Analisis Portfolio Optimal Saham dengan Pendekatan Optimasi Multiobjektif dan Pengukuran Value at Risk pada Saham IDX Healthcare

Rahmawati, Nabila Lilia (2023) Analisis Portfolio Optimal Saham dengan Pendekatan Optimasi Multiobjektif dan Pengukuran Value at Risk pada Saham IDX Healthcare. Diploma thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Pasar modal telah memberikan banyak manfaat bagi kemajuan perekonomian bangsa Indonesia. Ada banyak investasi yang ditanamkan melalui saham dan obligasi yang dikeluarkan oleh perusahaan guna mengembangkan bisnis ataupun penguatan modal perusahaan. Di Bursa Efek Indonesia ada berbagai macam pilihan untuk berinvestasi, salah satunya yaitu pada saham IDX healthcare. Perusahaan pada sektor kesehatan ini termasuk kategori perdagangan dan investasi di Bursa Efek Indonesia yang juga berperan penting dalam perekonomian negara Indonesia dalam penanaman modal. Investasi yang dilakukan investor tidak terlepas dari keuntungan (return) dan risiko (risk). Oleh karena itu, investor-investor tentunya memerlukan strategi agar tidak terjadi kerugian yang besar. Risiko merupakan hal yang harus diperhatikan investor dalam berinvestasi. Risiko tidak dapat dihilangkan tetapi dapat diminimalkan dengan diversifikasi (portofolio). Pembentukan portofolio optimal dan pengukuran value at risk dilakukan agar investor mendapatkan return tertentu dengan risiko yang terkecil. Tujuan penelitian ini adalah untuk mengetahui saham-saham apa saja yang dapat masuk ke dalam portofolio optimal serta proporsi dana masing-masing saham tersebut yang dibentuk dengan metode Optimasi Multi-Objektif. Penelitian ini dilakukan pada sektor kesehatan di Bursa Efek Indonesia. Populasi dalam penelitian ini adalah seluruh perusahaan yang terdaftar dalam sektor kesehatan periode Juli 2020 hingga Juli 2022.
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The capital market has provided many benefits for the progress of the Indonesian nation's economy. There are many investments made through stocks and bonds issued by companies to develop business or strengthen company capital. On the Indonesia Stock Exchange there are various options for investing, one of which is IDX healthcare shares. Companies in the health sector are included in the trading and investment category on the Indonesia Stock Exchange which also play an important role in the Indonesian economy in terms of investment. Investments made by investors are inseparable from profits and risks. Therefore, investors certainly need a strategy to avoid big losses. Risk is something that investors must pay attention to when investing. Risk cannot be eliminated but can be minimized by diversification (portfolio). The formation of an optimal portfolio and measurement of value at risk is carried out so that investors get a certain return with the smallest risk. The purpose of this research is to find out which stocks can be included in the optimal portfolio and the proportion of each stock's funds formed using the Multi-Objective optimization method. This research was conducted in the health sector on the Indonesia Stock Exchange. The population in this study are all companies registered in the health sector for the period July 2020 to July 2022.

Item Type:	Thesis (Diploma)
Uncontrolled Keywords:	IDX Healthcare, Optimasi Multi-Objektif, Saham, Portofolio, Value at Risk, IDX Healthcare, Multi-Objective Optimization, Stocks, Portfolio, Value at Risk.
Subjects:	Q Science > Q Science (General)
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	NABILA LILIA RAHMAWATI
Date Deposited:	02 Aug 2023 01:13
Last Modified:	02 Aug 2023 01:13
URI:	http://repository.its.ac.id/id/eprint/98334

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