PEMODELAN PORTOFOLIO LINTAS ASET (STUDI KOMPARASI METODE DINAMIS SIMETRIS DAN ASIMETRIS)
| Main Author: | Oktavianto, Dismas |
|---|---|
| Other Authors: | Robiyanto, Robiyanto |
| Format: | Thesis application/pdf |
| Bahasa: | ind |
| Terbitan: |
, 2022
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| Subjects: | |
| Online Access: |
https://repository.uksw.edu//handle/123456789/27939 |
Daftar Isi:
- This study aims to establish a dynamic portfolio model using stock asset classes, precious metals, world oil and the dollar index, so as to produce a portfolio that maximizes returns and can provide security or hedging for investors. This study uses a sample of four big cap companies in the Indonesian stock market. The sampling technique used was the Judgment Sampling technique and the BBCA, BBRI, BMRI and ASII companies were obtained as samples. The data used are daily returns with a time period of January 2, 1998 to December 31, 2020. The analytical techniques used in this study are Dynamics Conditional Correlation (DCC) and Asymmetric Dynamics Conditional Correlation (ADCC) using Eviews 12 software. Optimal Hedging Ratio and Hedging Effectiveness. Then, the results of portfolio formation will be measured using portfolio performance ratios, the ratio of Sharpe, Sortino, Jensen Alpha, Treynor and Omega. The test results show that: 1) The portfolio formed by the DCC and ADCC-GARCH methods between stocks and gold precious metal has better performance than stocks alone. 2) Portfolios formed by the DCC and ADCC-GARCH methods between stocks and world oil have better performance than stocks alone. 3) The portfolio formed by the DCC and ADCC-GARCH methods between the stock index and the dollar has better performance than stocks alone. 4) The portfolio formed by the ADCC-GARCH method has a good performance compared to the DCC-GARCH method. Therefore, the formation of a dynamic portfolio by including precious metals gold, world oil, and the dollar index into the portfolio can improve performance and reduce risk.