Estimasi Risiko Portofolio Optimal dengan Pendekatan Multi-Objective Optimization berdasarkan Hasil Peramalan menggunakan ARCH/GARCH pada Saham Perbankan

Dinarta, Michael Nathaniel (2023) Estimasi Risiko Portofolio Optimal dengan Pendekatan Multi-Objective Optimization berdasarkan Hasil Peramalan menggunakan ARCH/GARCH pada Saham Perbankan. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Dalam melakukan investasi penting untuk merealisasikan manajemen keuangan yang baik agar memberikan rasa aman ketika berinvestasi. Terdapat beberapa bentuk investasi yang memberikan potensi keuntungan (return) tinggi salah satunya yaitu saham sektor perbankan. Dalam praktiknya risiko sektor perbankan yang dihadapi dari tahun ke tahun semakin kompleks sehingga investor harus memiliki pemahaman yang baik dalam hal manajemen risiko. Hal ini tidak terlepas dari pengambilan keputusan investor di masa depan, sehingga perlu dilakukan pembentukan model untuk peramalan harga. Penelitian ini akan membahas peramalan, optimasi portofolio, dan estimasi perhitungan risiko investasi menggunakan pendekatan ARCH/GARCH, Multi-Objective Optimization, Value at Risk (VaR) dan Expected Shortfall (ES). Data saham yang digunakan berasal dari sektor perbankan dan merupakan data harga penutupan harian terhitung dari 1 Agustus 2019 hingga 30 Juli 2022. Hasil penelitian menunjukkan bahwa nilai VaR yang dihasilkan dengan tingkat kepercayaan 95% dari hasil peramalan model ARIMA-GARCH terbaik untuk periode 10 hari kedepan dengan dana awal sebesar Rp1.000.000 tidak valid pada portofolio yang terbentuk. Sebagai ukuran risiko alternatif, nilai ES dapat digunakan untuk mengetahui ekpektasi nilai kerugian di atas VaR. Portofolio optimal bagi investor risk seeking dengan indeks penghindaran risiko k = 0,01 dan k = 0,1 menghasilkan expected return sebesar Rp337,6388 – Rp376,968 dan nilai ES sebesar Rp66.900 – Rp76.300. Portofolio optimal bagi investor risk indifference dengan indeks penghindaran risiko k = 1, k = 10, dan k = 100 menghasilkan expected return sebesar Rp360,1652 – Rp361,985 dan nilai ES sebesar Rp75.500 – Rp77.300. Sedangkan, portofolio optimal bagi investor risk averse dengan indeks penghindaran risiko k = 1000 dan k = 10000 menghasilkan expected return sebesar Rp360,1004 – Rp360,1063 dan nilai ES sebesar Rp77.400.
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When making investments, it is important to realize a good financial management to provide a sense of security when investing. There are several forms of investment that provide high potential returns, one of which is banking sector stocks. In practice, the risks faced by the banking sector are increasingly complex from year to year, so investors must have a good understanding of risk management. This is inseparable from investor decision-making in the future, so it is necessary to establish a model for price forecasting. This study will discuss forecasting, portfolio optimization, and estimation of investment risk calculations using the ARCH/GARCH, Multi-Objective Optimization, Value at Risk (VaR), and Expected Shortfall (ES) approaches. The stock data used is daily closing price data from August 1, 2019 to July 30, 2022, and comes from the banking sector. The results showed that the VaR value generated with a 95% confidence level from the best ARIMA-GARCH model forecasting results for the next 10 days at an initial fund of Rp1.000.000 is not valid in the portfolio formed. As an alternative risk measure, the ES value can be used to determine the expected value of losses above VaR. The optimal portfolio for risk seeking investors with a risk aversion index of k = 0,01 and k = 0,1 produces an expected return of Rp337,6388 – Rp376,968 and an ES value of Rp66.900 – Rp76.300. The optimal portfolio for risk indifference investors with a risk aversion index of k = 1, k = 10, and k = 100 produces an expected return of Rp360,1652 – Rp361,985 and an ES value of Rp75.500 – Rp77.300. Meanwhile, the optimal portfolio for a risk averse investor with a risk aversion index of k = 1000 and k = 10000 produces an expected return of Rp360,1004 – Rp360,1063 and an ES value of Rp77.400.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	ARCH/GARCH, Multi-Objective Optimization, Value at Risk, Expected Shortfall
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management H Social Sciences > HG Finance > HG4529.5 Portfolio management Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry)
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Michael Nathaniel Dinarta
Date Deposited:	19 Jan 2023 01:37
Last Modified:	19 Jan 2023 01:37
URI:	http://repository.its.ac.id/id/eprint/95475

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