Analisis Literatur Tentang Optimalisasi Portfolio Investor Institusi
DOI:
https://doi.org/10.63607/jcmb.v14i1.57Keywords:
portofolio institusional, Modern Portfolio Theory, machine learning, institutional constraints, PRISMAAbstract
Penelitian ini bertujuan untuk menyajikan tinjauan sistematis terhadap perkembangan teori optimalisasi portofolio yang membentuk dasar bagi pengambilan keputusan investasi oleh investor institusi. Dengan menggunakan metode Systematic Literature Review (SLR) dengan pendekatan PRISMA dan didukung perangkat lunak Zotero dan Vosviewer, penelitian ini menganalisis 33 artikel dari basis data Scopus, JSTOR, dan Web of Science yang diterbitkan antara 2015–2025. Hasil SLR menunjukkan bahwa teori portofolio institusional berkembang dalam empat fase. Fase pertama adalah fondasi teori efisiensi (Markowitz, Sharpe, Lintner, Mossin, Ross). Fase kedua berfokus pada penerapan praktis dan bukti empiris yang menegaskan bahwa investor institusionall tidak beroperasi dalam kondisi pasar frictionless dan bebas kendala. Fase ketiga didorong oleh model ALM dan regulasi prudensial yang mengubah frontier efisien teoretis menjadi institutional feasible frontier (IFF). Fase keempat adalah revolusi digital yang memperkenalkan Forecast-Then-Optimize (FTO), deep learning, reinforcement learning, dan hybrid-AI model sebagai alat prediksi risiko dan return.
Secara keseluruhan, literatur teoretis menunjukkan bahwa optimalisasi portofolio institusional bukan sekadar persoalan return–risk, melainkan persoalan multidimensi. Teori-teori baru menunjukkan bahwa frontier institusional hampir selalu berada di bawah frontier Markowitz akibat adanya natural constraints. Studi ini berlanjut dengan agenda penelitian teoretis masa depan, termasuk perlunya teori portofolio institusional untuk pasar berkembang, model AI interpretatif, dan teori efisiensi yang kompatibel dengan regulasi nasional.
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