Stock Portfolio Optimization Using Single Index Model (SIM) with Exponentially Weighted Moving Average (EWMA) Approach
DOI:
https://doi.org/10.29303/emj.v7i2.247Keywords:
Portfolio, Single Index Model (SIM), Exponentially Weighted Moving Average (EWMA), K-Means ClusteringAbstract
The optimal portfolio is a combination of various assets with the aim of reducing investment risk through diversification. This study aims to conduct stock selection using K-Means Clustering and the formation of an optimal stock portfolio from the application of Single Index Model the amount of investment risk in the portfolio using the Exponentially Weighted Moving Average approach, and the amount of portfolio performance. The analysis results show that there are 5 portfolios formed. The best portfolio that can be chosen by investors depends on the investor's risk tolerance. Investors with low risk tolerance can choose Portfolio 3 consisting of ICBP and MIKA stocks with an expected return of 0.01343 and a risk of 0.00714 and a VaR of IDR 2,633,286.63. Investors with moderate risk tolerance can choose Portfolio 1 which consists of ICBP, MIKA, ACES, INCO, ITMG, MAPI, TPIA, AKRA, and MDKA stocks with an expected return of 0.022047, risk of 0.01277 and VaR of IDR 3,083,287.87. Investors with high risk tolerance can choose Portfolio 2 which consists of MIKA, TPIA, and MDKA stocks with an expected return of 0.02504 and a risk of 0.01471 and a VaR of IDR 3,553,167.10.References
Adnyana, I. M. (2020). Manajemen Investasi dan Portofolio. Lembaga Penerbitan Universitas Nasional (LPU-UNHAS).
Aunillah, M. W., & Wahyudi, W. (2022). Analisis Portofolio Optimal CAPM dan Single Index Model pada Perusahaan IDX30. Jurnal Ilmiah Ekonomi Islam. 8(2). 2231.
Azizah, K. N., Saepudin, D., & Gunawan, P. H. (2021). Optimasi Portofolio Saham LQ45 dengan mempertimbangkan Prediksi Return menggunakan Metode Holt Winter. E-Proceeding of Engineering. 8(5). 10776–10785.
Buchdadi, A. D. (2008). Penghitungan Value At Risk Portofolio Optimum Saham Perusahaan Berbasis Syariah Dengan Pendekatan Ewma. Jurnal Akuntansi Dan Keuangan Indonesia. 5(2).
Chakrabarty, S. P., & Kanaujiya, A. (2023). Mathematical Portfolio Theory and Analysis. Birkhäuser.
Hull, J., & White, A. (1998). Incorporasharting Volatility Updating Into The Historical Simulation Method for Value at Risk. Journal of Risk (Fall). 1. 5-19.
Konan, Y., Kusnandar, D., & Imro’ah, N. (2022). Penerapan Metode Exponentially Weighted Moving Average Dan Metode Semi Varians Dalam Perhitungan Risiko Portofolio Saham. Buletin Ilmiah Mat. Stat. Dan Terapannya (Bimaster). 11(2). 309–318.
Maheresmi, A.P. (2023). Perbandingan Volatilitas Saham dengan Menggunakan Metode EWMA. GARCH. dan EGARCH dalam Pembentukan Portofolio Optimal. Institut Teknologi Sepuluh Nopember.
Muis, M. A., & Safa, I. A. (2017). Analisis Value at Risk dengan Model Pendekatan Exponentially Weighted Moving Average (EWMA) pada Saham yang Terdaftar Dalam Jakarta Islamic Index Periode 2016-2017. Jurnal Akuntasi Dan Pasar Modal. 12–28.
Rimbawan, M. G., Slamet, I., & Susanti, Y. (2023). Analisis Portofolio Optimal Saham Menggunakan Single Index Model. Seminar Nasional Statistika Aktuaria II.
Septyanto, D., & Kertopati, B. (2014). Analisis Pembentukan Portofolio Dengan Menggunakan Model Markowitz dan Single Index Model Pada Saham yang Masuk Dalam Indeks LQ45 di Bursa Efek Indonesia Tahun 2009-2013. Finance and Banking Journal. 16(1410-8623). 140– 156.
Setiawan, S. (2017). Analisis Portofolio Optimal Saham-Saham Lq45 Menggunakan Single Index Model Di Bursa Efek Indonesia Periode 2013-2016. Journal of Accounting and Business Studies. 1(2).
Shao, K., Gang. M., & Yinghan, W. (2022). ‘Investigating Changes in Global Distribution of Ozone in 2018 Using K-Means Clustering Algorithm’. Journal of Computational Mathematics and Data Science. vol. 3. 100028
Siregar, B., & Pangruruk, F. A. (2021). Portfolio Optimization Based on Clustering in Indonesia Stock Exchange: A Case Study of The Index LQ45. Indonesian Journal of Business Analytics, 1(1), 59–70.
Tandelilin, E. (2010). Portofolio dan Investasi Teori dan Aplikasi. Yogyakarta: Kanisius.
Downloads
Published
How to Cite
Issue
Section
License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
All articles published in the Eigen Mathematics Journal will be available for free reading and downloading. The license applied to this journal is Creative Commons Attribution-Non-Commercial-Share Alike (CC BY-NC-SA).
