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.
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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 |
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