DOI: https://doi.org/10.14710/j.gauss.10.2.269-278

EXPECTED SHORTFALL PADA PORTOFOLIO OPTIMAL DENGAN METODE SINGLE INDEX MODEL (Studi Kasus pada Saham IDX30)

*Eis Kartika Dewi  -  Departemen Statistika, Fakultas Sains Matematika, Universitas Diponegoro, Indonesia
Dwi Ispriyanti  -  Departemen Statistika, Fakultas Sains Matematika, Universitas Diponegoro, Indonesia
Agus Rusgiyono  -  Departemen Statistika, Fakultas Sains Matematika, Universitas Diponegoro, Indonesia
Open Access Copyright 2021 Jurnal Gaussian under http://creativecommons.org/licenses/by-nc-sa/4.0.

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Abstract

Stock investment is a commitment to a number of funds in marketable securities which shows proof of ownership of a company with the aim of obtaining profits in the future. For obtaining optimal returns from stock investments, investors are expected to form optimal portfolios. The optimal portfolio formation using the Single Index Model is based on the observation that a stock fluctuates in the direction of the market price. It shows that most stocks tend to experience price increases if the market share price rises, and vice versa. Selection of optimal portfolio-forming stocks on IDX30 using the Single Index Model method produces 4 stocks, that are BRPT (Barito Pacific Tbk.) with weight 31.134%, ICBP (Indofood CBP Sukses Makmur Tbk.) 17.138%, BBCA (Bank Central Asia Tbk.) 51.331% and SMGR (Semen Indonesia (Persero) Tbk.) 0.397%. Every investment must have a risk, for that investors need to calculate the possible risks that occur before investing. To calculate risk, Expected Shortfall (ES) is used as a measure of risk that is better than Value at Risk (VaR) because ES fulfill the subadditivity. At the 95% confidence level, the ES value is 23.063% while the VaR value is 10.829%. This means that the biggest possible risk that an optimal portfolio investor will receive using the Single Index Model for the next five weeks is 23.063%.

Keywords : Portfolio, Single Index Model, Expected Shortfall, Value at Risk.

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Keywords: Portfolio, Single Index Model, Expected Shortfall, Value at Risk.

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