PENGUKURAN NILAI RISIKO PORTOFOLIO BERDASARKAN MEAN-VaR

Chairunnisa, Citra Ariadini; Yozza, Hazmira; Devianto, Dodi

doi:10.25077/jmu.7.1.24-32.2018

Cited by 5 publications

(9 citation statements)

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“…These results support Rahmi and Juniar's (2019) research, proving that the VaR of the portfolio developed was small. The results in this study are also in line with Ismanto (2016) and Chairrunisa et al (2018), proving that portfolio risk is formed with a mean-VaR approach that is smaller than the constituent assets and provides a relatively small risk value, and is considered safe for investors. Lwin et al (2017) and Sukono et al (2017) showed that the mean-VaR portfolio framework could offer investors a more realistic return and portfolio risk level.…”

Section: Discussionsupporting

confidence: 86%

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Value-at-Risk Analysis in Risk Measurement and Formation of Optimal Portfolio in Banking Share

Astuti

Gunarsih

2021

jbti

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This study analyzes the application of Value at Risk (VaR) in estimating the risk of investment in banking stocks and the formation of an optimal portfolio using the Mean-VaR method based on the Markowitz approach. Many studies show that market data are often abnormal and make the assumption of normality considered irrelevant. This is the background of research on VaR using the historical simulation method, which is a method that moves away from the concept of normality. In addition, the crisis due to the Covid-19 pandemic makes the market difficult to predict. The period used in this study is during a normal market and a crisis (covid-19 pandemic). VaR is calculated with a holding period (t) of one week and a confidence level of 95%. Based on the backtesting test, the historical simulation method is accepted as an accurate method in estimating the VaR value in both normal and crisis periods. The optimal portfolios formed based on the mean-VaR are Portfolio-1 (normal period) and Portfolio-2 (crisis period). The composition of Portfolio-1 is BBRI, BBCA, BNLI, BTPN, and BNBA with the optimal proportion of each share sequentially of (18.35%), (23.90%), (11.39%), (18.63 %), and (27.73%). The VaR value of Portfolio-1 is -0.0107. The composition of Portfolio-2 is BNII and BNBA with optimal proportions of each share (22.71%) and (77.29%). The VaR value of Portfolio-2 is -0.0354. The results of this study can be used by investors as a reference in making investment decisions that focus on downside risk.

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Section: Discussionsupporting

confidence: 86%

“…The results show the proportion formed by market risk (VaR) and the risk value. Chairrunisa et al (2018) also conducted a similar study and used the mean-VaR model on banking stocks. The results showed that the portfolio weight with minimum risk and obtaining a small portfolio risk value was considered safe for investors.…”

Section: Introductionmentioning

confidence: 99%

Value-at-Risk Analysis in Risk Measurement and Formation of Optimal Portfolio in Banking Share

Astuti

Gunarsih

2021

jbti

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“…Dasar keputusan investasi terdiri dari tingkat return yang diharapkan, tingkat risiko serta hubungan antara return dan risiko [5]. Saham merupakan surat bukti bahwa kepemilikan atas aset-aset perusahaan yang menerbitkan saham [2]. Risiko menanamkan uang pada pasar saham lebih besar, tetapi masih dapat diminimalisir, dengan cara melihat saham-saham perusahaan yang memiliki kinerja keuangan yang baik atau yang memiliki fundamental yang baik [8].…”

Section: Pendahuluanunclassified

“…Kinerja keuangan saham adalah kemampuan suatu saham yang dimiliki perusahaan untuk mendapatkan return terbaik dalam risiko tertentu. Salah satu karakteristik investasi berupa saham adalah kemudahan untuk membentuk kumpulan dari investasi [2]. Indeks Sharpe, Treynor dan Jensen merupakan metode yang dapat digunakan untuk mengukur kinerja keuangan suatu saham, sehingga ketiga metode tersebut dapat digunakan sebagai dasar untuk membuat sebuah portofolio.…”

