Pembentukan Portofolio Optimal dengan Pendekatan Two Stage Fuzzy Multi-Objective Linear Programming pada Saham SRI-KEHATI

Maulidina, Annisa Lintang (2025) Pembentukan Portofolio Optimal dengan Pendekatan Two Stage Fuzzy Multi-Objective Linear Programming pada Saham SRI-KEHATI. Diploma thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Pasar modal berperan penting dalam globalisasi ekonomi dengan menyalurkan dana investasi kepada emiten untuk pengembangan bisnis. Di Indonesia, minat masyarakat terhadap investasi terus meningkat, sehingga mendorong pentingnya diversifikasi untuk mengelola risiko melalui penyebaran investasi ke berbagai aset. Selain itu, memilih emiten yang menerapkan praktik bisnis berkelanjutan dapat memberikan stabilitas jangka panjang karena mampu mengelola risiko terkait tanggung jawab ekonomi, lingkungan, dan sosial, salah satunya adalah indeks SRI-KEHATI. Indeks SRI-KEHATI adalah indeks saham yang mencerminkan kinerja perusahaan-perusahaan di Bursa Efek Indonesia yang memiliki kinerja baik dalam hal keberlanjutan lingkungan, sosial, dan tata kelola (Environmental, Social, and Governance). Fluktuasi pasar dan ketidakpastian kondisi saham menjadi tantangan besar bagi investor dalam menentukan alokasi aset untuk mendapatkan keuntungan maksimal dengan risiko minimal. Penelitian ini bertujuan mengelompokkan emiten dalam indeks SRI-KEHATI berdasarkan rasio keuangan, serta menentukan bobot optimal portofolio dengan mempertimbangkan ketidakpastian pasar. Untuk mencapai tujuan tersebut, metode yang digunakan adalah K-Means dan Two Stage Fuzzy Multiobjective Linear Programming. Data yang digunakan adalah rasio keuangan meliputi Dividend Yield, Return on Assets, Return on Equity, Cash Ratio, dan Current Ratio, serta data harga penutupan yang disesuaikan (adjusted closing price) untuk memperoleh nilai return dan risiko pada emiten yang terdaftar dalam indeks SRI-KEHATI selama periode efektif 3 Juni s.d. 29 November 2024. Hasil penelitian menunjukkan bahwa cluster 1, yang terdiri dari ICBP, KLBF, SIDO, dan SMSM, memiliki kinerja keuangan lebih unggul dalam profitabilitas dan likuiditas, sehingga dipilih untuk pembentukan portofolio. Metode Two Stage Fuzzy Multi-Objective Linear Programming menghasilkan portofolio efisien dengan expected return 10,07% dan risiko 47,06%. Evaluasi menggunakan indeks Sharpe menunjukkan bahwa portofolio optimum ketika batas maksimal per saham adalah 0,4 expected return sebesar 11,39%, dengan risiko portofolio sebesar 55,69%.
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The capital market plays a crucial role in economic globalization by channeling investment funds to issuers for business development. In Indonesia, public interest in investment continues to grow, highlighting the importance of diversification to manage risks by spreading investments across various assets. Additionally, selecting issuers that implement sustainable business practices can provide long-term stability by managing risks related to economic, environmental, and social responsibilities, such as those in the SRI-KEHATI index. The SRI-KEHATI index represents the stock performance of companies listed on the Indonesia Stock Exchange that excel in environmental, social, and governance (ESG) aspects. Market fluctuations and stock uncertainties pose significant challenges for investors in asset allocation to maximize returns while minimizing risks. This study aims to group issuers in the SRI-KEHATI index based on financial ratios and determine the optimal portfolio weights considering market uncertainty. The methods used are K-Means and Two Stage Fuzzy Multi-Objective Linear Programming. The data includes financial ratios such as Dividend Yield, Return on Assets, Return on Equity, Cash Ratio, and Current Ratio, as well as adjusted closing price data to calculate return and risk for issuers listed in the SRI-KEHATI index during the effective period from June 3 to November 29, 2024. The results indicate that Cluster 1, consisting of ICBP, KLBF, SIDO, and SMSM, demonstrates superior financial performance in profitability and liquidity, making it the preferred cluster for portfolio construction. The Two-Stage Fuzzy Multi-Objective Linear Programming method generates an efficient portfolio with an expected return of 10.07% and a risk of 47.06%. Evaluation using the Sharpe Ratio shows that the optimal portfolio is achieved when the maximum allocation per stock is capped at 0.4, resulting in an expected return of 11.39% and a portfolio risk of 55.69%.

Item Type:	Thesis (Diploma)
Uncontrolled Keywords:	Two Stage Fuzzy Multi-Objective Linear Programming, K-Means, Optimasi Portofolio, SRI-KEHATI, Portfolio Optimization
Subjects:	Q Science Q Science > QA Mathematics Q Science > QA Mathematics > QA278.55 Cluster analysis Q Science > QA Mathematics > QA39.3 Fuzzy mathematics Q Science > QA Mathematics > QA401 Mathematical models. Q Science > QA Mathematics > QA9.64 Fuzzy logic
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Annisa Lintang Maulidina
Date Deposited:	16 Jan 2025 04:14
Last Modified:	16 Jan 2025 04:14
URI:	http://repository.its.ac.id/id/eprint/116341

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