Please use this identifier to cite or link to this item:
http://repository.ipb.ac.id/handle/123456789/157926
Title: | Pembentukan Portofolio Investasi Saham LQ45 Menggunakan Clique Centrality |
Other Titles: | |
Authors: | Septyanto, Fendy Budiarti, Retno Nabila, Unika |
Issue Date: | 2024 |
Publisher: | IPB University |
Abstract: | Pasar saham Indonesia menawarkan peluang investasi yang beragam, namun
pengelolaan portofolio di pasar yang kompleks ini membutuhkan pemahaman
mendalam tentang hubungan antar saham di berbagai sektor. Penelitian ini
memanfaatkan teori graf, khususnya konsep clique centrality, untuk membangun
portofolio yang baik dari saham-saham berkualitas tinggi dalam indeks LQ45 di
Bursa Efek Indonesia, dengan menggunakan data dari Februari 2021 hingga Januari
2024. Hasil analisis mengidentifikasi tiga portofolio terbaik berdasarkan Sharpe
ratio dengan pembobotan Invers Degree Centrality Portfolio (IDCP). Ketiga
portofolio ini dibandingkan dengan model Markowitz, dan metode IDCP terbukti
menghasilkan Sharpe ratio yang lebih tinggi. Selanjutnya, ketiga portofolio dengan
pembobotan IDCP diuji performanya menggunakan data dari bulan Februari hingga
Maret 2024, dan hasilnya menunjukkan bahwa ketiganya mempertahankan
performa yang baik. Penelitian ini menyoroti potensi penggunaan clique centrality
dan IDCP dalam membangun portofolio investasi yang baik di pasar saham
Indonesia dan memberikan wawasan penting tentang bagaimana metode ini dapat
meningkatkan kemampuan investor dalam mengelola risiko dan hasil investasi
mereka. The Indonesian stock market offers diverse investment opportunities, but portfolio management in this complex market requires a deep understanding of the relationships between stocks in various sectors. This research utilizes graph theory, especially the concept of clique centrality, to build a good portfolio of high-quality shares in the LQ45 index on the Indonesia Stock Exchange, using data from February 2021 to January 2024. The analysis results identify the three best portfolios based on the Sharpe ratio with Inverse Degree Centrality Portfolio (IDCP) weighting. These three portfolios were compared with the Markowitz model, and the IDCP method produced a higher Sharpe ratio. Furthermore, the performance of the three portfolios with IDCP weighting was tested using data from February to March 2024, and the results showed that all three maintained good performance. This research highlights the potential of using clique centrality and IDCP in building a good investment portfolio in the Indonesian stock market. It provides important insights into how these methods can improve investors' ability to manage their investment risks and returns. |
URI: | http://repository.ipb.ac.id/handle/123456789/157926 |
Appears in Collections: | UT - Actuaria |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
cover_G5402201019_abf1368499be414dbc7f2ebcd25e09ac.pdf | Cover | 338.89 kB | Adobe PDF | View/Open |
fulltext_G5402201019_68b88394c7ec492e9676396fc3f5d7c2.pdf Restricted Access | Fulltext | 725.71 kB | Adobe PDF | View/Open |
lampiran_G5402201019_bb17eae72f434bb9bacefab0303a6b7d.pdf Restricted Access | Lampiran | 320.8 kB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.