Value At RISK pada pembentukan Portofolio Optimal Saham berbasis Syariah dengan pendekatan Monte Carlo periode 2015-2017

Zainab Rahmi, Asrid Juniar

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Risk is one of the important things that must be considered by investors to invest. In this case, risk can be minimized by diversification (portfolio). Optimal portfolio formation using Markowitz model is done to get a certain return with the smallest risk level and to know the proportion of fund in each stock that belong to the optimal portfolio. The data was then simulated with VaR measurements with Monte Carlo approach. Measurement VaR with Monte Carlo model using stock return data. The results of this research is that there are eight stocks that enter into the optimal portfolio with the highest proportion owned by TLKM and UNVR shares respectively by 25%. The highest value of VaR on each share with 99% confidence level is ADRO's shares is -39,17%. While the value of VaR in the portfolio is expected to not exceed -0,43%.

Keywords: Optimal portfolio, Markowitz Model, Value at Risk (VaR), Monte Carlo.


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Referensi


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