OPTIMALISASI PORTOFOLIO KRIPTO DENGAN TAGUCHI LOSS FUNCTION

Try Tirto; M Akhsanur Rofi; Aries Heru Prasetyo

doi:10.31955/mea.v8i1.3869

Try Tirto Sekolah Tinggi PPM Manajemen
M Akhsanur Rofi Sekolah Tinggi PPM Manajemen
Aries Heru Prasetyo Sekolah Tinggi PPM Manajemen

DOI: https://doi.org/10.31955/mea.v8i1.3869

Abstract

Pada awal merebaknya pandemi COVID-19, aset kripto menjadi instrumen investasi yang sangat diminati oleh kaum pemuda-pemudi di seluruh dunia termasuk Indonesia. Penelitian ini dilakukan untuk mencari portofolio yang optimal untuk berinvestasi pada aset kripto. Kelompok aset kripto yang digunakan dalam penelitian berupa koin kripto, token kripto, koin stabil, dan NFT dimana sampelnya diambil berdasarkan SK/Kep. Kepala Bappebti nomor 11 tahun 2022. Penerapan Taguchi Loss Function (TLF) pada proses seleksi aset kripto dilakukan dengan tingkat toleransi loss tertentu (25%, 50%, dan 75%) serta periode harian, mingguan, per 2 minggu, bulanan, dan kuartal. Selain itu, penelitian menggunakan tiga teori pembobotan portofolio yaitu Modern Portfolio Theory (MPT), Single Index Model (SIM), dan Mean-Gini (MG) Portfolio untuk menguji perbedaan performa antar portofolio. Faktor peubah yang digunakan dalam penerapan TLF berupa Address Active Count, Asset End of Date Completion Time, Reference Rate, Transaction Count per Second, Count of Transfers, dan Native Units Transferred between Distinct Adresses. Untuk memperoleh aset kripto yang lolos seleksi TLF, diperlukan tingkat toleransi loss sebesar 75% dari target aset. Berdasarkan hasil performa portofolio aset kripto per setiap teori pembobotan yang digunakan, diperoleh bahwa MPT yang paling unggul dibandingkan dua teori lainnya. Sedangkan untuk performa kelompok aset kripto yang diinvestasikan pada portofolio, kelompok token kripto lebih unggul dibandingkan koin kripto.

References

Agouram, J., & Lakhnati, G. (2015). Mean-Gini Portfolio Selection: Forecasting VaR Using GARCH Models in Moroccan Financial Market, Journal of Economics and International Finance, Volume 7, 51-58, https://doi.org/10.5897/jeif2014.0630
Athavale, Manoj, Bland, Eugene, & Kethley, R, Bryan (2008), A Practical Approach to Using Taguchi Loss Functions to Rank Investment Choices, The Journal of Investing Feb 2008, 17 (1) 93-102, https://doi.org/10.3905/joi.2008.701960
Chen, Yuanyuan (Catherine) (2021), Empirical analysis of bitcoin price, Journal of Economics and Finance, Springer; Academy of Economics and Finance, vol, 45 (4), pages 692-715, https://doi.org/10.1007/s12197-021-09549-5
DeVries, Peter, (2016), An Analysis of Cryptocurrency, Bitcoin, and the Future, International Journal of Business Management and Commerce, Vol, 1, Pages 1-9
Diputra, Yoda (2017) Analisis Pengaruh Aset kripto Pada Efektivitas Portofolio Investasi, Masters thesis, PPM Manajemen
Fama, E, F, (1972), Components of Investment Performance, The Journal of Finance, 27(3), 551–567, https://doi.org/10.2307/2978261
Hussain, Rana, (2016), Risk Adjusted Performance Evaluation Of Mutual Funds And Selection Abilities Of Fund Managers In Pakistan, Pakistan Business Review, 18, 76-98
Karahan, Hatice (2021), Assessing the future prospects for cryptocurrencies, International Journal of Business Ecosystem & Strategy (2687-2293), Bussecon International, vol, 3(1), pages 32-37, https://doi.org/10.36096/ijbes.v3i1.242
Lahajnar, Sebastian & Rožanec Alenka (2020), The correlation strength of the most important cryptocurrencies in the bull and bear market, Investment Management and Financial Innovations, 17(3), 67-81, http://dx.doi.org/10.21511/imfi.17(3).2020.06
Lavelle, B,, Yamamoto, K, N,, & Kinnen, M, (2022), Cryptocurrencies, correlations, and COVID-19: Diversifiers, hedge, or safe haven? Review of Integrative Business and Economics Research, 11(2), 25-35, https://www.proquest.com/scholarly-journals/cryptocurrencies-correlations-covid-19/docview/2597292443/se-2
Liew, Jim Kyung-Soo and Hewlett, Levar (2017), The Case for Bitcoin for Institutional Investors: Bubble Investing or Fundamentally Sound? http://dx.doi.org/10.2139/ssrn.3082808
Mazanec, Jaroslav (2021), Portfolio Optimalization on Digital Currency Market, Journal of Risk and Financial Management 14: 160, https://doi.org/10.3390/jrfm14040160
Mnif, Emma, Jarboui, Anis, & Mouakhar, Khaireddine, (2020), How the cryptocurrency market has performed during COVID 19? A multifractal analysis, Finance Research Letters, Volume 36, https://doi.org/10.1016/j.frl.2020.101647
Praditya, Andhika & Pebrian (2017), Pembentukan Indeks Saham Optimal Dengan Metode Taguchi Loss Function dan Fama-French Three Factor Model, Masters thesis, PPM Manajemen,
Shalit, H,, & Yitzhaki, S, (1984), Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets, The Journal of Finance, 39(5), 1449–1468, https://doi.org/10.2307/2327737
Trozze, A,, Kamps, J,, Akartuna, E,A, et al, (2022), Cryptocurrencies and future financial crime, Crime Sci 11, 1, https://doi.org/10.1186/s40163-021-00163-8
Zulkarnaen, W., Fitriani, I., & Yuningsih, N. (2020). Pengembangan Supply Chain Management Dalam Pengelolaan Distribusi Logistik Pemilu Yang Lebih Tepat Jenis, Tepat Jumlah Dan Tepat Waktu Berbasis Human Resources Competency Development Di KPU Jawa Barat. Jurnal Ilmiah MEA (Manajemen, Ekonomi, & Akuntansi), 4(2), 222-243. https://doi.org/10.31955/mea.vol4.iss2.pp222-243.