OPTIMASI PORTOFOLIO SAHAM DENGAN METODE STOCHASTIC DOMINANCE DAN MARKOWITZ

NUR AIDA APRIANTI, . (2021) OPTIMASI PORTOFOLIO SAHAM DENGAN METODE STOCHASTIC DOMINANCE DAN MARKOWITZ. Sarjana thesis, UNIVERSITAS NEGERI JAKARTA.

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Abstract

Investasi saham merupakan salah satu investasi yang memiliki risiko yang tinggi. Sebelum mengambil keputusan untuk berinvestasi, investor diharuskan mencermati nilai return dan risiko yang diperoleh. Dalam berinvestasi saham, guna meminimumkan risiko investor dapat membentuk suatu portofolio. Para investor akan cenderung memilih portofolio yang optimal dalam memaksimalkan keuntungan dari investasinya. Dalam proses pembentukan portofolio optimal ada beberapa metode yang digunakan di antaranya adalah metode Stochastic Dominance dan Markowitz. Tujuan dari penelitian ini adalah mengetahui kinerja metode Stochastic Dominance dan Markowitz sehingga dapat diketahui dari kedua metode tersebut mana yang menghasilkan return yang lebih baik dalam membentuk portofolio optimal. Hasil dari penelitian ini, pada metode Stochastic Dominance terdapat 6 saham LQ-45 yang masuk dalam portofolio optimal, dengan nilai expected return dari portofolio dengan metode Stochastic Dominance sebesar 1,13%, risiko portofolio sebesar 5,41%, dan indeks Sharpe sebesar 16,90%. Sedangkan pada metode Markowitz, terdapat 5 saham LQ-45 yang masuk ke dalam portofolio optimal, dengan nilai expected return dari portofolio dengan metode Markowitz sebesar 0,827%, risiko portofolio sebesar 4,59%, dan indeks Sharpe sebesar 13,32%. Berdasarkan hasil tersebut, karena investor akan lebih memilih expected return yang tinggi dengan risiko tertentu, maka dari kedua metode tersebut metode yang menghasilkan expected return dan kinerja portofolio (indeks Sharpe) lebih baik adalah metode Stochastic Dominance. Kata Kunci: Indeks LQ45, Portofolio Optimal, Metode Stochastic Dominance, Metode Markowitz *************** Stock investment is one of an investment that has a high risk. Before making a decision to invest, investors are required to pay attention to the value of return and risk obtained. In stock invesment, in order to minimize risk, investors can form a portfolio. Investors will typically choose a optimal portfolio that maximizes their return on investment. In the process of optimal portfolio formation, there are some methods used among others are the Stochastic Dominance and Markowitz methods. The purpose of this study is to determine the performance of the Stochastic Dominance and Markowitz methods so that it can be seen which of the two methods produces better returns and portfolio performance in forming an optimal portfolio. The results of this study, in the Stochastic Dominance method, there are 6 LQ-45 stocks that are included in the optimal portfolio, with the expected return value of the portfolio using the Stochastic Dominance method of 1.13%, portfolio risk of 5,41%, and Sharpe index of 16,90%. While in the Markowitz method, there are 5 LQ-45 stocks that are included in the optimal portfolio, with the expected return value of the portfolio using the Markowitz method of 0,827%, portfolio risk of 4,59%, and Sharpe index of 13,32%. Based on these results, because investors will prefer a high expected return with a certain risk, so of the two methods that produce a better of expected return and portfolio performance the Stochastic Dominance method. Keywords: Index LQ45, Optimal Portfolio, Stochastic Dominance Method, Markowitz Method

Item Type: Thesis (Sarjana)
Additional Information: 1). Drs. Sudarwanto, M.Si., DEA.; 2). Ibnu Hadi, M.Si.;
Subjects: Sains > Matematika
Divisions: FMIPA > S1 Matematika
Depositing User: Users 10605 not found.
Date Deposited: 02 Sep 2021 08:48
Last Modified: 02 Sep 2021 08:48
URI: http://repository.unj.ac.id/id/eprint/18009

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