Perbandingan Metode Mean-Conditional Value at Risk dan Mean-Entropic Value at Risk dalam Pembentukan Portofolio Optimal Saham Pertambangan Indonesia

Sinambela, Michael Sahala (2024) Perbandingan Metode Mean-Conditional Value at Risk dan Mean-Entropic Value at Risk dalam Pembentukan Portofolio Optimal Saham Pertambangan Indonesia. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Investasi melalu pasar modal telah berkembang pesat di Indonesia dalam beberapa tahun terakhir. Perkembangan yang pesat tersebut harus diiringi dengan pemahaman mengenai risiko investasi. Pengukuran risiko dari suatu investasi dapat dinilai melalui nilai VaR-nya. Penelitian ini membandingkan dua metode alternatif dari VaR, yaitu Mean-Conditional Value at Risk (Mean-CVaR) dan Mean-Entropic Value at Risk (Mean-EVaR), dalam konteks pembentukan portofolio optimal saham pertambangan Indonesia. Portofolio tersebut akan dibangun menggunakan data saham ADRO, ANTM, INCO, MDKA, dan PTBA. Dengan menggunakan data historis dari pasar saham, kedua metode tersebut dievaluasi dalam hal kinerja pengelolaan risiko menggunakan VaR dan pengembalian investasi. Pembentukan portofolio yang optimal dari lima saham pertambangan berdasarkan metode Mean-CVaR Optimization menghasilkan portofolio yang terdiri atas 9.8032% saham ADRO, 41.2273% saham ANTM, dan 48.9695% saham MDKA dengan nilai VaR sebesar 3.663% dan expected return sebesar 0.1318%. Pembentukan portofolio yang optimal dari lima saham pertambangan berdasarkan metode Mean-EVaR Optimization terdiri atas 42.8727% saham ANTM dan 57.1723% saham MDKA dengan nilai VaR sebesar 3.825% dan expected return sebesar 0.1367%. Metode Mean-CVaR Optimization menghasilkan portofolio yang lebih baik berdasarkan risiko yang diberikan, tetapi tidak memberikan nilai expected return yang lebih baik dibandingkan portofolio optimal yang dibentuk menggunakan Mean-EVaR Optimization.
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Investment through the capital market in Indonesia has grown rapidly in recent years. This rapid development must be accompanied by an understanding of investment risk. Measurement of the risk of an investment can be assessed through its VaR value. This study compares two alternative methods of VaR, namely Mean-Conditional Value at Risk (Mean-CVaR) and Mean-Entropic Value at Risk (Mean-EVaR), in the context of forming an optimal portfolio of Indonesian mining stocks. The portfolio will be built using data on ADRO, ANTM, INCO, MDKA, and PTBA stocks. Using historical data from the stock market, both methods are evaluated in terms of risk management performance using VaR and investment returns. The optimal portfolio formation of five mining stocks based on the Mean-CVaR Optimization method produces a portfolio consisting of 9.8032% ADRO shares, 41.2273% ANTM shares, and 48.9695% MDKA shares with a VaR value of 3.663% and an expected return of 0.1318%. The optimal portfolio formation of five mining stocks based on the Mean-EVaR Optimization method consists of 42.8727% ANTM shares and 57.1723% MDKA shares with a VaR value of 3.825% and an expected return of 0.1367%. The Mean-CVaR Optimization method produces a better portfolio based on the risk given, but does not provide a better expected return value than the optimal portfolio formed using Mean-EVaR Optimization.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Mean-CVaR Optimization, Mean-EVaR Optimization, Monte Carlo, Portfolio, Value at Risk, Portofolio.
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 Mathematics, Computation, and Data Science > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Michael Sahala Sinambela
Date Deposited:	01 Aug 2024 03:40
Last Modified:	01 Aug 2024 03:40
URI:	http://repository.its.ac.id/id/eprint/110189

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