Optimalisasi Portofolio Saham Syariah Berbasis Prediksi Menggunakan Long Short-Term Memory (LSTM)

Erna Nurmawati; Rayhan Abyasa; Raditya Amanta Putra

doi:10.30591/jpit.v10i2.8421

Optimalisasi Portofolio Saham Syariah Berbasis Prediksi Menggunakan Long Short-Term Memory (LSTM)

Erna Nurmawati, Rayhan Abyasa, Raditya Amanta Putra

Abstract

Saham merupakan salah satu jenis investasi aset finansial yang berpotensi untuk memberikan tingkat imbal balik yang tinggi sehingga menjadi salah satu instrument investasi yang popular. Salah satu jenis saham yang popular di Indonesia adalah saham syariah yang didukung kuat dengan ajaran agama islam (shariah compliant). Saham syariah mempunyai kinerja yang baik jika dibandingkan dengan saham konvensional ketika terjadi krisis keuangan ditandai dengan risiko indeks yang lebih kecil. Investor saham selalu menginginkan hasil timbal balik yang maksimal dengan risiko seminimal mungkin. Keinginan tersebut dapat tercapai dengan menyeleksi saham dengan return terbesar lalu melakukan optimalisasi pada potofolio saham. Salah satu metode seleksi saham yang dapat dilakukan adalah dengan memprediksi harga saham dengan menggunakan model LSTM pada indeks JII. Saham dengan return terbesar sesuai dengan hasil prediksi akan dimasukkan ke dalam satu portofolio yang akan dioptimalisasi dengan metode Mean-Variance (MV) dan Equal Weight (EW) yang akan diambil metode terbaik. Sebagai pembanding, portofolio dengan saham yang dipilih secara acak akan dibentuk dan dibandingkan hasilnya. Hasil penelitian menunjukkan portofolio yang dibentuk dengan menggunakan prediksi model LSTM dan metode optimalisasi MV memiliki keseimbangan dalam nilai mean return bulanan, standar deviasi bulanan, sharpe ratio bulanan, serta simulasi investasi sepanjang tahun 2023.

Keywords

LSTM, LSTM, Optimalisasi, Prediksi, Saham, Syariah

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DOI: https://doi.org/10.30591/jpit.v10i2.8421