EMAIL: PASSWORD:
Front Office
UPT. PERPUSTAKAAN
Institut Teknologi Sepuluh Nopember Surabaya


Kampus ITS Sukolilo - Surabaya 60111

Phone : 031-5921733 , 5923623
Fax : 031-5937774
E-mail : libits@its.ac.id
Website : http://library.its.ac.id

Support (Customer Service) :
timit_perpus@its.ac.id




Welcome..guys!

Have a problem with your access?
Please, contact our technical support below:
LIVE SUPPORT


Davi Wahyuni


Tondo Indra Nyata


Anis Wulandari


Ansi Aflacha




ITS » Master Theses » Manajemen Industri-S2 MMT
Posted by yeni at 09/12/2008 15:31:19  •  6178 Views


PENDEKATAN CHANCE CONSTRAINED DATA ENVELOPMENT ANALYSIS UNTUK PENYUSUNAN PORTOFOLIO STUDI KASUS PADA BURSA EFEK JAKARTA

CHANCE CONSTRAINED DATA ENVELOPMENT ANALYSIS APPROACH TO FORM PORTOFOLIO Case Study on Jakarta Stock Exchange

Author :
Wiediartini 




ABSTRAK

Salah satu alternatif investasi adalah dengan menanamkan dana di pasar modal dan untuk mengurangi resiko maka investor akan membentuk portofolio. Dalam pemilihan portofolio investor akan menghadapi masalah ketidakpastian baik dalam pendapatan yang diterima maupun resiko yang akan ditanggung sehingga perlu pula digunakan alat yang bersifat stokastik dalam membentuk portofolio. Penelitian ini mencoba menggunakan model chance-constrained data envelopment analysis CCDEA yang dikembangkan oleh Land Lovel Thore sebagai alat untuk memilih saham-saham yang dapat dipertimbangkan dalam pembentukan portofolio optimal. Dibuat tiga skenario yaitu constraint output stokastik constraint input stokastik dan kedua constraint stokastik. Dimana masing-masing skenario akan menggunakan tiga tingkat kepercayaan 80 90 dan 95. Hasil penelitian menunjukkan efisiensi CCDEA lebih besar daripada data envelopment analysis deterministik dan mempunyai kecenderungan tingkat efisiensi yang semakin meningkat dengan meningkatnya tingkat kepercayaan. Nilai rata-rata efisiensi terbesar berturut-turut adalah kedua constraint stokastik constraint input stokastik dan semakin banyak penurunannya ketika constraint output stokastik. Penelitian ini juga memperlihatkan bahwa metode pemilihan saham dengan CCDEA berguna untuk meningkatkan return portofolio.


ABSTRACT

One of investment alternatives available to investor is investing fund in capital market and to reduce their risk investor should hold portofolio. In portofolio selection investor will face problem of uncertainty in both return and risk. Hence stochastic tool is needed to build a portofolio. This research use chance constrained data envelopment analysis CCDEA developed by Land Lovel Thore as a tool to choose stocks that can be consider in forming optimum portofolio. Three scenarios were made output constraint stochastic input constraint stochastic and all constraint stochastic. Each scenario using three confidence level 80 90 and 95. The result of this research show that CCDEA efficiency score higher than deterministic data envelopment analysis DEA and having tendency that the greater the confidence level the greater the efficiency score. Average efficiency score from highest to lowest are all constraint stochastic input constraint stochastic and output constraint stochastic. This research also shows that stock selection using CCDEA approach is useful to improve portofolio return.



KeywordsData envelopmentanaliysis, chance condtrained DEA, portofolio, single index model
 
Subject:  matematika bisnis
Contributor
  1. Dr. Ir. Udisubakti Ciptomulyono, M.Eng.Sc.
    Ir. Hari Supriyanto, MSIE
Date Create: 09/12/2008
Type: Text
Format: pdf.
Language: Indonesian
Identifier: ITS-Master-3100007030591
Collection ID: 3100007030591
Call Number: RTI 519.72 Wie p


Source
Master Theses, Industrial Engineering, RTI 519.72 Wie p , 2007

Coverage
ITS Community Only

Rights
Copyright @2005 by ITS Library. This publication is protected by copyright and permission should be obtained from the ITS Library prior to any prohibited reproduction, storage in a retrievel system, or transmission in any form or by any means, electronic, mechanical, photocopying, recording, or likewise. For information regarding permission(s), write to ITS Library




[ Download - Summary ]

ITS-Master-3100007030591-2760.pdf




 Similar Document...




! ATTENTION !

To facilitate the activation process, please fill out the member application form correctly and completely

Registration activation of our members will process up to max 24 hours (confirm by email). Please wait patiently

POLLING

Bagaimana pendapat Anda tentang layanan repository kami ?

Bagus Sekali
Baik
Biasa
Jelek
Mengecewakan





You are connected from 44.192.112.123
using CCBot/2.0 (https://commoncrawl.org/faq/)



Copyright © ITS Library 2006 - 2021 - All rights reserved.
Dublin Core Metadata Initiative and OpenArchives Compatible
Developed by Hassan