Analisis Peran Bitcoin Dalam Portofolio Investasi Perusahaan Asuransi Menggunakan Pendekatan Mean-Variance Optimization

Hafizd, Fadhil Muhammad (2025) Analisis Peran Bitcoin Dalam Portofolio Investasi Perusahaan Asuransi Menggunakan Pendekatan Mean-Variance Optimization. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Penelitian ini bertujuan untuk menganalisis potensi integrasi Bitcoin dalam portofolio investasi perusahaan asuransi menggunakan pendekatan Mean-Variance Optimization (MVO) dalam kerangka Modern Portfolio Theory (MPT). Perusahaan asuransi menghadapi tantangan dalam pengelolaan portofolio akibat volatilitas pasar dan regulasi investasi yang ketat. Bitcoin, sebagai aset digital dengan volatilitas tinggi namun korelasi yang rendah terhadap aset tradisional, berpotensi menjadi instrumen diversifikasi yang efektif. Penelitian ini menganalisis data historis return bulanan dari berbagai aset seperti Bitcoin, saham anggota indeks MSCI Indonesia edisi Maret 2025, obligasi pemerintah Indonesia tenor 10 tahun, reksa dana berbasis ETF, dan emas spot. Karakteristik masing-masing aset dianalisis menggunakan statistik deskriptif, dilanjutkan dengan estimasi matriks kovarians untuk mengukur hubungan antar aset, serta optimasi portofolio menggunakan metode MVO untuk membandingkan kinerja portofolio dengan dan tanpa Bitcoin. Hasil penelitian menunjukkan bahwa meskipun alokasi Bitcoin dibatasi secara konservatif yaitu di bawah 10%, bahkan dengan bobot kecil antara 2% hingga 5%, integrasi Bitcoin mampu meningkatkan efisiensi portofolio secara konsisten baik dalam kondisi tanpa maupun dengan penerapan batasan regulasi POJK. Penambahan Bitcoin tidak hanya memberikan dampak positif terhadap expected return relatif terhadap risiko total, tetapi juga meningkatkan kinerja berdasarkan indikator evaluasi portofolio seperti Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, Value at Risk (VaR), dan Expected Shortfall (ES). Simulasi Monte Carlo juga memperkuat temuan ini, dengan menunjukkan bahwa portofolio yang memasukkan Bitcoin, meskipun dalam porsi kecil, tetap unggul dalam hal efisiensi dibandingkan portofolio tradisional. Dengan demikian, integrasi Bitcoin dalam batas proporsional yang sesuai regulasi dapat menjadi strategi diversifikasi yang relevan dan bermanfaat bagi perusahaan asuransi dalam menghadapi dinamika pasar dan perkembangan aset digital.
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This study aims to analyze the potential integration of Bitcoin into insurance companies' investment portfolios using the Mean-Variance Optimization (MVO) approach within the framework of Modern Portfolio Theory (MPT). Insurance companies face challenges in portfolio management due to market volatility and strict investment regulations. Bitcoin, as a digital asset with high volatility but low correlation to traditional assets, holds the potential to serve as an effective diversification instrument. This research analyzes historical monthly returns from various assets including Bitcoin, stocks listed in the MSCI Indonesia Index as of March 2025, 10-year Indonesian government bonds, ETF-based mutual funds, and spot gold. The characteristics of each asset are examined through descriptive statistics, followed by the estimation of covariance matrices to assess inter-asset relationships, and portfolio optimization using the MVO method to compare portfolio performance with and without Bitcoin. The results indicate that even with a conservative Bitcoin allocation of below 10%, and actual weights ranging between 2% and 5%, the integration of Bitcoin consistently improves portfolio efficiency both in the absence and presence of regulatory constraints imposed by Indonesia’s Financial Services Authority (POJK). The inclusion of Bitcoin not only enhances the expected return relative to total risk but also improves performance across portfolio evaluation metrics such as the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, Value at Risk (VaR), and Expected Shortfall (ES). Monte Carlo simulations further support these findings, showing that portfolios incorporating Bitcoin—even in small proportions—outperform traditional portfolios in terms of efficiency. Therefore, integrating Bitcoin within regulatory-compliant limits can serve as a relevant and beneficial diversification strategy for insurance companies in navigating market dynamics and the evolving landscape of digital assets.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Bitcoin, Perusahaan Asuransi, Mean-Variance Optimization, Modern Portfolio Theory, Diversifikasi, Bitcoin, Insurance Companies, Mean-Variance Optimization, Modern Portfolio Theory, Diversification
Subjects:	H Social Sciences > HG Finance > HG4529.5 Portfolio management
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Fadhil Muhammad Hafizd
Date Deposited:	21 Jul 2025 05:46
Last Modified:	21 Jul 2025 05:46
URI:	http://repository.its.ac.id/id/eprint/120260

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