Peramalan Harga Saham Portofolio Optimal Pada Indeks IDX Cyclical Economy 30 Menggunakan Pendekatan Gated Recurrent Units dan Markowitz

Taqiudin, Akmal Rifqy (2025) Peramalan Harga Saham Portofolio Optimal Pada Indeks IDX Cyclical Economy 30 Menggunakan Pendekatan Gated Recurrent Units dan Markowitz. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Tren investasi saham di Indonesia terus meningkat, diiringi dengan bertambahnya jumlah saham yang beredar, membuat pemilihan saham optimal menjadi tantangan bagi investor. Untuk membantu proses tersebut, Bursa Efek Indonesia merilis berbagai indeks, termasuk IDX Cyclical Economy 30, yang berisi saham-saham sensitif terhadap fluktuasi siklus ekonomi. Dalam menghadapi volatilitas pasar, pembentukan portofolio yang tepat menjadi krusial agar investor dapat memaksimalkan keuntungan, mengelola risiko secara efektif, serta memastikan portofolio investasi yang bertanggung jawab dengan mempertimbangkan faktor keberlanjutan dan etika dalam pemilihan saham. Pendekatan diversifikasi berbasis teori Markowitz dan menambahkan tahap eliminasi menggunakan nilai ESG Risk Rating, memungkinkan investor menemukan kombinasi saham optimal dengan keseimbangan antara risiko dan return yang tetap memperhatikan faktor keberlanjutan. Selain itu, penelitian ini juga menyertakan penggunaan model peramalan berbasis Artificial Neural Networks (ANN), yaitu Gated Recurrent Units (GRU), untuk meramalkan proyeksi kinerja setiap saham penyusun portofolio optimal yang terbentuk, sebagai dasar pengambilan keputusan strategis dalam berinvestasi. Penelitian ini menggabungkan kedua metode tersebut untuk membentuk portofolio optimal dan memproyeksikan kinerja saham dalam IDX Cyclical Economy 30 kedalam sebuah dashboard. Hasil penelitian menunjukkan bahwa portofolio optimal terdiri dari 7 emiten dengan expected return sebesar 2.8% dan risiko sebesar 5.2%. Model peramalan harga saham 7 emiten penyusun portofolio optimal menghasilkan nilai MAPE sebesar 1.12% hingga 2.54%. Peramlan harga saham periode selanjutnya menunjukkan mayoritas saham diproyeksikan mengalami penurunan. Korelasi hasil permalan dengan data aktualnya menunjukkan nilai positif pada sebagian besar saham. Dashboard yang dihasilkan mampu menyediakan fitur integrasi data saham, optimasi portofolio, dan visualisasi hasil peramalan secara interaktif, mendukung pengambilan keputusan investasi yang lebih akurat dan efektif.
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The trend of stock investment in Indonesia continues to rise, accompanied by an increasing number of outstanding stocks, making optimal stock selection a challenge for investors. To facilitate this process, the Indonesia Stock Exchange has introduced various indices, including the IDX Cyclical Economy 30, which comprises stocks that are sensitive to economic cycle fluctuations. In facing market volatility, constructing a well-structured portfolio is crucial for investors to maximize returns, manage risks effectively, and ensure a responsible investment portfolio by considering sustainability and ethical factors in stock selection. The diversification approach based on Markowitz's theory, combined with an elimination stage using ESG Risk Rating values, enables investors to find an optimal stock combination that balances risk and return while maintaining sustainability considerations. Additionally, this study incorporates a forecasting model based on Artificial Neural Networks (ANN), specifically Gated Recurrent Units (GRU), to predict the performance projections of each stock forming the optimal portfolio, serving as a strategic basis for investment decision-making. This study integrates both methods to construct an optimal portfolio and project the performance of stocks in the IDX Cyclical Economy 30 within an interactive dashboard. The results indicate that the optimal portfolio consists of seven issuers, with an expected return of 2.8% and a risk level of 5.2%. The stock price forecasting model for the seven issuers in the optimal portfolio yields a Mean Absolute Percentage Error (MAPE) ranging from 1.12% to 2.54%. The stock price forecast for the next period suggests that the majority of stocks are projected to decline. The correlation between the forecasted results and actual data shows a positive value for most stocks. The resulting dashboard integrates stock data, portfolio optimization, and interactive visualization of forecasting results, supporting more accurate and effective investment decision-making

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Optimasi, Portofolio, Markowitz, GRU, Peramalan. Optimization, Portfolio, Forecasting, GRU, Markowitz.
Subjects:	Q Science > QA Mathematics > QA76.87 Neural networks (Computer Science)
Divisions:	Faculty of Vocational > 49501-Business Statistics
Depositing User:	Akmal Rifqy Taqiudin
Date Deposited:	24 Jul 2025 07:15
Last Modified:	24 Jul 2025 07:15
URI:	http://repository.its.ac.id/id/eprint/121090

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