Larasati, Renata Amalia (2024) Perancangan Aplikasi Berbasis Web Sebagai Optimasi Pemilihan Portofolio IDX ESG LEADERS Menggunakan Fuzzy Linear Programming Dan Global Minimum Variansi. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Investasi merupakan sebuah strategi untuk melindungi nilai kekayaan dengan harapan memperoleh keuntungan di masa depan. Tren investasi berkelanjutan sebagai upaya pertumbuhan ekonomi dan pencapaian target SDGs di Indonesia mendorong peningkatan ketertarikan berinvestasi di Indonesia. Hingga pada tahun 2022, OJK mencatat peningkatan jumlah investor saham mencapai 600% selama periode tahun 2017-2022. Meningkatnya ketertarikan investor pada kegiatan investasi saham di Indonesia, menekankan pentingnya pemahaman mendalam tentang manajemen portofolio dan penerapan metode optimasi yang efektif. Selain itu, banyaknya jumlah perusahaan terdaftar dan melakukan penawaran di bursa saham, memberikan tantangan tersendiri bagi para investor dalam memilih perusahaan saham yang diinginkan. Oleh karena itu, BEI secara khusus meluncurkan indeks saham IDX ESG Leaders (IDXESGL) yang memiliki penilaian risiko ESG terendah sebagai upaya mendorong investasi berkelanjutan di Indonesia. Pada penelitian ini akan dipelajari penggunaan metode fuzzy linear programming dan perbandingan terhadap metode global minimum variansi sebagai langkah optimasi pembentukan portofolio saham pada model Markowitz. Selain itu, pengembangan program berbasis komputer akan dilakukan dengan tujuan untuk memfasilitasi pemilihan dan pembentukan portofolio saham yang optimal pada emiten terpilih indeks yang digunakan yaitu IDXESGL. Berdasarkan hasil analisis diperoleh bahwa portofolio optimal menggunakan metode fuzzy linear programming dengan tujuan maksimasi return menghasilkan portofolio optimal dengan expected return portofolio sebesar 2,0303% dengan risiko portofolio yaitu sebesar 5,6598% dalam periode bulanan. Sedangkan portofolio optimal menggunakan metode global minimum variansi dengan tujuan minimasi risiko menghasilkan portofolio optimal dengan expected return portofolio sebesar 1,6686% dengan tingkat risiko portofolio sebesar 4,0000% dalam periode bulanan. Hasil evaluasi kinerja portofolio diketahui metode efficient portofolio global minimum variansi menghasilkan portofolio dengan kinerja lebih baik dibandingkan dengan metode fuzzy linear programming. Hasil penelitian juga diilustrasikan dengan rancangan aplikasi optimasi portofolio menggunakan R-Shiny yang dapat diakses pada link https://its.id/m/aplikasi-optimasi.
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Investment is a strategy performed for preserving the value of assets with the expectation of obtaining additional benefits later on. The growing interest in making investments within Indonesia has been driven by the trend of sustainable investment, which aims to accelerate economic growth and successfully achieve SDG targets in Indonesia. Throughout 2017 and 2022, the Financial Services Authority (OJK) observed a substantially surge in the number of individuals participating in the stock market. The increasing interest of investors towards stock investment activities in Indonesia emphasizes the significance of developing a thorough understanding of portfolio management and the implementation of efficient optimization techniques. In addition, the abundance of listed companies that offer stocks poses hurdles for investors when it comes to choosing the companies they desire. consequently, the Indonesia Stock Exchange (IDX) has introduced the IDX ESG Leaders (IDXESGL) stock index, which is designed to promote sustainable investment in Indonesia by focusing on companies with the lowest ESG risk rating. This study aims to investigate the application of fuzzy linear programming methods and compare them with the global minimum variance approach as optimization techniques for constructing a stock portfolio using the Markowitz model. Moreover, a computerized tool will be developed to simplify the process of selecting and creating an ideal stock portfolio for certain issuers, utilizing the IDXESGL index. The analysis results indicate that the fuzzy linear programming method was used to determine the optimal portfolio. The goal was to maximize return. The optimal portfolio has an expected portfolio return of 2.0303% and a portfolio risk of 5.6598% on a monthly basis. Using the global minimal variance technique, the best portfolio was constructed to minimize risk. This portfolio has an estimated return of 1.6686% and a monthly risk level of 4.0000%. The performance evaluation results indicated that the global minimal variance efficient portfolio technique outperformed the fuzzy linear programming method in terms of portfolio performance. The research findings are further demonstrated by the development of a portfolio optimization application utilizing R-Shiny. This application can be accessible at the following link: https://its.id/m/aplikasi-optimasi.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | Fuzzy Linear Programming (FLP), IDXESGL, Global Minimum Variansi (GMV), Manajemen Portofolio, Program Komputer Computer-based Program, Fuzzy Linear Programming (FLP), IDXESGL, Global Minimum Variance (GMV), Portfolio Management |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4529.5 Portfolio management H Social Sciences > HG Finance > HG4915 Stocks--Prices H Social Sciences > HJ Public Finance |
| Divisions: | Faculty of Vocational > 49501-Business Statistics |
| Depositing User: | Renata Amalia Larasati |
| Date Deposited: | 30 Jul 2024 06:49 |
| Last Modified: | 15 Jan 2025 02:49 |
| URI: | http://repository.its.ac.id/id/eprint/109816 |
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