OPTIMALISASI PORTOFOLIO SAHAM LINTAS SEKTOR DI BEI MENGGUNAKAN METODE MARKOWITZ SERTA PENGUKURAN RISIKO MENGGUNAKAN EXPECTED SHORTFALL

Bayhaqi, Yusriza (2026) OPTIMALISASI PORTOFOLIO SAHAM LINTAS SEKTOR DI BEI MENGGUNAKAN METODE MARKOWITZ SERTA PENGUKURAN RISIKO MENGGUNAKAN EXPECTED SHORTFALL. Bachelor thesis, Institut Teknologi Kalimantan.

	Text 17211037_Cover.pdf Restricted to Repository staff only until 4 October 2028. Download (348kB) | Request a copy
	Text 17211037_Statement_of_authenticity.pdf Restricted to Repository staff only until 4 October 2028. Download (150kB) | Request a copy
	Text 17211037_Publishing_agreement.pdf Restricted to Repository staff only until 4 October 2028. Download (345kB) | Request a copy
	Text 17211037_Aproval_sheet.pdf Restricted to Repository staff only until 4 October 2028. Download (203kB) | Request a copy
	Text 17211037_Preface.pdf Restricted to Repository staff only until 4 October 2028. Download (349kB) | Request a copy
	Text 17211037_Abstract_id.pdf Restricted to Repository staff only until 4 October 2028. Download (400kB) | Request a copy
	Text 17211037_Abstract_en.pdf Restricted to Repository staff only until 4 October 2028. Download (356kB) | Request a copy
	Text 17210137_Table_of_content.pdf Restricted to Repository staff only until 4 October 2028. Download (412kB) | Request a copy
	Text 17211037_Illustrations.pdf Restricted to Repository staff only until 4 October 2028. Download (305kB) | Request a copy
	Text 17211037_Tables.pdf Restricted to Repository staff only until 4 October 2028. Download (346kB) | Request a copy
	Text 17211037_Notations.pdf Restricted to Repository staff only until 4 October 2028. Download (416kB) | Request a copy
	Text 17211037_chapter_1.pdf Restricted to Repository staff only until 4 October 2028. Download (510kB) | Request a copy
	Text 17211037_chapter_2.pdf Restricted to Repository staff only until 4 October 2028. Download (551kB) | Request a copy
	Text 17211037_chapter_3.pdf Restricted to Repository staff only until 4 October 2028. Download (422kB) | Request a copy
	Text 17211037_chapter_4.pdf Restricted to Repository staff only until 4 October 2028. Download (570kB) | Request a copy
	Text 17211037_Conclusions.pdf Restricted to Repository staff only until 4 October 2028. Download (435kB) | Request a copy
	Text 17211037_Bibliography.pdf Restricted to Repository staff only until 4 October 2028. Download (365kB) | Request a copy
	Text 17211037_Enclosure.pdf Restricted to Repository staff only until 4 October 2028. Download (594kB) | Request a copy
	Text 17211037_Paper.pdf Restricted to Repository staff only until 4 October 2028. Download (505kB) | Request a copy
	Text 17211037_Presentation.pdf Restricted to Repository staff only until 4 October 2028. Download (1MB) | Request a copy
	Text 17211037_Form. TA-020.pdf.pdf Restricted to Repository staff only until 4 October 2028. Download (194kB) | Request a copy

Abstract

Penelitian ini bertujuan untuk menentukan komposisi portofolio saham optimal lintas sektor di Bursa Efek Indonesia (BEI). Portofolio optimal dibentuk menggunakan Model Markowitz berdasarkan kriteria maximum Sharpe Ratio. Risiko masing-masing emiten diukur menggunakan metode Value at Risk dan Expected Shortfall pada tingkat kepercayaan 95% dengan metode Historical Simulation. Data yang digunakan berupa harga penutupan harian 11 emiten dari 11 sektor BEI periode Januari 2023–Desember 2025. Hasil pada penelitian ini menunjukkan bahwa portofolio optimal terdiri atas saham ASII dengan bobot 32% dan ANTM sebesar 68%, dengan expected return harian 0,054% dan volatilitas 1,91%. Pengukuran risiko individual menunjukkan bahwa ASII memiliki Value at Risk sebesar 2,42% dan Expected Shortfall sebesar 3,63% sedangkan ANTM memiliki Value at Risk sebesar 3,97% dan Expected Shortfall sebesar 5,70%. Hasil tersebut menunjukkan bahwa kombinasi saham ASII dan ANTM mampu menurunkan sebagian risiko melalui diversifikasi dibandingkan risiko saham ANTM secara individual. Namun, berdasarkan nilai Sharpe Ratio sebesar -2,996, portofolio yang terbentuk belum mampu memberikan excess return yang lebih baik dibandingkan tingkat pengembalian bebas risiko. Selain itu, Expected Shortfall memberikan estimasi risiko yang lebih konservatif dalam menggambarkan potensi kerugian ekstrem dibandingkan Value at Risk.

Item Type:	Thesis (Bachelor)
Subjects:	Q Science > QA Mathematics
Depositing User:	Yusriza Bayhaqi
Date Deposited:	21 Jul 2026 06:30
Last Modified:	21 Jul 2026 06:30
URI:	http://repository.itk.ac.id/id/eprint/27921

Actions (login required)

View Item