Model Optimasi Portofolio Saham Dengan Aset Bebas Risiko Dan Estimasi Risiko Dengan Menggunakan Expected Shortfall

Widyaningrum, Erlyne Nadhilah (2021) Model Optimasi Portofolio Saham Dengan Aset Bebas Risiko Dan Estimasi Risiko Dengan Menggunakan Expected Shortfall. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

Text 06111740000035-Undergraduate_Thesis.pdf - Accepted Version Restricted to Repository staff only until 1 October 2023. Download (1MB) | Request a copy

Abstract

Pembentukan suatu portofolio investasi dan pengukuran risiko adalah cara yang dapat dilakukan oleh para investor untuk mengurangi tingkat risiko portofolio investasi. Maka, dalam penelitian ini dilakukan dua hal, yaitu dilakukan pembentukan model optimasi portofolio investasi yang dikembangkan dengan menggunakan teknik Lagrangian Multiplier untuk menentukan proporsi aset yang akan diinvestasikan dan melakukan perhitungan estimasi risiko menggunakan expected shortfall. Kemudian pada penelitian ini dilakukan perluasan dengan menambahkan aset bebas risiko ke dalam portofolio. Hasil yang diperoleh dari perhitungan proporsi portofolio optimal terdiri dari lima aset saham yaitu saham EXCL = 0.0137, ANTM = 0.3288 TBIG = 0.5032, UNVR = 0.1441 dan CPIN = 0.0102. Sedangkan, portofolio terdiri dari lima aset saham dan satu aset bebas risiko (10%) didapatkan perhitungan proporsi saham EXCL = 0.0136, ANTM = 0.2893, TBIG = 0.4431, UNVR = 0.1433 dan CPIN = 0.0107. Berdasarkan hasil perhitungan expected shortfall diperoleh bahwa portofolio investasi dari lima aset saham dengan satu aset bebas risiko dapat meminimalisasi risiko dibandingkan portofolio investasi dari lima aset saham.
================================================================================================
The formation of an investment portfolio and risk measurement are ways that can be done by investors to reduce the level of risk of an investment portfolio. So, in this study two things were carried out, namely the formation of an investment portfolio optimization model developed using the Lagrangian Multiplier technique to determine the proportion of assets to be invested and calculating the estimated risk using the expected shortfall. Then in this study an expansion was carried out by adding risk-free assets to the portfolio. The results obtained from the calculation of the optimal portfolio proportion consist of five stock assets, namely EXCL = 0.0137, ANTM = 0.3288 TBIG = 0.5032, UNVR = 0.1441 and CPIN = 0.0102. Meanwhile, the portfolio consists of five stock assets and one risk-free asset (10%). The calculation of the proportion of shares EXCL = 0.0136, ANTM = 0.2893, TBIG = 0.4431, UNVR = 0.1433 and CPIN = 0.0107. Based on the calculation of the expected shortfall, it is found that the investment portfolio of five stock assets with one risk-free asset can minimize risk compared to the investment portfolio of five stock assets.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	Portofolio Investasi, Expected Shortfall, Optimasi, Risiko, Investment Portfolio, Optimization, Risk
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management H Social Sciences > HG Finance > HG4012 Mathematical models H Social Sciences > HG Finance > HG4529.5 Portfolio management
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User:	Erlyne Nadhilah Widyaningrum
Date Deposited:	26 Aug 2021 09:19
Last Modified:	26 Aug 2021 09:19
URI:	http://repository.its.ac.id/id/eprint/87201

Actions (login required)

View Item