S MAT 1005225 Table of content

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Faizal Rachman,2014

Penerapan metode Exponnentially Weighted Average (EWMA) dan metode semi varians (SV) dalam perhitungan risiko portopolio saham optimal

Universitas Pendidikan Indonesia | repository.upi.edu

DAFTAR ISI

ABSTRACT ... Error! Bookmark not defined. ABSTRAK ... Error! Bookmark not defined. KATA PENGANTAR ... Error! Bookmark not defined.

DAFTAR ISI ... v

DAFTAR GAMBAR ... viii

DAFTAR TABEL ... ix

DAFTAR LAMPIRAN ... x

BAB 1 PENDAHULUAN ... Error! Bookmark not defined. 1.1 Latar Belakang ... Error! Bookmark not defined. 1.2Rumusan Masalah ... Error! Bookmark not defined. 1.3Tujuan Penelitian ... Error! Bookmark not defined. 1.4 Batasan Masalah ... Error! Bookmark not defined. 1.5Manfaat Penelitian ... Error! Bookmark not defined.

BAB II LANDASAN TEORI ... Error! Bookmark not defined. 2.1Investasi ... Error! Bookmark not defined. 2.2 Proses Investasi ... Error! Bookmark not defined. 2.3Saham... ... Error! Bookmark not defined. 2.4Risiko... ... Error! Bookmark not defined. 2.5 Manajemen Risiko ... Error! Bookmark not defined. 2.6Risiko Dalam Investasi Saham ... Error! Bookmark not defined. 2.7Portofolio ... Error! Bookmark not defined. 2.8 Diversifikasi ... Error! Bookmark not defined. 2.9Imbas Hasil (return) ... Error! Bookmark not defined.

2.9.1Perhitungan Imbas Hasil (Return) pada Satu Sekuritas . Error! Bookmark

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2.9.2Perhitungan Imbas Hasil (Return) pada Portofolio . Error! Bookmark not

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2.10Value at Risk (VaR) ... Error! Bookmark not defined. 2.11Distribusi Normal ... Error! Bookmark not defined. 2.12Confidence Level (Taraf Kepercayaan) ... Error! Bookmark not defined. 2.13Homoskedastis dan Heteroskedastis ... Error! Bookmark not defined. 2.14Standar Deviasi ... Error! Bookmark not defined.

BAB III EXPONENTIALLY WEIGHTED MOVING AVERAGE (EWMA) DAN SEMI VARIANS (SV) ... Error! Bookmark not defined. 3.1Exponentially Weighted Moving Average ... Error! Bookmark not defined. 3.2Semi Varians ... Error! Bookmark not defined. 3.3Teknik Analisis ... Error! Bookmark not defined.

3.3.1Teknik Analisis Metode Exponentially Weighted Moving Average

(EWMA)... Error! Bookmark not defined. 3.3.2Teknik Analisis Metode Semi Varians (SV) ... Error! Bookmark not

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3.3.3Perhitungan nilai VaR ... Error! Bookmark not defined.

BAB IV PEMBAHASAN ... Error! Bookmark not defined. 4.1Objek Penelitian ... Error! Bookmark not defined. 4.2Analisis dan Pembahasan ... Error! Bookmark not defined. 4.2.1Menentukan nilai return dan standar deviasi ... Error! Bookmark not

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4.2.2Analisis data dengan metode EWMA ... Error! Bookmark not defined. 4.2.2.1Uji Stasioneritas ... Error! Bookmark not defined. 4.2.2.2Uji Normalitas Data ... Error! Bookmark not defined. 4.2.2.3Uji Heteroskedastisitas ... Error! Bookmark not defined. 4.2.2.4 Perhitungan VaR dengan Metode EWMA ... Error! Bookmark not

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4.2.3Analisis data menggunakan metode Semi Varians (SV) Error! Bookmark

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4.2.3.1Perhitungan VaR dengan Menggunakan Metode Semi Varians Error!

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DAFTAR GAMBAR

Gambar 4. 1 Grafik return saham harian INDF ... Error! Bookmark not defined. Gambar 4. 2 Grafik return saham harian UNVR ... Error! Bookmark not defined. Gambar 4. 3 Grafik return saham harian SMGR ... Error! Bookmark not defined. Gambar 4. 4 Grafik return saham harian INTP ... Error! Bookmark not defined. Gambar 4. 5 Grafik return saham harian portofolio optimal Error! Bookmark not

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DAFTAR TABEL

Tabel 4.1 Nilai return, standar deviasi dan varians saham .. Error! Bookmark not

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Tabel 4.2 Saham-saham yang menjadi kandidat portofolio . Error! Bookmark not

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Tabel 4.3 Komposisi saham optimal ... Error! Bookmark not defined. Tabel 4.4 Nilai return, standar deviasi dan varians portofolio optimal ... Error!

Tabel 4.5 Hasil uji ADF ... Error! Bookmark not defined. Tabel 4. 6 Hasil uji deskriptif statistik data return saham ... Error! Bookmark not

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Tabel 4. 7 Hasil uji normalitas data return saham . Error! Bookmark not defined. Tabel 4. 8 Hasil Z-koreksi ... Error! Bookmark not defined. Tabel 4. 9 Hasil uji heteroskedastisitas ... Error! Bookmark not defined. Tabel 4. 10 Hasil perhitungan valatilitas dengan metode EWMA... Error!

Tabel 4. 11 Hasil perhitungan VaR EWMA ... Error! Bookmark not defined. Tabel 4. 12 Nilai semi varians dan standar deviasi Error! Bookmark not defined. Tabel 4. 13 Komposisi portofolio optimal ... Error! Bookmark not defined. Tabel 4. 14 Nilai semi varians dan standar deviasi portofolio optimal ... Error!

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DAFTAR LAMPIRAN

Lampiran 1: Data harga penutupan (closing price) saham ... Error! Bookmark not

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Lampiran 2: Data nilai return ... Error! Bookmark not defined. Lampiran 3: Perhitungan mencari komposisi bobot portofolio optimal (MVEP) dengan menggunakan bantuan software Maple 13 Error! Bookmark not defined. Lampiran 4: Uji Stasioneritas ADF... Error! Bookmark not defined. Lampiran 5: Uji Normalitas dan Uji Deskriptif Data Return Tiap Saham dan Portofolio Optimal ... Error! Bookmark not defined. Lampiran 6: Uji Heteroskedastisitas ... Error! Bookmark not defined. Lampiran 7: Data nilai semi varians ... Error! Bookmark not defined. Lampiran 8: Perhitungan komposisi bobot potofolio optimal Mean-Semivariance