MODEL MEAN-EXPECTED SHORTFALL UNTUK OPTIMISASI PORTOFOLIO SAHAM

Ristifani Ulfatmi, M. D. H Gamal, Arisman Adnan

Abstract


Optimisasi portofolio saham merupakan strategi penting untuk menghasilkan kombinasi saham yang tepat, dengan memaksimalkan return dan meminimalkan risiko. Expected shortfall merupakan standar pengukuran risiko yang lebih konsisten dibandingkan Value-at-Risk (VaR) karena VaR tidak mempertimbangkan nilai kerugian di atas batas VaR. Penelitian ini bertujuan untuk menentukan alokasi bobot saham optimal berdasarkan model mean-expected shortfall pada saham syariah yang terdaftar dalam Jakarta Islamic Index (JII). Saham dipilih berdasarkan DER rendah dan kapitalisasi pasar yang tinggi. Hasil penelitian menunjukkan proporsi optimal portofolio yaitu 10% untuk saham TPIA, 12 % PANI, 24% TLKM, 32% ASII dan 22% ICBP. Expected return optimal sebesar 0.013% dengan risiko VaR -0.028% dan risiko ES -0.032%. ES lebih representatif dalam mengukur risiko ekstrem dibandingkan VaR. Model mean-expected shortfall memberikan kombinasi saham yang bisa mereduksi potensi kerugian dalam investasi saham.


Keywords


Optimisasi portofolio, VaR, Expected Shortfall, Mean-Expected Shortfall.

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DOI: https://doi.org/10.15548/map.v7i1.10943

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