Analisis Risiko Berdasarkan EVT dengan Pendekatan Peaks Over Threshold pada Optimasi Portofolio IDXESGL Menggunakan Single dan Multiple Index Model

Silitonga, Debora Sabrina Br (2024) Analisis Risiko Berdasarkan EVT dengan Pendekatan Peaks Over Threshold pada Optimasi Portofolio IDXESGL Menggunakan Single dan Multiple Index Model. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Saham merupakan salah satu jenis instrumen investasi yang tergolong high risk dengan potensi return yang cenderung berfluktuatif. Diperlukan strategi yang signifikan dalam mitigasi risiko kerugian, salah satunya dengan melakukan diversifikasi. Diversifikasi portofolio perlu dilakukan secara optimum. Terdapat beberapa metode dalam membentuk portofolio optimum, seperti metode SIM dan MIM. Penelitian ini bertujuan untuk membandingkan pembentukan portofolio menggunakan metode Single Index Model (SIM) dan Multiple Index Model (MIM) berdasarkan tingkat expected return dan risiko masing-masing portofolio, dilanjutkan dengan estimasi Value at Risk (VaR) dan Conditional Value at Risk (CVaR) pada data ekstrem menggunakan parameter distribusi GPD (Generalized Pareto Distribution). Nilai ekstrem saham diidentifikasi dengan pendekatan Peaks Over Threshold (POT). Data yang digunakan merupakan data closing price harian pada indeks saham ESG Leaders yang berturut-turut terdaftar pada periode 14 Desember 2020 sampai 19 September 2023 sebagai kandidat penyusun portofolio, data closing price IHSG, S&P 500, dan SX5E sebagai indeks acuan. Penelitian ini menghasilkan portofolio optimum SIM yang terdiri dari 7 saham penyusun dan portofolio optimum MIM yang terdiri dari 6 saham penyusun. Diperoleh kesimpulan bahwa tingkat expected return pada portofolio MIM sebesar 0,139577% lebih tinggi dibanding portofolio MIM sebesar 0,110694%. Potensi keuntungan yang lebih besar pada portofolio MIM juga disertai dengan tingkat risiko yang lebih tinggi sebesar 1,847678%. Namun, ketika melihat potensi kerugian ekstrem pada tingkat kepercayaan 1%, 5%, dan 10% berdasarkan perhitungan VaR dan CVaR, risiko yang dihadapi portofolio SIM lebih tinggi daripada portofolio MIM. Dengan demikian, penelitian ini menekankan pentingnya strategi manajemen risiko dalam keputusan berinvestasi.
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Stocks are considered a high-risk investment instrument with the potential for fluctuating returns. Significantly strategic approaches are required to mitigate the risks, and one effective method is through diversification. Optimal portfolio diversification is crucial, and various methods, such as Single Index Model (SIM) and Multiple Index Model (MIM), are employed to create an optimal portfolio based on the expected return and risk levels of each portfolio. This research aims to compare the formation of portfolios using the Single Index Model (SIM) and Multiple Index Model (MIM) based on their respective expected return and risk levels. The comparison is further extended with the estimation of Value at Risk (VaR) and Conditional Value at Risk (CVaR) on extreme data using the Generalized Pareto Distribution (GPD) parameters. Extreme values of stocks are identified using the Peaks Over Threshold (POT) approach. The data utilized in this study consist of daily closing prices for the ESG Leaders stock index from December 14, 2020, to September 19, 2023, as candidate portfolio constituents. Additionally, closing prices for the IHSG, S&P 500, and SX5E serve as benchmark indices. The research results in an optimum SIM portfolio comprising 7 constituent stocks and an optimum MIM portfolio comprising 6 constituent stocks. The study concludes that the expected return level in the MIM portfolio is 0.139577%, higher than the SIM portfolio's 0.110694%. The potential for greater profits in the MIM portfolio is accompanied by a higher risk level of 1.847678%. However, when considering extreme loss potential at specific confidence levels based on VaR and CVaR calculations, the risk faced by the SIM portfolio is, in fact, higher than that of the MIM portfolio. Hence, this research emphasizes the importance of risk management strategies in investment decision-making.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Stock Investment, Single Index Model, Multiple Index Model, Peaks Over Threshold, VaR-CVaR.
Subjects:	H Social Sciences > HA Statistics > HA31.3 Regression. Correlation H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4529.5 Portfolio management Q Science > QA Mathematics > QA76.9.I52 Information visualization
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Silitonga Debora Sabrina BR
Date Deposited:	25 Jan 2024 08:07
Last Modified:	25 Jan 2024 08:07
URI:	http://repository.its.ac.id/id/eprint/105639

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