Optimisasi Portofolio Expected Shortfall Pada Saham Sektor Energi dan Pertambangan
DOI:
https://doi.org/10.15575/kubik.v5i1.7455Keywords:
saham, risiko, optimisasi, expected shortfallAbstract
Saham sebagai salah satu produk investasi di pasar modal Indonesia tentunya memiliki risiko yang dapat memengaruhi keputusan investor dalam berinvestasi, dalam menentukan risiko dapat dilakukan dengan melihat diversifikasi portofolio dari beberapa saham. Data saham meliputi perusahaan energi dan pertambangan yang memenuhi kriteria kapitalisasi pasar besar dan Debt to Equity Ratio (DER) rendah. Salah satu metode yang dapat digunakan untuk membentuk diversifikasi portofolio adalah Expected Shortfall (ES). ES adalah nilai ekspektasi dari return jika return tersebut melampaui batas return maksimum (Value-at-Risk). Dengan tujuan untuk meminimumkan risiko investasi. Dari perhitungan ES didapat masing-masing proporsi saham dalam satu portofolio optimal, dari beberapa portofolio yang dibentuk terlihat bahwa portofolio yang terdiri dari kombinasi saham paling banyak maka portofolio tersebut menghasilkan risiko yang paling rendah. Data dalam penelitian ini adalah data harga penutupan saham harian sector energi dan pertambangan periode Januari 2016 – Januari 2019. Ada beberapa tahap dalam penelitian ini. Langkah pertama adalah menghitung nilai return setiap saham perusahaan. Kemudian menghitung nilai expected return dan korelasi antar saham dari setiap saham perusahaan. Setelah itu pembentukan portofolio dan perumusan portofolio dengan menggunakan Expected Shortfall dengan fungsi tujuan yang dibentuk.
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