Skripsi

ANALISIS OPTIMASI PORTOFOLIO PADA INVESTASI SAHAM DENGAN VALUE AT RISK

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This study aims to form an optimal portfolio of LQ45 stocks by maximizing returns and minimizing risk using the Value at Risk (VaR) approach. Daily closing price data of 45 LQ45 stocks from February 2023 to January 2024 were analyzed through three stages: (1) analysis of stock characteristics (return, volatility, inter-sector and inter-stock correlation); (2) selection of portfolio candidates based on performance and diversification; (3) optimization of portfolio candidates with VaR at a 95% confidence level and holding periods of 1 day, 1 week, and 1 month. The research results show that the optimal portfolio consists of six stocks: BBRI (26.45%), AKRA (22.20%), ICBP (21.38%), EXCL (14.75%), BBCA (12.35%), and TLKM (2.87%). This portfolio generates a daily VaR of Rp. 927,008, a daily return of 6.47%, a volatility of 2.58%, and a Sharpe index of 7.46 (superior performance compared to the risk-free rate). The results of this study indicate that the integration of the VaR method and sectoral diversification effectively reduced portfolio risk by 72.8% compared to the initial portfolio, with more efficient transaction costs (0.4%). The implication is that this portfolio can serve as a reference for investors for managed high-risk stock investments on the Indonesia Stock Exchange.

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Detail Information

Series Title

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Call Number

T1862412025

Publisher

Indralaya : Prodi Ilmu Matematika, Fakultas Matematika Dan Ilmu Pengetahuan Alam Universitas Sriwijaya., 2025

Collation

xii, 105 hlm.; ilus.; tab.; 29 cm.

Language

Indonesia

ISBN/ISSN

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Classification

332.607

Content Type

Text

Media Type

unmediated

Carrier Type

other (computer)

Edition

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Subject(s)

Investasi Saham
Prodi Ilmu Matematika

Specific Detail Info

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Statement of Responsibility

MI

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