendominasi portofolio. Semakin investor bersifat risk-averse, saham dengan standar deviasi yang lebih rendah akan mendominasi portofolio. Semakin tinggi tingkat kepercayaan (Confidence Interval) yang digunakan dalam perhitungan risiko dengan VaR dan CVaR, semakin besar pula kerugian yang dapat dihadapi oleh investor. Pada perhitungan risiko dengan menggunakan CVaR dengan simulasi Monte Carlo, hasilnya lebih tinggi dibandingkan dengan VaR sehingga investor dapat menggunakan CVaR sebagai alternatif ukuran risiko.
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Stock investment is one of the popular forms of investment in the financial market. In the Indonesian capital market, the banking sector has grown rapidly and become the backbone of the economy, offering significant profit potential as well as substantial risks. Therefore, effective risk management is essential for making informed investment decisions. In facing the complexity and uncertainty of the market, this research will discuss the formation of an optimal portfolio and the estimation of investment risk using the Mean-CVaR Optimization approach, incorporating elements of risk aversion, Value at Risk (VaR), and Conditional Value at Risk (CVaR). The stock data used in this study comprises the closing prices of BBCA, BBNI, BBRI and BMRI banks consistently listed in the IDX30 Index from August 2019 to July 2023. The results of the research indicate that as investors become more risk-seeker, stocks with higher expected returns will dominate the portfolio. Conversely, as investors become more risk-averse, stocks with lower standard deviation will dominate the portfolio. The higher the level of confidence interval used in risk calculations with Value at Risk (VaR) and Conditional Value at Risk (CVaR), the greater the potential losses that investors may face. In risk calculations using CVaR with Monte Carlo simulation, the results are higher compared to VaR, allowing investors to consider CVaR as an alternative risk measure.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | Mean-CVaR Optimization, Monte Carlo, Saham, Value at Risk, Portfolio, Stocks |
| Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4529.5 Portfolio management |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis |
| Depositing User: | Rebeka Jean |
| Date Deposited: | 24 Jan 2024 07:32 |
| Last Modified: | 24 Jan 2024 07:32 |
| URI: | http://repository.its.ac.id/id/eprint/105608 |
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