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Title: | Optimasi Portofolio Investasi Saham Indeks Kompas 100 Menggunakan Metode Hierarchical Clustering dan Model Markowitz |
Other Titles: | Portfolio Investment Optimization In Kompas 100 Stock Index Using Hierarchical Clustering and Markowitz Model |
Authors: | Budiarti, Retno Septyanto, Fendy MUZAFFAR, RIAN NAUFAL |
Issue Date: | 2024 |
Publisher: | IPB University |
Abstract: | Penelitian ini menginvestigasi optimasi portofolio investasi saham pada Indeks
Kompas 100 menggunakan metode hierarchical clustering dan model Markowitz. Data
harga saham mingguan dikumpulkan dari Februari 2023 hingga Januari 2024. Langkah langkah metodologis mencakup praproses data dan pengelompokan, pengelompokan,
eliminasi saham, pembentukan dan optimasi portofolio tanpa clustering, pembentukan
dan optimasi portofolio dengan clustering, dan evaluasi portofolio. Temuan menunjukkan
bahwa portofolio yang terdiri dari saham-saham dari cluster yang berbeda memberikan
nilai harapan return lebih tinggi dan diversifikasi yang efektif, dengan rata-rata korelasi
antar saham sebesar -0.0066. Portofolio dari cluster yang sama berhasil mengurangi risiko
dan memiliki Sharpe ratio yang tinggi. Portofolio dari cluster berbeda dan cluster sama
lebih baik dari portofolio tanpa cluster dalam segala aspek kecuali risiko. Penelitian ini
menekankan pentingnya mempertimbangkan struktur cluster saham dalam pembentukan
portofolio untuk mencapai hasil yang optimal. This study investigates the optimization of stock investment portfolios on the Kompas 100 Index using hierarchical Clustering and the Markowitz model. Weekly stock price data were collected from February 2023 to January 2024. Methodological steps included data and Clustering preprocessing, Clustering methods, stock elimination, portfolio formation and optimization without Clustering, and portfolio formation and optimization with Clustering, followed by portfolio evaluation. The findings indicate that portfolios consisting of stocks from different Clusters provided higher returns and effective diversification, with an average interstock correlation of -0.0066. Same-Cluster portfolios successfully reduced risk and had high Sharpe ratios. Both different-Cluster and same-Cluster portfolios outperformed non-Clustered portfolios in all aspects except for risk. The study highlights the importance of considering stock Cluster structures in portfolio formation to achieve optimal results. |
URI: | http://repository.ipb.ac.id/handle/123456789/158073 |
Appears in Collections: | UT - Actuaria |
Files in This Item:
File | Description | Size | Format | |
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cover_G5402201020_288c0d3f1df0483b821131d1567b31b7.pdf | Cover | 426.37 kB | Adobe PDF | View/Open |
fulltext_G5402201020_0e813e8982c6415baea014e0b06c6861.pdf Restricted Access | Fulltext | 1.11 MB | Adobe PDF | View/Open |
lampiran_G5402201020_b587da91485a48ca9d30284976fcf07a.pdf Restricted Access | Lampiran | 201.18 kB | Adobe PDF | View/Open |
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