6483-12329-1-SM.pdf - ISSN 2339-2541 JURNAL GAUSSIAN Volume...

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ISSN: 2339-2541 JURNAL GAUSSIAN, Volume 3, Nomor 3, Tahun 2014, Halaman 481 - 490 Online di: OPTIMALISASI PORTOFOLIO MENGGUNAKAN CAPITAL ASSET PRICING MODEL (CAPM) DAN MEAN VARIANCE EFFICIENT PORTFOLIO (MVEP) (Studi Kasus: Saham-Saham LQ45) Mardison Purba 1 , Sudarno 2 , Moch. Abdul Mukid 2 1 Mahasiswa Jurusan Statistika FSM Undip 2 Staf Pengajar Jurusan Statistika FSM Undip ABSTRACT Investment is planting some funds to get profit. However, there is a positive relationship between risk and return that is High Risk High Return. So, the investor seeks to maximize expected return using portfolio optimization. The nature of the stock fluctuates over time, often times it poses a risk to lose money. In the science of finance, the fluctuations of stock returns is known as volatility. Then the stock volatility measurement uses Exponentially Weighted Moving Average (EWMA). Methods of Capital Assets Pricing Model (CAPM) is used for the selection of the best stocks of the nine sectors LQ45. Portfolios are formed of nine sectors were weighted using the Mean-Variance optimal Efficient Portfolio (MVEP). The weight placed on the largest fund shares at IMAS 25.12%, amounting to 19.53% BDMN, BWPT by 6.40%, 9.75% for INCO, SMCB by 7.72%, amounting to 9.37% INDF, BKSL for 2.27%, 16.87% and TLKM of MAPI by 2.98%. Based on analysis, volatility measurement of IMAS, TLKM and BDMN especially using EWMA. Risk measurement tool used for stock portfolio is Value at Risk (VaR) and Risk measurement tool used for stocks is Component Value at Risk (CVaR). With a confidence level of 95% and an investment of IDR 100.000.000 the loss investment using VaR for one day in the future is IDR 1.799.824. Meanwhile, if using CVaR then the maximum loss investment for the day ahead is IDR 1.523.000,73. Keywords: stock return, portfolio, Capital Assets Pricing Model, Mean-Variance Efficient Portfolio, Value at Risk, Component Value at Risk 1. PENDAHULUAN Investasi merupakan penanaman sejumlah dana dalam bentuk uang ataupun barang yang diharapkan akan memberikan hasil dikemudian hari. Investasi dalam bentuk surat berharga biasanya dapat dilakukan melalui pasar uang atau pasar modal. Pada umumnya tujuan investor berinvestasi dipasar modal pasti mengharapkan tingkat keuntungan. Ditinjau dari tingkat keuntungan, risiko yang diperoleh di pasar modal pun lebih besar dibandingkan risiko di pasar uang bentuk deposito. Untuk dapat meminimalkan risiko berinvestasi saham, investor dapat melakukan portofolio saham. Pendekatan yang dapat digunakan untuk memilih saham adalah Capital Asset Pricing Model (CAPM) (Hartono, 2013). Pemilihan saham difokuskan pada saham-saham LQ-45 yang terdiri dari sembilan sektor dengan cara memilih satu saham yang akan mewakili sembilan sektor tersebut. Sembilan saham yang terpilih akan didiversifikasi menjadi portofolio saham. Portofolio saham yang dapat memaksimumkan return yang diharapkan dengan tingkat risiko tertentu disebut portofolio efisien. Salah satu metode dalam pembentukan portofolio efisien adalah Mean Variance Efficient Portofolio (MVEP). Tetapi, Sifat saham yang berfluktuasi terhadap waktu atau volatilitas justru menimbulkan risiko. Sehingga apabila suatu
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