Tudaan, Magh Heryan (2026) OPTIMISASI PORTOFOLIO SAHAM INDEKS IDX30 MENGGUNAKAN MODEL BLACK-LITTERMAN DENGAN PENDEKATAN ARIMA DAN ARIMAX SEBAGAI VIEW INVESTOR. Bachelor thesis, Institut Teknologi Kalimantan.
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Abstract
Penelitian ini dilatarbelakangi oleh ketidakpastian pasar modal dan kebutuhan investor dalam membentuk portofolio saham yang mampu menghasilkan kombinasi return dan risiko yang optimal. Model portofolio yang hanya bertumpu pada data historis memiliki keterbatasan karena belum memasukkan pandangan investor berbasis faktor makroekonomi. Oleh karena itu, penelitian ini bertujuan mengoptimalkan portofolio saham indeks IDX30 menggunakan model Black-Litterman dengan pendekatan ARIMA dan ARIMAX sebagai view investor. Penelitian menggunakan pendekatan kuantitatif dengan data harga penutupan saham bulanan serta variabel makroekonomi berupa nilai tukar rupiah terhadap dolar AS, suku bunga, dan inflasi. Tahapan analisis meliputi perhitungan return saham, pengujian normalitas, pembentukan return ekuilibrium menggunakan CAPM, pemodelan ARIMA dan ARIMAX melalui uji stasioneritas, identifikasi orde, estimasi parameter, uji diagnostik residual, pemilihan model terbaik, pembentukan view investor, penerapan model Black-Litterman, serta evaluasi kinerja portofolio menggunakan Sharpe Ratio. Hasil penelitian menunjukkan bahwa nilai tukar rupiah terhadap dolar AS berpengaruh signifikan terhadap return seluruh saham yang dianalisis, sedangkan suku bunga hanya signifikan pada BBRI dan inflasi tidak signifikan. Model ARIMAX menghasilkan kinerja portofolio yang lebih baik dibandingkan ARIMA, ditunjukkan oleh Sharpe Ratio sebesar 1,52750 dibandingkan 0,14299. Pendekatan Black-Litterman berbasis ARIMAX dinilai lebih optimal dalam membentuk portofolio saham IDX30.
| Item Type: | Thesis (Bachelor) |
|---|---|
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HG Finance Q Science > QA Mathematics |
| Divisions: | Jurusan Matematika dan Teknologi Informasi > Ilmu Aktuaria |
| Depositing User: | Magh Heryan Tudaan |
| Date Deposited: | 16 Jul 2026 07:07 |
| Last Modified: | 16 Jul 2026 07:07 |
| URI: | http://repository.itk.ac.id/id/eprint/27186 |
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