Saputra, Anggi (2024) Analisis Portofolio Optimal Menggunakan Model Markowitz dan Pengukuran Value at Risk Menggunakan GARCH. Diploma thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Jumlah investor di pasar modal pada tahun 2023 meningkat sebesar 18,37% dibandingkan tahun sebelumnya. Salah satu instrumen investasi di pasar modal yang paling diminati adalah saham. PT Bursa Efek Indonesia memiliki 45 indeks saham, salah satunya adalah Indeks SRI-KEHATI yang menjadi satu-satunya referensi bagi prinsip investasi yang menitikberatkan pada isu Environmental, Social and Good Governance (ESG) di pasar modal Indonesia. Masih terdapat masalah dalam penerapan aspek ESG di Indonesia seperti masalah pengukuran dan realisasi. Sehingga menyebabkan kekhawatiran bagi investor dalam berinvestasi pada saham yang menerapkan prinsip ESG. Tentunya, dalam berinvestasi investor ingin memaksimalkan keuntungan dan mengurangi risiko. Untuk memaksimalkan keuntungan dan mengurangi risiko dapat dilakukan dengan membentuk portofolio. Pembentukan portofolio dalam penelitian ini menggunakan metode Markowitz. Portofolio Markowitz dikenal sebagai model mean-varians, yang fokus pada upaya memaksimalkan ekspektasi return (mean) dan meminimalkan ketidakpastian/risiko untuk memilih dan membentuk portofolio yang optimal. Selanjutnya akan dilakukan analisis Value at Risk (VaR) pada portofolio yang didapatkan. Analisis VaR yang digunakan yaitu GARCH. Hasil dari penelitian ini menunjukkan bahwa dari 25 saham indeks SRI-Kehati didapatkan lima saham terpilih yaitu yaitu saham AUTO, BBCA, BBNI, BMRI, dan SMSM dengan masing-masing bobot AUTO sebesar 10%, BBCA sebesar 42%, BBNI sebesar 10%, BMRI sebesar 21%, dan SMSM sebesar 17% dengan nilai VaR dari portofolio indeks saham SRI-Kehati sebesar -0,22%.
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In 2023, the number of investors in the capital market increased by 18.37% compared to the previous year. One of the most popular investment instruments in the capital market is stocks. The Indonesia Stock Exchange (IDX) has 45 stock indices, one of which is the SRI-KEHATI Index, the only reference for investment principles emphasizing Environmental, Social, and Good Governance (ESG) issues in the Indonesian capital market. However, there are still issues in implementing ESG aspects in Indonesia, such as measurement and realization problems. These issues cause concerns among investors about investing in stocks that apply ESG principles. Naturally, investors aim to maximize profits and minimize risks when investing. This can be achieved by forming a portfolio. This research uses the Markowitz method to form a portfolio. The Markowitz portfolio, known as the mean-variance model, focuses on maximizing expected returns (mean) and minimizing uncertainty/risk to select and form an optimal portfolio. Subsequently, a Value at Risk (VaR) analysis will be performed on the obtained portfolio. The VaR analysis used is GARCH. The results of this study indicate that from the 25 stocks in the SRI-Kehati index, five selected stocks were identified, namely AUTO, BBCA, BBNI, BMRI, and SMSM, with respective weights of 10% for AUTO, 42% for BBCA, 10% for BBNI, 21% for BMRI, and 17% for SMSM. The Value at Risk (VaR) of the SRI-Kehati index stock portfolio is -0,22%.
| Item Type: | Thesis (Diploma) |
|---|---|
| Uncontrolled Keywords: | GARCH, Model Markowitz, Indeks SRI-KEHATI, Value at Risk. |
| Subjects: | H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models. H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management H Social Sciences > HG Finance > HG4529.5 Portfolio management |
| Divisions: | Faculty of Vocational > 49501-Business Statistics |
| Depositing User: | Anggi Saputra |
| Date Deposited: | 20 Jan 2025 01:07 |
| Last Modified: | 20 Jan 2025 01:07 |
| URI: | http://repository.its.ac.id/id/eprint/116408 |
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