Section: Pendahuluanunclassified

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Pembentukan Portofolio Optimal Berdasarkan Indeks Kinerja Keuangan Pada Saham Lq-45

Mutiasalisa¹,

Devianto²,

Hg³

2021

Jurnal Matematika UNAND

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Investasi adalah suatu bentuk penanaman dana guna memberikan keuntungan tingkat pengembalian (return) baik pada masa sekarang atau dan dimasa depan. Saham adalah sebuah bukti kepemilikian nilai sebuah perusahaan. Saham merupakan salah satu instrumen investasi yang paling menarik karena memiliki mobilitas yang tinggi. Indeks kinerja keuangan yang dimaksud adalah Indeks Sharpe, Treynor dan Jensen dimana merupakan metode yang digunakan untuk mengukur kinerja keuangan suatu saham, sehingga ketiga metode tersebut dapat digunakan sebagai dasar untuk membuat sebuah portofolio. Portofolio adalah sekelompok instrumen investasi yang dipilih sebagai objek investasi dari seorang investor atau sebuah perusahaan investasi. Pada Penelitian ini data yang digunakan adalah return dari 45 saham berindeks LQ-45 pada periode Februari 2020 - Juli 2020. Menurut hasil perhitungan nilai Indeks Sharpe, Treynor dan Jensen dapat ditarik kesimpulan bahwa saham yang memiliki kinerja keuangan terbaik adalah Sarana Menara Nusantara Tbk (TOWR), Kalbe Farma Tbk (KLBF), Surya Citra Media Tbk (SCMA), Aneka Tambang (Persero) Tbk (ANTM), dan Ace Hardware Indonesia Tbk (ACES). Ketika saham yang berkinerja keuangan baik menurut Indeks Sharpe, Treynor dan Jensen disatukan sebagai sebuah portofolio maka dapat dikatakan portofolio tersebut adalah portofolio optimal berdasarkan indeks kinerja keuangan.Kata Kunci: Indeks Sharpe, Indeks Treynor, Indeks Jensen

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K-Medoids Clustering dan Mean-Value at Risk untuk Optimasi Portofolio Saham Jakarta Islamic Index

Puspaningsih,

I Maruddani,

Tarno

2024

IJAS

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The problem of the portfolio is how to choose stocks and determine their weights in order to generate maximum returns with minimal risk. Portfolios are formed by selecting stocks that have different characteristics. K-Medoids Clustering can be used to group data sets that contain outliers. Validate cluster results using the Davies Bouldin Index to determine the best number of clusters. Portfolio weighting is determined using the Mean-VaR method by taking into account the expected return value and minimizing the VaR risk value. Stocks are grouped based on Return on Assets, Return on Equity, Debt to Asset Ratio, and Debt to Equity Ratio. The results of cluster formation on the Jakarta Islamic Index stocks obtained six portfolio constituent stocks based on the highest expected return value from each cluster, consisting of PTBA, ADRO, AKRA, EXCL, PTPP, and UNVR. The results of calculating the weight of the optimal portfolio with Mean-VaR obtained a weight for PTBA of 0.46536; AKRA of 0.24018; EXCL of 0.25421; and UNVR of 0.25392. ADRO and PTPP stocks have a negative weight value of -0,07775 and -0,13593 this indicates the occurrence of short selling in the weighting. At the 95% confidence level, the VaR portfolio value is 5.06%.Keywords: Clustering; K-Medoids; Daveis Bouldin Index; Portfolio; Mean-VaR

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PENGUKURAN NILAI RISIKO PORTOFOLIO BERDASARKAN MEAN-VaR

Cited by 5 publications

References 0 publications

Value-at-Risk Analysis in Risk Measurement and Formation of Optimal Portfolio in Banking Share

Value-at-Risk Analysis in Risk Measurement and Formation of Optimal Portfolio in Banking Share

Pembentukan Portofolio Optimal Berdasarkan Indeks Kinerja Keuangan Pada Saham Lq-45

K-Medoids Clustering dan Mean-Value at Risk untuk Optimasi Portofolio Saham Jakarta Islamic Index

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