Simulasi perilaku investasi berdasarkan model utilitas yang dipengaruhi oleh risiko investasi = Simulating investment behavior using an investment risk-influenced utility model

Satyahadi, Nicholas (2020) Simulasi perilaku investasi berdasarkan model utilitas yang dipengaruhi oleh risiko investasi = Simulating investment behavior using an investment risk-influenced utility model. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Investasi merupakan salah satu metode yang digunakan individu dalam memperoleh keuntungan. Keuntungan yang diperoleh bergantung pada produk investasi yang dipilih. Tingkat utilitas hasil investasi adalah tolak ukur individu dalam memilih produk investasi. Tingkat utilitas tersebut dipengaruhi oleh risiko tingkat pengembalian investasi yang berfluktuasi. Berdasarkan hal tersebut, dibentuk suatu model maksimalisasi utilitas dengan kondisi pembelian satu dan dua produk investasi untuk individu risk averse serta asumsi produk investasi yang ditawarkan adalah investasi kesehatan dan keuangan. Model utilitas digunakan untuk menentukan biaya produk investasi yang berkenan bagi individu berdasarkan tingkat utilitas maksimumnya. Dalam mengestimasi biaya tersebut, dilakukan simulasi menggunakan data dari suatu kelompok pelanggan yang dituju. Simulasi dilakukan dengan membentuk distribusi dari data yang digunakan pada model sekaligus memproyeksi nilai di masa depan. Metode tersebut digunakan untuk memperoleh perilaku investasi dari populasi yang berupa rata-rata biaya investasi yang berkenan, keputusan investasi, dan relasi antar kedua produk berdasarkan Edgeworth-Pareto. Skripsi ini memanfaatkan model maksimalisasi utilitas yang disimulasikan menggunakan data tahun 2005 hingga 2018 dari New York City untuk mengestimasi perilaku investasi di tahun 2019. Dengan menggunakan produk investasi kesehatan buatan dan deposito sebagai produk investasi keuangan, diperoleh bahwa kedua produk berelasi substitusi pada setiap kondisi pembelian dua produk. Relasi tersebut juga tercermin dari jumlah cakupan investasi kesehatan dan keuangan yang selalu bernilai 100%. Kemudian, biaya produk investasi yang berkenan bagi individu terlihat meningkat seiring berjalannya waktu dan tidak terpengaruh oleh keadaan ekonomi saat itu. Walaupun demikian, produk investasi yang ditawarkan kepada suatu individu harus menyesuaikan keputusan investasi individu. Penyesuaian ini bertujuan untuk membentuk produk investasi dengan biaya yang berkenan bagi individu./Investment is one of the instruments used by an individual in order to acquire benefits. Such a benefit depends on the chosen investment. When choosing an investment, one would consider their post-investment utility level. The investment utility level is affected by the return on investment that fluctuates as a risk faced by individuals. With this realization, a utility maximization model was made for risk-averse individuals for both one and two investment(s) purchased assuming the offered products are health and financial investments. The utility model is able to determine the preferred investment cost based on their maximum utility. Hence, simulation using the data from the targeted customer segmentation is implemented to estimate the preferred cost. As part of the simulation, the simulated distribution of the data was made for observation and forecasting purposes. This method is used in order to acquire the individual investing behaviors, which are the mean preferred investment cost, investment decision, and Edgeworth-Pareto relation on two products. In this thesis, the utility model is simulated using New York City dataset from 2005 to 2018 in order to simulate the investing behavior of the individuals in 2019. By using simulated health investment and deposit as a financial investment, it is known that both products are substitutes. This relationship also represented by the sum of health and financial investment coverage which always values 100%. Moreover, the preferred investment cost has an increasing trend each year without getting affected by real-time economical conditions. Despite the possibility that it might be affected, the investments offered to the individuals must align with their investment decision. This alignment is important to be acknowledged in order to generate an investment which one would consider as suitable.

Item Type: Thesis (Bachelor)
Creators:
CreatorsNIMEmail
Satyahadi, NicholasNIM00000019604nicholasatyahadi@gmail.com
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorMargaretha, HelenaNIDN0312057504helena.margaretha@uph.edu
Thesis advisorFerdinand, Ferry VincenttiusNIDN0323059001ferry.vincenttius@uph.edu
Uncontrolled Keywords: investasi; risiko; utilitas; perilaku; risk averse; simulasi
Subjects: Q Science > Q Science (General)
Q Science > QA Mathematics
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Depositing User: Users 5919 not found.
Date Deposited: 15 Jul 2020 02:21
Last Modified: 15 Jul 2020 02:21
URI: http://repository.uph.edu/id/eprint/9267

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