Leonita, Ni Putu Riska Shyndi (2024) Penerapan Model Black-Litterman dan Mean Absolute Deviation dengan K-Medoids Clustering untuk Optimasi Portofolio Saham. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Investasi merupakan aktivitas penempatan dana pada aset tertentu dengan tujuan untuk mendapatkan keuntungan di masa depan. Seiring dengan tingginya keinginan investor untuk mendapatkan return yang tinggi, risiko investasi pun turut meningkat. Diversifikasi portofolio merupakan salah satu strategi untuk meminimalkan risiko investasi. Penelitian ini melakukan pemilihan saham untuk investasi dengan menggunakan metode K-Medoids Clustering. Penerapan metode clustering ini didahului dengan penerapan konsep Sliding Window untuk memahami perubahan struktur data yang terjadi seiring waktu. Selanjutnya, clustering diterapkan pada setiap window yang telah terbentuk. Pembentukan portofolio dilakukan dengan menggunakan model Black-Litterman dan Mean Absolute Deviation (MAD). Keunggulan model Black-Litterman terletak pada kemampuannya dalam memenuhi kebutuhan investor dengan mempertimbangkan opini investor dalam proses pembentukan portofolio, sedangkan model MAD unggul dalam kesederhanaan perhitungan dan ketahanan terhadap kesalahan pengukuran. Variabel yang digunakan dalam penelitian ini adalah data saham yang konsisten terdaftar dalam Indeks Investor33 periode Juli 2022 hingga Desember 2023. Berdasarkan analisis yang telah dilakukan, terbentuk 8 portofolio dengan model MAD dan 4 portofolio dengan model Black-Litterman. Analisis portofolio dengan model MAD menunjukkan bahwa portofolio optimal terbaik tersusun atas tiga saham, yaitu BMRI dengan bobot 0,72065, AKRA dengan bobot 0,23687, dan MDKA dengan bobot 0,04248. Portofolio ini menghasilkan akumulasi return sebesar 47,43% dalam kurun waktu Juli 2022 – Desember 2023. Kinerja portofolio berdasarkan Indeks Sharpe mencapai 0,05662, dengan estimasi kerugian maksimum sebesar 3,607%. Analisis portofolio dengan model Black-Litterman menunjukkan bahwa portofolio optimal terbaik tersusun atas tiga saham, yaitu BMRI dengan bobot 0,67501, ADRO dengan bobot 0,25362, dan AKRA dengan bobot 0,07137. Portofolio ini menghasilkan akumulasi return sebesar 37,19% dalam kurun waktu yang sama, dengan kinerja portofolio berdasarkan Indeks Sharpe mencapai 0,01113, dan estimasi kerugian maksimum sebesar 3,371%. Oleh karena itu, portofolio dengan model MAD direkomendasikan sebagai portofolio optimal terbaik bagi investor.
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Investment is the activity of placing funds in certain assets with the aim of obtaining profits in the future. Along with the high desire of investors to obtain high returns, investment risk also increases. Portfolio diversification is one of the strategies to minimize investment risk. In this study, stock selection for investment is carried out using the K-Medoids Clustering method. The application of this clustering method is preceded by the application of the Sliding Window concept to understand the changes in data structure that occur over time. Next, clustering is applied to each window that has been formed. Portfolio formation is carried out using the Black-Litterman and Mean Absolute Deviation (MAD) models. The advantage of the Black-Litterman model lies in its ability to meet investor needs by considering investor opinion in the portfolio formation process, while the MAD model excels in its simplicity of calculation and resilience to measurement errors. The variables used in this study are stock data that are consistently listed in the Investor33 Index from July 2022 to December 2023. Based on the analysis that has been carried out, 8 portfolios were formed with the MAD model and 4 portfolios with the Black-Litterman model. Portfolio analysis with the MAD model shows that the best optimal portfolio consists of three stocks, namely BMRI with a weight of 0.72065, AKRA with a weight of 0.23687, and MDKA with a weight of 0.04248. This portfolio generates an accumulated return of 47.43% in the period July 2022 – December 2023. Portfolio performance based on the Sharpe Index reaches 0.05662, with an estimated maximum loss of 3.607%. Portfolio analysis with the Black-Litterman model shows that the best optimal portfolio consists of three stocks, namely BMRI with a weight of 0.67501, ADRO with a weight of 0.25362, and AKRA with a weight of 0.07137. This portfolio generates an accumulated return of 37.19% in the same period, with portfolio performance based on the Sharpe Index reaching 0.01113, and an estimated maximum loss of 3.371%. Therefore, the portfolio with the MAD model is recommended as the best optimal portfolio for investors.
Item Type: | Thesis (Other) |
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Uncontrolled Keywords: | black-litterman, k-medoids clustering, mean absolute deviation, portfolio optimization, sliding window, black-litterman, k-medoids clustering, mean absolute deviation, optimasi portofolio, sliding window |
Subjects: | H Social Sciences > HG Finance > HG4529.5 Portfolio management Q Science > Q Science (General) > Q180.55.M38 Mathematical models Q Science > QA Mathematics > QA278.55 Cluster analysis |
Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis |
Depositing User: | NI PUTU RISKA SHYNDI LEONITA |
Date Deposited: | 01 Aug 2024 01:47 |
Last Modified: | 01 Aug 2024 01:47 |
URI: | http://repository.its.ac.id/id/eprint/110478 |
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