slot gacor slot gacor hari ini slot gacor 2025 demo slot pg slot gacor slot gacor
EXPECTED SHORTFALL PADA PORTOFOLIO OPTIMAL DENGAN METODE SINGLE INDEX MODEL (Studi Kasus pada Saham IDX30) | Dewi | Jurnal Gaussian

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.

Citation Format:
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.

Fulltext View|Download
Keywords: Portfolio, Single Index Model, Expected Shortfall, Value at Risk.

Article Metrics:

Article Info
Section: Articles
Language : ID
Recent articles
EXPECTED SHORTFALL PADA PORTOFOLIO OPTIMAL DENGAN METODE SINGLE INDEX MODEL (Studi Kasus pada Saham IDX30) PERHITUNGAN PREMI MURNI PADA SISTEM BONUS MALUS UNTUK FREKUENSI KLAIM BERDISTRIBUSI BINOMIAL NEGATIF DAN BESAR KLAIM BERDISTRIBUSI WEIBULL PADA DATA ASURANSI KENDARAAN BERMOTOR DI INDONESIA ANALISIS INTEGRASI SPASIAL PASAR CABAI MERAH KERITING DI JAWA TENGAH DENGAN METODE VECTOR ERROR CORRECTION MODEL More recent articles
  1. Azizah, L., Topowijono, dan Sulasmiyati, S. 2017. Analisis Investasi Portofolio Optimal Saham Syariah dengan Menggunakan Model Markowitz dan Single Index Model pada Saham Jakarta Islamic Index (JII). Jurnal Administrasi Bisnis. Vol. 42, No. 1
  2. Bodie, Z., Kane, A., dan Marcus, A. 2017. Investment. Tenth Edition. New York: McGraw-Hill
  3. Boyle, P., Broadie, M., dan Glasserman, P. 1997. Monte-Carlo Methods for Security Pricing. Journal of Economic Dynamics and Control
  4. Chanifah, S., Hamdani, dan Gunawan, A. 2020. Perbandingan Metode Single Index Model dan Capital Asset Pricing Model untuk Membentuk Portofolio Optimal pada Saham LQ45. Jurnal Ekonomi dan Bisnis. Vol. 4, No. 1
  5. Denuit, M., Dhaene, J., Goovaerts, M., dan Kaas, R. 2005. Actuarial Theory for Dependent Risks Measures, Orders and Models. England: John Wiley & Sons Ltd
  6. Driels, M.R. 2004. Determining The Number of Iteration for Monte-Carlo Simulations of Weapon Effectiveness. California:NPS
  7. Elton, E., Gruber, M. J., Brown, S.J., dan Goetzman, W. N. 2014. Modern Portofolio Theory and Investment Analysis. Ninth Edition. Canada: Wiley
  8. Johnson, R.A. dan Wichern, D.W. 2007. Applied Multivariate Statistical Analysis. Sixth Edition. New York: Prentice Hall
  9. Jorion, P. 2002. Value at Risk: The New Benchmark for Managing Financial Risk. Second Edition. New York: The McGraw-Hill Companies, Inc
  10. Klugman, S. Panjer, H., dan Willmot, G. 2011. Loss Models: From Data to Decission. New York: Wiley and Sons Inc Publication
  11. Rahmawati, R., Rusgiyono, A., Hoyyi, A., dan Maruddani, D. A. I. 2019. Expected Shortfall dengan Simulasi Monte-Carlo untuk Mengukur Risiko Kerugian Petani Jagung. Media Statistika, Vol. 12, No. 1: 117-128
  12. Saepudin, Y., Yasin, H., dan Santoso, R. 2017. Analisis Risiko Investasi Saham Tunggal Syariah dengan Value At Risk (VaR) dan Expected Shortfall (ES). Jurnal Gaussian, Vol. 6, No. 2: 271-280
  13. Tsay, R. 2002. Analisisof Financial Time Series. New York: John Wiley & Sons Inc

Last update:

No citation recorded.

Last update:

No citation recorded.