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Agus Darmawan
Prodi Magister Pendidikan Matematika, Pascasarjana, FKIP – UNS
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Journal : Seminar Nasional Informatika (SEMNASIF)

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OPTIMASI PORTOFOLIO DENGAN MODIFIED RISK MEASURE MEMPERTIMBANGKAN BATASAN KARDINALITAS DAN BOBOT SAHAM Nirmala, Andita; Darmawan, Agus; Herliansyah, M. K.
Seminar Nasional Informatika (SEMNASIF) Vol 1, No 1 (2020): Peran Digital Society dalam Pemulihan Pasca Pandemi
Publisher : Jurusan Teknik Informatika

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Abstract

AbstractModified risk measure model is a portfolio optimization model using return scenario based on the forecasting error. This model is a basic model that has not taken the real investment conditions made by investors, such as cardinality and threshold constraints. Therefore, it is necessary to develop a modified risk measure model to be more representative to investment situation and compare the performance between the basic model and the proposed model in optimization. Portfolio optimization will be applied to LQ45 stock list from April-November 2019. Optimization begins by forming 100 scenarios based on error prediction results for each stock with Moving Average methods. Portfolios will be formed at several levels of risk (15%, 20%, 25%, and 30%) to see the impact of limitations on risk and model performance based on the expected return. Optimization using new model tends to reduce the model's performance, but this model reflects the real situation faced by investors.Keywords : modified risk measure model, cardinality, threshold constraintModel modified risk measure merupakan salah satu model optimasi portofolio menggunakan skenario return berdasarkan error hasil prediksi. Sayangnya, model ini merupakan model yang belum mempertimbangkan keadaan investasi nyata yang dilakukan oleh investor, seperti batasan kardinalitas, dan batasan bobot saham. Oleh karena itu, perlu dilakukan pengembangan model modified risk measure agar lebih representatif terhadap keadaan investasi dan membandingkan performa antara model dasar dengan model usulan. Optimasi portofolio diterapkan pada saham yang termasuk dalam daftar LQ45 Bursa Efek Indonesia Februari 2019 untuk periode bulan April-November 2019. Optimasi diawali dengan membentuk 100 skenario berdasarkan error hasil prediksi return untuk masing-masing saham. Optimasi dilakukan menggunakan CPLEX Optimizer untuk penyelesaian model linear. Portofolio akan dibentuk pada beberapa tingkatan risiko, yaitu 15%, 20%, 25% dan 30% untuk melihat dampak adanya batasan tambahan terhadap risiko optimasi menggunakan model modified risk measure. Hasilnya adalah optimasi model dengan batasan tambahan cenderung menurunkan performa model, tetapi di sisi lain, portofolio menjadi lebih efisien dan representatif terhadap keadaan investasi.Kata Kunci : model modified risk measure, kardinalitas, batas bobot saham 
Co-Authors Abdullah Abdullah Adhi Susano Adi , Adi Adi S Agus Darmawan Agus Raharjo Akhmad Amirudin Ali Mustofa Alifariki, La Ode Amaliah, A. Rizki Amin, Ahmad Naufal Andriani, Rina Andriani, Rinita Angga Ajie Permana Arbanisa, Wahyu Asyrafunnisa, Asyrafunnisa Azzahidi, Aufa Syaihan Balumbi, Musthamin Bangun Wijayanto Besse Darmawati Billiandri, Bhayu Birowo, Achmad Cornelya Hadi, Imaudy Dahmar, Dahmar Desmiati, Putri Diannisa, Ilmi Dwi Tiga Putri, Dwi Tiga Epf. Eko Yulipriyono Farhansyah, Moch Vishal FATIMA, SITI Gustian, Rifaldi Halimatusa'diah, Halimatusa'diah Hamisah, Hamisah Heri Satria Setiawan Hidayatullah, Reko Syarif Hutagaol, Iin Octaviana Imam Sujadi Indriyani, Silvia Intan Maulida Qorry’ Aina Ipang Setiawan Irnawati Irnawati Isnain, Nasrulloh Jamhari Jamhari Kadir, Nurul Tiara Kalam, Izhar Kara, Ashari Kasman Kasman Laode, Aswin Lolo, Lestari Lorna M. Yogi Riyantama Isjoni Mahmudah, Isnaeni Mansyur, Nurliana Megawati - Mei Lestari, Mei Meilani, Ni'ma Meilani, Nima Melansari, Nur Moch. Kalam Mollah Moch. Kalam Mollah, Moch. Kalam Muh Taufiq, La Ode Muhamad Muhamad Muhammad Kusumawan Herliansyah Muslim, Jusva Agus Mutia, A. Khairun najamuddin, nur isriani Nasiroh, Siti NAWANGNUGRAENI, DEVI ASTRI Nirmala, Andita Nur Alamsyah, Nur Oktarina, Devi Oktariyani, Wulandari Pradanto, Andrean Denni Prana, Ryryn Suryaman Purnama Indah, Eka Puspitaningrum, Dita Cahya Putra, Hendri Pitrio Rahayu, Nurma Rahmanto, Rahmanto Ramadhan, Rizqy Akbar ratih ratih Revinda, Dea Ridwan, Iwan Muhammad rifa'i, irfan Riyanto, Ari Budi Rohayati, Yeti Rohman, Muhammad Rongre, Yohanis Rusmardiana, Ana Ryryn Suryaman Prana Putra Sahara, Vinkan Feriska Sakmar, Moeng Selvi Marcellia Septian, Immanuel Berli Shofo, Puteri Awaliatus Sirajul Firdaus, Sirajul Siti Aminah SITI AMINAH Sufyaningsi, Ulfa Sunanto, Hari Sutomo Sutomo Syamsiah, Syamsiah Syarif Hidayatuloh Tadung, Edy Tamin AR, Zaini Taswin, Taswin Tommy Soenyoto Tri Atmojo Kusmayadi Utama, Kevin Ricky Wahyuddin Wahyuddin Wahyuni, Ayu Sri Wibowo, Dwi Kurnia Wirahadikusama, Wira Wiwin Anggriani Salawali