Pemodelan Portofolio Saham Berdasarkan Prediksi Harga Saham dengan Model Ewma dan Optimasi Menggunakan MPC

Condro, Kirana Putri Suryo (2020) Pemodelan Portofolio Saham Berdasarkan Prediksi Harga Saham dengan Model Ewma dan Optimasi Menggunakan MPC. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Aktivitas investasi yang saat ini sering dilakukan oleh masyarakat adalah investasi saham. Faktor yang sangat mempengaruhi keputusan seorang investor dalam berinvestasi adalah tingkat return dan tingkat risiko dari harga saham. Hubungan antara tingkat return dan tingkat risiko bersifat linear. Yang artinya semakin tinggi tingkat return maka semakin tinggi pula tingkat risiko, demikian sebaliknya. Pembentukkan suatu portofolio saham adalah salah satu cara yang dapat dilakukan oleh para investor untuk mengurangi tingkat risiko dan memaksimalkan tingkat return. Dalam permasalahan optimasi portofolio saham juga melibatkan pergerakan harga saham dari waktu ke waktu. Sehingga dalam pengoptimalan portofolio saham diperlukan prediksi harga saham. Maka, dalam penelitian ini dilakukan dua hal, yaitu prediksi harga saham dengan model Exponentially Weighted Moving Average (EWMA) dan penyelesaian permasalahan optimasi portofolio menggunakan Model Predictive Control (MPC). Dari penelitian ini diperoleh jumlah modal investor semakin bertambah. Sehingga dapat disimpulkan bahwa MPC dapat digunakan untuk optimasi portofolio saham. =========================================================== Investment activities that are currently often carried out by the public are stock investments. Some factors that influence an investor's decision to invest are the rate of return and the level of risk of the stock price. The higher rate of return, the higher level of risk, and vice versa. The formation of a stock portfolio is one way that can be done by investors to reduce the level of risk and maximize the level of return. Stock portfolio optimization also involves the movement of stock prices from time to time. Therefore, in optimizing stock portfolio, stock price predictions are needed. In this study two things are investigate, first is the prediction of stock prices with the Exponentially Weighted Moving Average (EWMA) model and second is determine the solution to the problem of portfolio optimization using the Predictive Control Model (MPC). Based on simulation, the amount of investor capital has increased. And therefore, MPC can be employed for optimizing stock portfolio.

Item Type: Thesis (Undergraduate)
Additional Information: RSMa 519.233 Con p-1 • Condro, Kirana Putri Suryo
Uncontrolled Keywords: EWMA, Model Predictive Control, prediksi harga saham, optimasi portofolio EWMA, Model Predictive Control, stock price prediction, portfolio optimization
Subjects: H Social Sciences > HG Finance > HG4012 Mathematical models
H Social Sciences > HG Finance > HG4529.5 Portfolio management
Q Science > QA Mathematics
Divisions: Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User: Kirana Putri Suryo Condro
Date Deposited: 21 Aug 2020 07:23
Last Modified: 14 Oct 2020 00:30
URI: http://repository.its.ac.id/id/eprint/79416

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