VALUE AT RISK VARIAN KOVARIAN PADA PORTOFOLIO OPTIMAL MULTI INDEX MODEL

Mely Amara Putri, Evy Sulistianingsih, Nurfitri Imro'ah

Abstract


The construction of an optimal portfolio aims to minimize investment risk, with the Multi-Index Model being one method that accounts for multiple factors influencing stock returns. This study analyzes the optimal portfolio allocation and estimates potential losses using the variance-covariance Value at Risk (VaR) method. The study examines seven stocks from different sectors that have consistently been part of the IDX30 index from January 2019 to June 2024. The factors considered include the Jakarta Composite Index (JCI) and the exchange rate of the Indonesian Rupiah against the US Dollar (USD). The results indicate that the optimal portfolio consists of PT Adaro Energy Tbk. (ADRO), PT Bank Central Asia Tbk. (BBCA), and PT Kalbe Farma Tbk. (KLBF), with respective weights of 18.83%, 77.12%, and 4.05%. This portfolio yields a return of 1.22% with a risk level of 4.93%. The VaR calculation at a 95% confidence level indicates a maximum potential loss of 8.11% of the initial investment value.


Keywords


Investment Strategy, Stock Return, IDX30

Full Text:

PDF

References


Ayuni, G. N., & Fitrianah, D. (2020). Penerapan Metode Regresi Linear Untuk Prediksi Penjualan Properti pada PT XYZ. Jurnal Telematika, 14(2), 79–86. https://doi.org/10.61769/telematika.v14i2.321

Chairunnisa, C. A., Yozza, H., & Devianto, D. (2018). Pengukuran Nilai Risiko Portofolio Berdasarkan Mean-VaR. Jurnal Matematika UNAND, 7(1), 24. https://doi.org/10.25077/jmu.7.1.24-32.2018

Ciseta Yoda, T., Reswita, Y., Febriani, R., & Hasra, H. Y. (2023). Pengaruh Profitabilitas Dan Kebijakan Dividen Terhadap Nilai Perusahaan (Studi Kasus : Index Idx30 Yang Terdaftar Di Bursa Efek Indonesia Periode 2016-2020). Jurnal Menara Ekonomi : Penelitian Dan Kajian Ilmiah Bidang Ekonomi, 9(1), 52–61. https://doi.org/10.31869/me.v9i1.4263

Fauziyyah, B. K., Prahutama, A., & Sudarno, S. (2019). Analisis Portofolio Optimal Menggunakan Multi Index Model (Studi Kasus: Kelompok Saham IDX30 periode Januari 2014 – Desember 2018). Jurnal Gaussian, 8(1), 58–67. https://doi.org/10.14710/j.gauss.v8i1.26622

Gunawan, O. V., Gede, L., & Artini, S. (2016). Pembentukan Portofolio Optimal Dengan Pendekatan Model Indeks Tunggal Pada Saham Lq-45 Di Bursa Efek Indonesia. E-Jurnal Manajemen Unud, 5(9), 5554–5584.

Khofifah, N., Rusgiyono, A., & Maruddani, D. A. I. (2023). Glue Value At Risk Untuk Mengukur Risiko Pada Portofolio Optimal Dengan Metode Multi Index Model. Jurnal Gaussian, 12(1), 116–125. https://doi.org/10.14710/j.gauss.12.1.116-125

Nuryanto, T. S., Prahutama, A., & Hoyyi, A. (2018). Historical Simulation Untuk Menghitung Value At Risk Pada Portofolio Optimal Berdasarkan Single Index Model Menggunakan Gui Matlab ( Studi Kasus : Kelompok Saham JII Periode Juni - November 2017 ). 7, 408–418.

Rusli, B., Sulistianingsih, E., & Rizki, S. W. (2018). Analisis Portofolio Optimal Pada Index Saham Lq 45 Dengan Multi-Index Models. Buletin Ilmiah Mat. Stat. Dan Terapannya (Bimaster), 07(2), 135–140.

Setiani, S., Maruddani, D. A. I., & Ispriyanti, D. (2021). Value At Risk (Var) Metode Delta-Normal Berdasarkan Durasi Untuk Ukuran Risiko Obligasi Pemerintah. Jurnal Gaussian, 10(3), 455–465. https://doi.org/10.14710/j.gauss.v10i3.32806

Sulistianingsih, E., Martha, S., Andani, W., Umiati, W., & Astuti, A. (2024). Application of Delta Gamma (Theta) Normal Approximation in Risk Measurement of Aapl’S and Gold’S Option. Media Statistika, 16(2), 160–169. https://doi.org/10.14710/medstat.16.2.160-169

Wibisono, D. A., & Handayani, K. (2017). Pemilihan Saham Yang Optimal Menggunakan Capital Asset Pricing Model (Capm). Jurnal Manajemen Dan Kewirausahaan, 5(1), 32-46. https://doi.org/10.26905/jmdk.v5i1.1315

Widiyatari, W., Sulistianingsih, E., & Andani, W. (2023). Analisis Value At Risk Portofolio Saham Lq45 Dengan Metode Simulasi Monte Carlo Control Variates. Epsilon: Jurnal Matematika Murni Dan Terapan, 17(1), 91. https://doi.org/10.20527/epsilon.v17i1.9536

Wulandari, D., Ispriyanti, D., & Hoyyi, A. (2021). Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro. Jurnal Gaussian, 10(2), 279–292.

Yolanda, A. V., Satyahadewi, N., & Rizki, S. W. (2022). Analisis Risiko Portofolio Saham Dengan Metode Varian-Kovarian (Studi Kasus: Harga penutup saham mingguan dengan kode TLKM, HMSP dan INCO periode 1 Januari 2018-28 Desember 2020). Buletin Ilmiah Math. Stat Dan Terapannya (Bimaster), 12(3), 221–228.

Yuliah, Y., & Triana, L. (2021). Pengukuran Value At Risk Pada Aset Perusahaan Dengan Simulasi Monte Carlo. Jurnal Valuasi: Jurnal Ilmiah Ilmu Manajemen Dan Kewirausahaan, 1(1), 48–57. https://doi.org/10.46306/vls.v1i1.4




DOI: https://doi.org/10.20527/epsilon.v19i2.14924

Refbacks

  • There are currently no refbacks.


Copyright (c) 2025 EPSILON: JURNAL MATEMATIKA MURNI DAN TERAPAN (EPSILON: JOURNAL OF PURE AND APPLIED MATHEMATICS)

Indexed by: 

      

 

EDITORIAL OFFICE 

           

 

 

 

Creative Commons License
All articles published in "Epsilon: Jurnal Matematika Murni dan Terapan" are licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License (CC BY-NC-SA 4.0). Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.