Analisis Klaster Hierarki untuk Optimisasi Portofolio Mean-Semivariance

Delivia Pangestika Kusumastuti, Drs. Zulaela, Dip. Med. Stats., M.Si.

2023 | Skripsi | STATISTIKA

Pada tahun 2023 ekonomi dunia diprediksi akan gelap karena menghadapi risiko resesi dan ketidakstabilan pasar keuangan oleh Direktur Pelaksana Dana Internasional Kristalina Georgiva. Mengetahui kondisi tersebut, masyarakat dapat mempersiapkan beberapa langkah preventif salah satunya dengan melakukan investasi. Investasi dapat dilakukan karena memiliki banyak manfaat, namun seiring dengan hal itu terdapat risiko yang harus diwaspadai oleh investor. Salah satu cara meminimalkan risiko dalam investasi adalah diversifikasi investasi dengan membentuk portofolio. Salah satu metode pembentukan portofolio yang dapat digunakan yaitu dengan melakukan analisis hierarki untuk optimisasi portofolio mean-semivariance. Guna memperoleh klaster hierarki dengan metode average linkage yang sesuai digunakan validasi indeks DBI. Tugas akhir ini menggunakan data saham mingguan pada periode Januari 2022-Maret 2023. Saham-saham yang diamati yaitu ICBP, PWON, JSMR, JPFA, SMGR, TBIG, INKP, dan TKIM. Kinerja portofolio diukur menggunakan indeks Sharpe. Kesimpulan yang diperoleh dari studi kasus menggunakan data saham tersebut yaitu optimisasi portofolio mean-semivariance dengan analisis klaster hierarki lebih baik digunakan dibanding dengan portofolio mean-semivariance tanpa analisis klaster hierarki.

In 2023, the world economy is predicted to be dark as it faces the risk of recession and financial market instability by International Fund Managing Director Kristalina Georgiva. Knowing these conditions, people can prepare several preventive steps, one of which is by investing. Investment can be done because it has many benefits, but along with that there are risks that investors must be aware of. One way to minimize risk in investment is investment diversification by forming a portfolio. One of the portfolio formation methods that can be used is by conducting hierarchical analysis for mean-semivariance portfolio optimization. In order to obtain a hierarchical cluster with the appropriate average linkage method, the DBI index validation is used. This final project uses weekly stock data for the period January 2022-March 2023. The stocks observed are ICBP, PWON, JSMR, JPFA, SMGR, TBIG, INKP, and TKIM. Portfolio performance is measured using the Sharpe index. The conclusion obtained from the case study using the stock data is that mean-semivariance portfolio optimization with hierarchical cluster analysis is better used than the mean-semivariance portfolio without hierarchical cluster analysis.

In 2023, the world economy is predicted to be dark as it faces the risk of recession and financial market instability by International Fund Managing Director Kristalina Georgiva. Knowing these conditions, people can prepare several preventive steps, one of which is by investing. Investment can be done because it has many benefits, but along with that there are risks that investors must be aware of. One way to minimize risk in investment is investment diversification by forming a portfolio. One of the portfolio formation methods that can be used is by conducting hierarchical analysis for mean-semivariance portfolio optimization. In order to obtain a hierarchical cluster with the appropriate average linkage method, the DBI index validation is used. This final project uses weekly stock data for the period January 2022-March 2023. The stocks observed are ICBP, PWON, JSMR, JPFA, SMGR, TBIG, INKP, and TKIM. Portfolio performance is measured using the Sharpe index. The conclusion obtained from the case study using the stock data is that mean-semivariance portfolio optimization with hierarchical cluster analysis is better used than the mean-semivariance portfolio without hierarchical cluster analysis.

Kata Kunci : portofolio, klaster hierarki, average linkage, mean-semivariance, DBI