| dc.contributor.advisor | Purwanto, Budi | |
| dc.contributor.author | Ramadhan, Muhamad Rizky | |
| dc.date.accessioned | 2022-07-05T02:54:31Z | |
| dc.date.available | 2022-07-05T02:54:31Z | |
| dc.date.issued | 2022 | |
| dc.identifier.uri | http://repository.ipb.ac.id/handle/123456789/112276 | |
| dc.description.abstract | Kegiatan investasi umumnya bertujuan untuk memberikan keuntungan di masa depan, banyak investor mulai menanamkan modalnya pada pasar cryptocurrency dengan harapan tingkat pengembalian di masa yang akan datang jauh melampaui apa yang telah diinvestasikannya tanpa memperhatikan risiko yang tinggi. Kombinasi aset cryptocurrency dalam portofolio investasi diharapkan dapat meminimalisasi risiko investasi. Penelitian ini bertujuan untuk menganalisis pembentukan portofolio optimal dan evaluasi kinerja portofolio aset cryptocurrency serta membandingkan tingkat risiko investasi pada pembentukan portofolio optimal murni cryptocurrency dengan portofolio optimal kombinasi aset cryptocurrency dan aset sekuritas pasar modal konvensional. Penelitian ini menggunakan data sekunder dari harga penutupan cryptocurrency dan saham dari Agustus 2019 sampai Mei 2022. Metode analisis yang digunakan adalah model Markowitz dan analisis Value at Risk (VaR). Hasil penelitian menunjukkan bahwa dari lima cryptocurrency, hanya tiga yang terpilih dalam komposisi portofolio optimal aset murni cryptocurrency, yaitu BTC, XRP, dan ADA. Pembentukan portofolio tersebut menurunkan risiko secara signifikan dibandingkan investasi secara individual sebesar 43,28% dengan nilai risiko portofolio sebesar -Rp10.963.666,02. Adapun, pada pembentukan portofolio kombinasi aset cryptocurrency dengan aset konvensional, hanya BTC dan IDX30 yang terpilih. Pembentukan portofolio tersebut menurunkan risiko lebih besar dibandingkan portofolio murni cryptocurrency, yaitu sebesar 58,53% dengan nilai risiko portofolio sebesar -Rp3.645.275,12. | id |
| dc.description.abstract | Investment activities generally aim to provide future profits, investors start investing in the cryptocurrency market with the hope that future returns far exceed what they have invested without considering the high risk. The combination of cryptocurrency assets in an investment portfolio is expected to minimize investment risk. This study aims to analyze the optimal portfolio formation, evaluate the performance of a cryptocurrency asset portfolio, and compare the investment risk level in forming an optimal pure cryptocurrency portfolio with a portfolio of cryptocurrency assets and conventional capital market securities assets combinations. This study uses secondary data from closing prices of cryptocurrencies and stocks from August 2019 to May 2022. The analytical method used is Markowitz model and VaR analysis. The results showed that of five cryptocurrencies, only three were selected in composition of the optimal portfolio of pure cryptocurrency assets, namely BTC, XRP, and ADA. The formation of portfolio reduces risk significantly compared to individual investments by 43.28% with a risk value -Rp10,963,666.02. Meanwhile, in the formation of a portfolio of cryptocurrency assets with conventional asset combinations, only BTC and IDX30 were selected. That formation reduces risk more than a pure cryptocurrency portfolio, which is 58.53% with a risk value -Rp3,645,275.12. | id |
| dc.language.iso | id | id |
| dc.publisher | IPB University | id |
| dc.title | Analisis Value At Risk Dalam Pembentukan Portofolio Optimal Cryptocurrency | id |
| dc.title.alternative | Value At Risk Analysis in Formation of Optimal Cryptocurrency Portfolio | id |
| dc.type | Undergraduate Thesis | id |
| dc.subject.keyword | cryptocurrency | id |
| dc.subject.keyword | portfolio | id |
| dc.subject.keyword | value at risk | id |
