Teori Portofolio Po rtofolio dan Analisis Investasi Modul - 2 28 Februari 2016
Korea Selatan 1
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Teori Portofolio dan Analisis Investasi Kegiatan Belajar 1
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Tingkat Pengembalian Portofolio Pemilik dana = Investor
Memilih instrumen investasi
Pilihan esiko Pilihan Tin!kat Pen!embalian
* Investasi selalu dikaitkan dengan situasi masa depan dan merupakan suatu ketidakpastian (uncertainty )
"etidak#astian
"ebi$akan #emerintah Tindakan #ihak lain Itikad tidak baik
* Investor dalam menghadapi resiko terbagi 3 kelompok:
esiko %an! harus dihada#i oleh Investor
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A. Utilitas Utilitas menyatakan kegunaan atau manfaat dari barang dan jasa atau investasi yang dilakukan, baik pada sektor riil maupun sektor keuangan.
Jeremy Betham (Inggris!"#3) menyatakan bah$a manusia selalu memaksimumkan utilitas yaitu sesuai
dengan kebenaran dalam prinsip psikologi yaitu bah$a orang akan menghindari %kesakitan& dan akan mencari kesenangan dan kebahagian .
Kusumosuwidho (Indonesia!"'3) menyatakan bah$a Utilitas adalah suatu variabel yang besaran
relatifnya menunjukkan arah dari preferensi.
(tilitas
(tilitas "ardinal
Utilitas yang dapat diukur dengan ukuran kuantitatif dna memiliki nilai. Menyatakan kepuasan terhadap pilihan. Jika Utilitas meningkat kepuasan meningkat.
(tilitas )rdinal
Konsep yang berdasarkan pada preferensi! ranking atau urutan. Artinya utilitas tidak perlu diukur se"ara eksak!
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A. Utilitas ("ont.* ("ont.*
Markowitz (!"") menyatakan utilitas dari ekspektasi kekayaan dengan ekspektasi dari utilitas kekayaan yang dikaitan dengan toleransi risiko investor sebagai berikut:
ika U(*(+)) *(U(+)), kemudian investor risk aversion ika U(*(+)) - *(U(+)), kemudian investor risk neutral ika U(*(+)) *(U(+)), kemudian investor risk loving U(*(+)) menyatakan utilitas dari ekspektasi kekayaan yang dimiliki. *(U(+)) menyatakan ekspektasi dari utilitas kekayaan yang dimiliki.
/abel berikut memperlihatkan analisis kekayaan (+) dan utilitas kekayaan (U(+))
W
U(W)
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A. Utilitas ("ont.* ("ont.*
umus eks#ektasi+ E ( * p p , , - ( 1 p p * * ! ! E ( " ( ** p p ! ( * - ( 1 p p * * , " ( *
Contoh: Bila permainan bah/a probalitias 02 untuk hasil aset 3p4 dan 52 untuk hasil aset 3p6 maka nilai akturial dari permainan tersebut adalah dapat dihitung sebagai berikut7 E ( * !0 , 3p4 - !5 , 3p6 3p1. 8ilai 3p1 pada tabel diatas memebrikan U(9* s ebesar 5!6. :elanjutnya ekspektasi dari utilitas kekayaan dapat dihitung sebagai berikut7
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A. Utilitas ("ont.* ("ont.*
,lton dkk (56* memberikan argumentasi mengenai toleransi in%estor terhadap risiko yang dihubungkan dengan fungsi utilitas.
Kondisi
Defnisi
Implikasi
Penghindar Risiko
Menolak fair gamble
U”(0 ! 0
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B. Jenis 3isiko Interest-rate risk
Risiko utama yang dihadapi investor karena kenaikan atau penurunan tingkat &unga yang ter'adi aki&at ke&i'akan pemerintah% Dise&ut 'uga market risk%
Reinvestment Risk
Risiko yang dihadapi aki&at investasi atas &unga yang diperoleh atas hasil strategi reinvestment% Risiko yang dihadapi oleh investor dimana pener&it o&ligasi memounyai
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#. Konsep Portofolio
Portofolio memberikan Portofolio memberikan arti bah/a pemilikan aset in%estasi lebih dari satu.
Misalkan7 3eksa ?ana 8ikko :aham 8usantara (8:8* mempunyai saham sebagai in%estasi minimum sebanyak 1 saham s aham yaitu Telkom! Telkom! Astra! @udang @aram! :ampoerna! ndosemen! ndofood! B8! B! :emen @resik! dan ndosat. 0 Pernyataan tersebut adalah Portofolio 8:M dalam saham.
Portofolio
juga disebut sebagai penyebaran risiko.
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#. Tingkat Pengembalian Portofolio
Balas jasa atas in%estasi pada portofolio dikenal dengan tin!kat #en!embalian. #en!embalian . (Tingkat bunga istilah untuk deposito berjangka*. Tingkat Tingkat pengembalian pengembalian portofolio dihitung dihitung sebagai berikut7 R p # *R * + R + R + . + #
n-*
R n-* + nR n
Persamaan diatas menyatakan tingkat pengembalian portofolio merupakan hasil jumalh dari perkalian
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#. Tingkat Pengembalian Portofolio ("ont*
Penghitungan tingkat pengembalian dari sebuah aset! sebagai berikut7 TP
#ontoh7
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#. Tingkat Pengembalian Portofolio ("ont*
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Pemilihan Portofolio
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Pemilihan Portofolio
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#ontoh 7 :aham TDKM mempunyai mempunyai beta .>4 dan risiko pasar (simpangan baku* 542 dan risiko saham tersebut 62! hitunglah risiko unsistematisnyaF ?ik 7
