PEMBENTUKAN PORTOFOLIO ROBUST MEAN-VARIANCE MELALUI PENDEKATAN ANALISIS KLASTER K-MEDOIDS (STUDI KASUS: SAHAM SYARIAH JAKARTA ISLAMIC INDEX (JII) PERIODE JANUARI 2019 – JUNI 2023)

Alfina Viona Isabela Widiawati, NIM.: 20106010013 (2024) PEMBENTUKAN PORTOFOLIO ROBUST MEAN-VARIANCE MELALUI PENDEKATAN ANALISIS KLASTER K-MEDOIDS (STUDI KASUS: SAHAM SYARIAH JAKARTA ISLAMIC INDEX (JII) PERIODE JANUARI 2019 – JUNI 2023). Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Portfolio is a collection of several assets. The purpose of portfolio formation is to produce the highest return at the lowest risk level. The Mean-Variance (MV) model portfolio is very sensitive to outliers, to overcome this is to use robust estimation. The research data uses monthly closing prices of stocks that are consistently included in the Jakarta Islamic Index (JII) group for the period January 2019 - June 2023. The initial stage of analysis uses the K-Medoids method clustering technique based on the expected return and risk values. The purpose of the clustering is for time efficiency and to reduce the amount of costs in managing the portfolio. The results of the cluster analysis formed two clusters, where the first cluster is represented by INCO and ADRO stocks. While the second cluster is represented by KLBF dan AKRA stocks. The four representative stocks are formed MV robust S portfolio and MV robust Constrained-M (CM) portfolio. Portfolio performance is measured using the sharpe ratio. The analysis results show that the performance of the Constrained-M (CM) estimation MV robust portfolio model outperforms the performance of the S estimation MV robust portfolio model

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