Optimasi Value at Risk Pada Reksa Dana Dengan Metode Historical Simulation Dan Aplikasinya Menggunakan Gui Matlab (original) (raw)
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The essence of investment is a placement of a number of funds at one time in hope of gaining profits in the future. One of the most traded forms of investment is stocks. When investing in stocks, investors often run the risk of loss. This loss risk can be overcome by forming a portfolio consisting of several shares. To form an optimal portfolio, investors must first determine an efficient portfolio that produces a certain level of profit with the lowest risk, or a certain level of risk with the highest level of profit. One method for determining the optimal portfolio is to use the Single Index Model method. Whereas to calculate Value at Risk (VaR) using the Historical Simulation method. In this study, researcher used data from the daily closing price of shares incorporated in the Jakarta Islamic Index (JII) stock group in the period of June - November 2017. The shares which will be used were 9 shares in the JII stock group. According to the research result, there are three stocks th...
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Pengukuran risiko merupakan aspek yang sangat penting dalam analisis keuangan. Value at Risk (VaR) merupakan salah satu metode yang sering digunakan untuk menentukan risiko kerugian maksimum. VaR menghitung kerugian maksimum investasi portofolio dalam hal ini instrumennya saham. VaR memiliki beberapa metode, diantaranya metode historis dan variansi-kovariansi. Metode Historis menggunakan asumsi bahwa, kondisi perubahan harga pasar pada hari ini sampai esok hari adalah sama dengan kondisi perubahan harga pasar pada masa lalu. Metode Variansi - Kovariansi berdasarkan asumsi bahwa return dan nilai portofolio berdistribusi normal. Disini akan mencoba menerapkan VaR dengan metode historis dan variansi-kovariansi untuk portofolio yang tergabung dalam indeks saham JII. Untuk menghitung akurasi dari hasil kedua metode, antara nilai prediksi kerugian maksimum dengan nilai aktual, akan digunakan MAPE. Metode historis untuk portofolio yang memberikan nilai risiko terkecil, menghasilkan nilai a...
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Sharia-based investment is an investment by the community to obtain profits in accordance with Islamic principles and law. This study aims to calculate the optimal portfolio return value using the Single Index Model, calculate risk with VaR (Value at Risk), and then implement it with Matlab’s GUI (Graphical User Interface). The data used is closing stock price data on the JII (Jakarta Islamic Index) using 30 stocks for two consecutive years. Furthermore, these stocks are selected which have a positive average return value. The study results show that 14 stocks are candidates for optimal portfolios with positive return values, namely: ACES, ADRO, ANTM, BRPT, BTPS, CTRA, EXCL, INCO, MDKA, MNCN, SCMA, TPIA, UNTR, and WIKA. Then the optimal portfolio of the 14 stocks is determined using the Single Index Model considering the ERB (Excess Return to Beta) value ≥ cut-off point value (C*). Based on the value, 4 shares were obtained that belong to the optimal portfolio, namely: MDKA, BRPT, B...
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Tujuan dari penelitian ini adalah untuk mengetahui konsistensi pengukuran risiko menggunakan value at risk dengan menggunakan metode historis pada saham syariah meliputi periode jangka pendek, jangka menengah dan jangka panjang. Jenis penelitian yang digunakan dalam peletian ini adalah penelitian kuantitatif. Objek penelitian ini adalah return saham-saham syariah yang masuk ke dalam Jakarta Islamic Index selama periode 2011-2015. Sampel pada penelitian ini diambil dengan menggunakan metode purposive sampling. Metode pengumpulan data dalam penelitian ini menggunakan metode dokumentasi, sedangkan metode analisis yang digunakan dalam penelitian ini adalah uji Kendall’s W. Hasil penelitian ini menjelaskan bahwa perhitungan value at risk saham syariah selama periode jangka pendek, jangka menengah dan jangka panjang hampir seluruhnya tidak konsisten. Hanya ada satu perhitungan yang menyatakan perhitungan value at risk konsisten, yaitu perhitungan antara periode 1 tahun dengan periode 3 ...
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In research has been conducted to measure individual daily in January 2022 which is included in the Top 10 best stocks version of kontan.co.id risk and profit level using the Value at Risk (VaR) approach. The research method used to analyze the data refers to the Historical Simulation Model approach. The data used is the daily asset return data obtained from the daily closing price of shares during the January 2021 period. The results of the VaR method approach are Historical Simulation. The model shows CMPP stock with a risk of 91 million. The measurement results show that if the funds invested are Rp. 500,000,000.00 with a 95% confidence level, the period is 21 days.