ANALISIS PORTOFOLIO OPTIMAL MENGGUNAKAN METODE LEXICOGRAPHIC GOAL PROGRAMMING (LGP) DENGAN PENDEKATAN VALUE AT RISK - MONTE CARLO

MUH MISBAHUL AZIZ, NIM. 17106010050 (2021) ANALISIS PORTOFOLIO OPTIMAL MENGGUNAKAN METODE LEXICOGRAPHIC GOAL PROGRAMMING (LGP) DENGAN PENDEKATAN VALUE AT RISK - MONTE CARLO. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Investment is a commitment to a number of funds or other resources that are carried out today with the aim of obtaining profits in the future. A stock portfolio is a composite or combination of several stocks. The purpose of forming a portfolio is to reduce risk that can be done by diversification. The risks in this study were measured by Value at Risk (VaR) Monte Carlo simulation. Value at Risk (VaR) is a method of calculating market risk to determine the maximum risk of loss that can occur in a portfolio. The portfolio optimization method in this study uses Lexicographic Goal Programming (LGP) which is the development of the Goal Programming (GP) method where the goals to be achieved have a priority level. Optimal portfolio selection based on measurement of portfolio performance with the index Sharpe. The data used in this study is Bank Indonesia Sharia Certificate (SBIS) rate data and data on stocks included in the Jakarta Islamic Index (JII) for the period January 15, 2016 - January 15, 2021. In this study 11 portfolios formed which then calculated the performance on each portfolio with the index Sharpe. The results shows that portfolio 2 is the best performing portfolio with a index Sharpe value of 0.221485 and with a profit of 1.98% and a risk of -6.93% each month, a sign (-) at risk of showing loss. With the proportion of shares forming the optimal portfolio is 32% ADRO, 32% ICBP, 22% INCO, and 14% UNTR.

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