PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN MODEL MARKOWITZ DAN PERAMALAN MENGGUNAKAN DOUBLE EXPONENTIAL SMOOTHING PADA INVESTASI SAHAM DANA PENSIUN SEMEN TONASA PERIODE 2023-2025

Bilal, Muhammad (2026) PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN MODEL MARKOWITZ DAN PERAMALAN MENGGUNAKAN DOUBLE EXPONENTIAL SMOOTHING PADA INVESTASI SAHAM DANA PENSIUN SEMEN TONASA PERIODE 2023-2025. Bachelor thesis, Institut Teknologi Kalimantan.

	Text 17221030_cover.pdf Restricted to Repository staff only until October 2028. Download (136kB) | Request a copy
	Text 17221030_statement_of_authenticity.pdf Restricted to Repository staff only until October 2028. Download (471kB) | Request a copy
	Text 17221030_publishing_agreement.pdf Restricted to Repository staff only until October 2028. Download (500kB) | Request a copy
	Text 17221030_approval_sheet.pdf Restricted to Repository staff only until October 2028. Download (854kB) | Request a copy
	Text 17221030_preface.pdf Restricted to Repository staff only until October 2028. Download (506kB) | Request a copy
	Text 17221030_abstract_id.pdf Restricted to Repository staff only until October 2028. Download (148kB) | Request a copy
	Text 17221030_abstract_en.pdf Restricted to Repository staff only until October 2028. Download (126kB) | Request a copy
	Text 17221030_table_of_content.pdf Restricted to Repository staff only until October 2028. Download (454kB) | Request a copy
	Text 17221030_illustrations.pdf Restricted to Repository staff only until October 2028. Download (414kB) | Request a copy
	Text 17221030_tables.pdf Restricted to Repository staff only until October 2028. Download (420kB) | Request a copy
	Text 17221030_notations.pdf Restricted to Repository staff only until October 2028. Download (476kB) | Request a copy
	Text 17221030_chapter_1.pdf Restricted to Repository staff only until October 2028. Download (546kB) | Request a copy
	Text 17221030_chapter_2.pdf Restricted to Repository staff only until October 2028. Download (638kB) | Request a copy
	Text 17221030_chapter_3.pdf Restricted to Repository staff only until October 2028. Download (558kB) | Request a copy
	Text 17221030_chapter_4.pdf Restricted to Repository staff only until October 2028. Download (882kB) | Request a copy
	Text 17221030_conclusions.pdf Restricted to Repository staff only until October 2028. Download (466kB) | Request a copy
	Text 17221030_bibliography.pdf Restricted to Repository staff only until October 2028. Download (432kB) | Request a copy
	Text 17221030_enclosure.pdf Restricted to Repository staff only until October 2028. Download (1MB) | Request a copy
	Text 17221030_paper.pdf Restricted to Repository staff only until October 2028. Download (1MB) | Request a copy
	Text 17221030_presentation.pdf Restricted to Repository staff only until October 2028. Download (1MB) | Request a copy

Abstract

Penelitian ini bertujuan untuk menganalisis pembentukan portofolio saham optimal serta melakukan peramalan harga saham guna mendukung strategi investasi bagi Dana Pensiun Semen Tonasa (DPST) periode Agustus 2023 – Agustus 2025. Metode yang digunakan meliputi model Markowitz untuk menentukan kombinasi portofolio optimal dan Double Exponential Smoothing (DES) untuk memprediksi level dan trend harga saham. Data yang digunakan berupa harga penutupan saham harian dari 15 emiten yang terdaftar di Bursa Efek Indonesia (BEI). Hasil penelitian menunjukkan bahwa portofolio optimal terbentuk dari saham ANTM dan BUMI dengan bobot masing-masing sebesar 53% dan 47%, menghasilkan expected return sebesar 25,55%, risiko sebesar 2,46%, dan Sharpe Ratio sebesar 7,960. Hasil peramalan menunjukkan trend meningkat pada ANTM dengan nilai RMSE sebesar 0,03 dan trend menurun pada BUMI dengan nilai RMSE sebesar 0,17 yang menunjukkan tingkat kesalahan peramalan relatif kecil. Dengan demikian, kombinasi kedua saham tersebut mampu memberikan keseimbangan antara return dan risiko serta menghasilkan portofolio yang optimal sesuai prinsip model Markowitz.

Item Type:	Thesis (Bachelor)
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management H Social Sciences > HG Finance
Divisions:	Jurusan Matematika dan Teknologi Informasi > Ilmu Aktuaria
Depositing User:	Muhammad Bilal
Date Deposited:	13 Jul 2026 02:31
Last Modified:	13 Jul 2026 02:31
URI:	http://repository.itk.ac.id/id/eprint/26220

Actions (login required)

View Item