Analisis Pembentukan Portofolio Optimal Dengan Metode Markowitz, Single Index Model Dan Black Litterman Pada Saham Idx 30 Periode 2015-2017
| Main Author: | Sri Nurhayati |
|---|---|
| Other Authors: | Pudji Astuty |
| Format: | bachelorThesis |
| Bahasa: | ind |
| Terbitan: |
Fak.Ekonomi dan Bisnis Uin Jakarta
|
| Subjects: | |
| Online Access: |
http://repository.uinjkt.ac.id/dspace/handle/123456789/41752 |
Daftar Isi:
- This study was conducted to obtain the optimal form of portfolio based onMarkowitz Model, Single Index Model and Black-Litterman Model in IDX 30 and analyze the optimal portfolio potential maximum loss that will occur during the next day. The research objects consist of consistent stocks listed on the IDX 30 Index during the period of January 1, 2015 to December 29, 2017. The result of study shows that optimal portfolio with Single Index Model and Markowitz Model similary consist of six stocks namely ADRO, BBCA, BBNI, TLKM, UNVR and UNTR. While, Black Litterman Model consists of five stocks namely ASII, BMRI, INDF, INTP and UNTR. From these three models, the calculation of Sharpe Index, Treynor Index, Jensen Index and M2 Index that generated by Black Litterman model has a higher value compared than Single Index Model and Markowitz Model. thus the optimal portfolio with Black Litterman Model has a better performance. Risk measurement is calculated by Value at Risk (VaR) method with EWMA approach.. Based on the result of Backtesting Test and Kupiec test, VaR on ASII shares, INDF shares,INTP shares, UNTR shares and optimal portfolio are valid.