PEMBENTUKAN PORTOFOLIO SAHAM DENGAN METODE MARKOWITZ DAN PENGUKURAN VALUE AT RISK BERDASARKAN GENERALIZED EXTREME VALUE (Studi Kasus: Saham Perusahaan The IDX Top Ten Blue 2017)

*Ria Epelina Situmorang  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Di Asih I Maruddani  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Rukun Santoso  -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Received: 13 Feb 2020; Published: 13 Feb 2020.
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Open Access Copyright 2020 Jurnal Gaussian
License URL: http://creativecommons.org/licenses/by-nc-sa/4.0

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Abstract

In financial investment, investors will try to minimize risk and increase returns for portfolio formation. One method of forming an optimal portfolio is the Markowitz method. This method can reduce the risk and increase returns. The performance portfolio is measured using the Sharpe index. Value at Risk (VaR) is an estimate of the maximum loss that will be experienced in a certain time period and level of trust. The characteristics of financial data are the extreme values that are alleged to have heavy tail and cause financial risk to be very large. The existence of extreme values can be modeled with Generalized Extreme Value (GEV). This study uses company stock data of The IDX Top Ten Blue 2017 which forms an optimal portfolio consisting of two stocks, namely a combination of TLKM and BMRI stocks for the best weight of 20%: 80% with the expected return rate of 0.00111 and standard deviation of 0.01057. Portfolio performance as measured by the Sharpe index is 1,06190 indicating the return obtained from investing in the portfolio above the average risk-free investment return rate of -0,01010. Risk calculation is obtained based on Generalized Extreme Value (GEV) if you invest both of these stocks with a 95% confidence level is 0,0206 or 2,06% of the current assets.

 

Keywords: Portfolio, Risk, Heavy Tail, Value at Risk (VaR), Markowitz, Sharpe Index, Generalized Extreme Value (GEV).

Keywords: Portfolio, Risk, Heavy Tail, Value at Risk (VaR), Markowitz, Sharpe Index, Generalized Extreme Value (GEV).

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