Octivia, Frederica (2024) Analisis Portofolio Optimal Menggunakan Model Markowitz dan Pengukuran Value at Risk Simulasi Monte Carlo Pada Saham IDXTECHNO. Diploma thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Indonesia memiliki potensi besar dalam penerapan teknologi digital karena teknologi digital akan terus berkembang dan dapat menjadi solusi berbagai masalah. Namun, di tengah suku bunga yang lagi naik serta saham IDXTECHNO yang tergolong masih baru, investor perlu berhati-hati dalam memilih emiten mana yang akan survive dan menghasilkan profit di masa depan. Diversifikasi pada berbagai portofolio perlu dilakukan agar hasil tiap jenis sekuritas dapat saling menutup. Salah satu cara yang dapat digunakan yaitu dengan menggunakan model Markowitz untuk menentukan portofolio optimal. Investor juga perlu mengestimasi kerugian maksimum yang didapat selama periode waktu tertentu yaitu dengan menggunakan perhitungan Value at Risk Monte Carlo. Simulasi Monte Carlo merupakan perangkat yang cermat dalam menganalisa kemungkinan ketidakpastian yang sering terjadi. Pada penelitian ini dilakukan pembentukan portofolio optimal menggunakan model Markowitz pada saham yang memiliki expected return positif dan dilanjutkan dengan estimasi nilai Value at Risk pada portofolio sehingga dapat dilakukan pemilihan portofolio optimal yang yang memiliki nilai VaR terkecil. Analisis yang dihasilkan menunjukkan bahwa pembentukan portofolio optimal dari berbagai kombinasi menghasilkan tingkat risiko minimum dengan proporsi yang berbeda. Hasil dari perhitungan nilai VaR Monte Carlo menunjukkan bahwa portofolio terbaik yang memiliki nilai VaR terkecil yaitu pada portofolio 2 sebesar -4,06% atau dengan tingkat kepercayaan 95% dalam jangka waktu satu hari, maksimum kerugian sebesar Rp. 4.063.690 jika investasi awal sebesar Rp 100.000.000 dengan proporsi sebesar 54,05% pada saham PGJO serta 45,95% pada saham PTSN.
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Indonesia has great potential in applying digital technology because digital technology will continue to develop and can be a solution to various problems. However, in the midst of rising interest rates and IDXTECHNO shares which are still relatively new, investors need to be careful in choosing which issuers will survive and generate profits in the future. Diversification in various portfolios needs to be done so that the results of each type of security can cover each other. One way that can be used is to use the Markowitz model to determine the optimal portfolio. Investors also need to estimate the maximum loss obtained during a certain time period, namely by using the Value at Risk Monte Carlo calculation. Monte Carlo simulation is a careful tool for analyzing possible uncertainties that often occur. In this research, an optimal portfolio was formed using the Markowitz model on shares that have a positive expected return and continued with estimating the Value at Risk value of the portfolio so that the optimal portfolio can be selected which has the smallest VaR value. The resulting analysis shows that the formation of optimal portfolios from various combinations produces minimum levels of risk with different proportions. The results of the Monte Carlo VaR value calculation show that the best portfolio has the smallest VaR value, namely portfolio 2 of -4.06% or with a confidence level of 95% in one day, the maximum loss is IDR. 4,063,690 if the initial investment is IDR 100,000,000 with a proportion of 54.05% in PGJO shares and 45.95% in PTSN shares.
| Item Type: | Thesis (Diploma) |
|---|---|
| Uncontrolled Keywords: | Model Markowitz, Saham, Sektor Teknologi, Simulasi Monte Carlo, Value at Risk |
| Subjects: | A General Works > AI Indexes (General) A General Works > AI Indexes (General) H Social Sciences > HA Statistics H Social Sciences > HA Statistics > HA31.7 Estimation H Social Sciences > HB Economic Theory > HB615 Entrepreneurship. H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4529.5 Portfolio management H Social Sciences > HG Finance > HG4910 Investments H Social Sciences > HG Finance > HG4915 Stocks--Prices |
| Divisions: | Faculty of Vocational > 49501-Business Statistics |
| Depositing User: | Frederica Octivia |
| Date Deposited: | 23 Apr 2024 03:05 |
| Last Modified: | 23 Apr 2024 03:05 |
| URI: | http://repository.its.ac.id/id/eprint/107900 |
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