PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN METODE RESAMPLED EFFICIENT FRONTIER UNTUK PERHITUNGAN VALUE AT RISK DILENGKAPI APLIKASI GUI MATLAB

Abstract

The purpose of investors in investing is to get a return, but investors also have to bear the risks that might exist. There are 3 types of investors in investment based on their preference for risk, namely risk aversion (risk averter), moderate risk takers (risk moderate), and high risk takers (risk takers). To obtain an optimal portfolio for each type of investor, the Resampled Efficient Frontier Method is used with Monte Carlo Simulation as much as 700 times, to obtain more parameter estimates. The results of the Resampled Efficient Frontier from Efficient Frontier will take 51 efficient points to determine the optimal portfolio for each type of investor. The efficient point taken is the 1st, 26th and 51st efficient points for the investor risk averter type, risk moderate, and risk taker. To determine the estimated loss in investment, the VaR value is calculated based on the monthly return data of BBNI, UNTR, INKP, and KLBF shares for the period February 2013 to March 2017, with a capital allocation of Rp 100,000,000.00, a holding period of 20 days, and a level of trust of 95%. The Matlab GUI is used to facilitate users in processing data.Keywords: Efficient Frontier, Monte-Carlo Simulation, Normal Distribution, VaR, Matlab GUI