Fanissa, Rana (2021) Analisis Portofolio Optimal Multiobjektif dan Pengukuran Value at Risk Menggunakan Saham LQ-45 di bursa Efek Indonesia. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Dampak pandemi Covid-19 pada sektor ekonomi seperti adanya PHK massal dan pemotongan gaji karyawan dapat menurunkan konsumsi rumah tangga pada kuartal IV tahun 2020. Adanya fenomena tersebut maka dirasakan perlu untuk tiap individu memiliki aset tambahan jika sewaktu-waktu terjadi kondisi yang tidak diharapkan, salah satu caranya yaitu dengan berinvestasi. Instrumen investasi yang cukup populer di kalangan masyarakat yaitu saham. Hingga 19 November 2020, BEI mencatat adanya peningkatan jumlah investor saham dari tahun sebelumnya. Investor-investor tersebut tentunya memerlukan strategi agar tidak terjadi kerugian yang besar. Terdapat cara untuk meminimalisir adanya risiko yaitu dengan diversifikasi melalui pembentukan portofolio. Berdasarkan hal tersebut maka dilakukan penelitian mengenai pembentukan portofolio optimal dengan optimisasi multiobjektif dan pengukuran value at risk menggunakan saham LQ-45 sehingga dapat memberikan informasi hingga membantu investor dalam memutuskan untuk berinvestasi dengan cara diversifikasi. Hasil penelitian menunjukkan bahwa semakin bertambahnya nilai koefisien pembobot k pada portofolio, maka bobot instrumen saham dengan varians yang besar juga akan semakin menurun. Hal tersebut menunjukkan bahwa semakin besar nilai k maka preferensi investor terhadap risiko akan semakin berkurang atau semakin menghindari risiko.
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The impact of Covid-19 pandemic on the economic sector, such as mass layoffs and employee salary cuts could reduce household consumption in the IVth quarter of 2020. This phenomenon causes the need for each individual to have additional assets if unexpected conditions occur, one of which is by investing. An investment instrument that is quite popular among the public is stocks. As of November 19, IDX noted an increase in the number of stock investors. These investors certainly need a strategy so that there are no big loses. There is a way to minimize the risk, by diversify through portfolio. Therefore, this research was conducted on forming multiobjective portfolio optimization and the measurement of Value at Risk using LQ-45 shares. The purposes of this research were to provide information and help the investors decide an investment. The results showed that the increasing of weighting coefficient value k on the portfolio, the weight of the stock instrument with a large variance will also decrease. This indicates that the greater the weighting coeffitient k, the less investor preference for risk will be or the more risk averse.
| Item Type: | Thesis (Undergraduate) |
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| Uncontrolled Keywords: | LQ-45, Multiobjective Optimization, Stock, Portfolio. Value at Risk, LQ-45, Optimisasi Multiobjektif, Saham, Portofolio, Value at Risk |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4529.5 Portfolio management H Social Sciences > HG Finance > HG4910 Investments |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Statistics > 49201-(S1) Undergraduate Thesis |
| Depositing User: | Rana Fanissa |
| Date Deposited: | 14 Aug 2021 12:24 |
| Last Modified: | 14 Aug 2021 12:24 |
| URI: | http://repository.its.ac.id/id/eprint/86545 |
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