Analisis Investasi Saham Sektor Energi Menggunakan Value at Risk (VaR) dan Conditional Value at Risk (CVaR) dengan Pendekatan Single Index Model: Studi Kasus Indeks LQ45 Tahun 2025

Aisah, Ayu Nor (2026) Analisis Investasi Saham Sektor Energi Menggunakan Value at Risk (VaR) dan Conditional Value at Risk (CVaR) dengan Pendekatan Single Index Model: Studi Kasus Indeks LQ45 Tahun 2025. Bachelor thesis, Institut Teknologi Kalimantan.

	Text 17221014_cover.pdf Restricted to Repository staff only until 7 January 2028. Download (325kB) | Request a copy
	Text 17221014_statement_of_authenticity.pdf Restricted to Repository staff only until 7 January 2028. Download (313kB) | Request a copy
	Text 17221014_publishing_agreement.pdf Restricted to Repository staff only until 7 January 2028. Download (369kB) | Request a copy
	Text 17221014_approval_sheet.pdf Restricted to Repository staff only until 7 January 2028. Download (433kB) | Request a copy
	Text 17221014_preface.pdf Restricted to Repository staff only until 7 January 2028. Download (328kB) | Request a copy
	Text 17221014_abstract_id.pdf Restricted to Repository staff only until 7 January 2028. Download (368kB) | Request a copy
	Text 17221014_abstract_en.pdf Restricted to Repository staff only until 7 January 2028. Download (324kB) | Request a copy
	Text 17221014_table_of_content.pdf Restricted to Repository staff only until 7 January 2028. Download (336kB) | Request a copy
	Text 17221014_illustrations.pdf Restricted to Repository staff only until 7 January 2028. Download (321kB) | Request a copy
	Text 17221014_tables.pdf Restricted to Repository staff only until 7 January 2028. Download (322kB) | Request a copy
	Text 17221014_notations.pdf Restricted to Repository staff only until 7 January 2028. Download (395kB) | Request a copy
	Text 17221014_chapter_1.pdf Restricted to Repository staff only until 7 January 2028. Download (458kB) | Request a copy
	Text 17221014_chapter_2.pdf Restricted to Repository staff only until 7 January 2028. Download (526kB) | Request a copy
	Text 17221014_chapter_3.pdf Restricted to Repository staff only until 7 January 2028. Download (522kB) | Request a copy
	Text 17221014_chapter_4.pdf Restricted to Repository staff only until 7 January 2028. Download (761kB) | Request a copy
	Text 17221014_conclusions.pdf Restricted to Repository staff only until 7 January 2028. Download (394kB) | Request a copy
	Text 17221014_bibliography.pdf - Bibliography Restricted to Repository staff only until 7 January 2028. Download (328kB) | Request a copy
	Text 17221014_enclosure.pdf Restricted to Repository staff only until 7 January 2028. Download (4MB) | Request a copy
	Text 17221014_paper.pdf Restricted to Repository staff only until 7 January 2028. Download (524kB) | Request a copy
	Text 17221014_presentation..pdf Restricted to Repository staff only until 7 January 2028. Download (807kB) | Request a copy

Abstract

Sektor energi merupakan salah satu sektor dengan tingkat volatilitas yang tinggi sehingga memerlukan analisis risiko yang komprehensif untuk memahami potensi kerugian investasi. Studi ini menganalisis risiko saham sektor energi dalam indeks LQ45 untuk tahun 2025 menggunakan pendekatan Single Index Model (SIM) untuk menentukan portofolio optimal, serta Value at Risk (VaR) dan Conditional Value at Risk (CVaR) melalui simulasi Monte Carlo. Data yang digunakan adalah harga penutupan harian untuk periode Februari 2022 hingga Juli 2025. Hasil SIM menunjukkan tiga saham optimal: AKRA (51,8%), MEDC (39,6%), dan PGAS (8,5%). Berdasarkan simulasi Monte Carlo, VaR 95% diperoleh sebesar -0.001753, yang menunjukkan bahwa dengan tingkat keyakinan 95%, kerugian harian maksimum portofolio tidak akan melebihi 0,175%. Sementara itu, CVaR 95% sebesar -0.002554, yang merupakan kerugian rata-rata ketika kerugian aktual berada di bawah batas VaR. Temuan ini mengindikasikan bahwa portofolio pada sektor energi memiliki eksposur risiko pasar yang substansial, sehingga menuntut adanya pertimbangan analitis yang lebih mendalam dalam proses pengambilan keputusan investasi. Kata kunci: Risiko investasi, VaR, CVaR, Model Indeks Tunggal, LQ45, sektor energi.

Item Type:	Thesis (Bachelor)
Subjects:	Q Science > Q Science (General)
Divisions:	Jurusan Matematika dan Teknologi Informasi > Ilmu Aktuaria
Depositing User:	Ayu Nor Aisah
Date Deposited:	29 Jun 2026 06:21
Last Modified:	29 Jun 2026 06:21
URI:	http://repository.itk.ac.id/id/eprint/25534

Actions (login required)

View Item