BibTex Citation Data :
@article{J.Gauss36846, author = {Nur Khofifah and Agus Rusgiyono and Di Asih Maruddani}, title = {GLUE VALUE AT RISK UNTUK MENGUKUR RISIKO PADA PORTOFOLIO OPTIMAL DENGAN METODE MULTI INDEX MODEL}, journal = {Jurnal Gaussian}, volume = {12}, number = {1}, year = {2023}, keywords = {Optimal Portfolio; Multi Index Model; Value at Risk; Tail Value at Risk; Glue Value at Risk.}, abstract = { Creating a portfolio is one method of reducing risk. One of the best portfolio decisions is made by Multi Index Model. Multi Index Model is a method that makes use of multiple variables that impact stock returns. Before making an investment, risk measurement must be considered. Calculation of risk on a portfolio will be more accurate if it is calculated using Glue Value at Risk, because it satisfies the property of subadditivity , which is one of the coherence properties of a risk measure that reflects the idea that risk can reduce by diversification. The stocks used in this study are 4 stocks that are members of SRI-KEHATI stock group in the period January 2017 – December 2021. The factors used are Composite Stock Price Index (JCI), and Rupiah to USD exchange rate. According to the study's findings, the best portfolio consist of four stocks: BBRI (Bank Rakyat Indonesia Tbk.) (17.82%), KLBF (Kalbe Farma Tbk.) (56.66%), UNTR (United Tractors Tbk.) (24.13%), and WIKA (Wijaya Karya Tbk.) (1.39%). The confidence levels of and , the distortion function height is and are used, the GlueVaR value for the stock portfolio is 10.476%. }, issn = {2339-2541}, pages = {116--125} doi = {10.14710/j.gauss.12.1.116-125}, url = {https://ejournal3.undip.ac.id/index.php/gaussian/article/view/36846} }
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Creating a portfolio is one method of reducing risk. One of the best portfolio decisions is made by Multi Index Model. Multi Index Model is a method that makes use of multiple variables that impact stock returns. Before making an investment, risk measurement must be considered. Calculation of risk on a portfolio will be more accurate if it is calculated using Glue Value at Risk, because it satisfies the property of subadditivity, which is one of the coherence properties of a risk measure that reflects the idea that risk can reduce by diversification. The stocks used in this study are 4 stocks that are members of SRI-KEHATI stock group in the period January 2017 – December 2021. The factors used are Composite Stock Price Index (JCI), and Rupiah to USD exchange rate. According to the study's findings, the best portfolio consist of four stocks: BBRI (Bank Rakyat Indonesia Tbk.) (17.82%), KLBF (Kalbe Farma Tbk.) (56.66%), UNTR (United Tractors Tbk.) (24.13%), and WIKA (Wijaya Karya Tbk.) (1.39%). The confidence levels of and , the distortion function height is and are used, the GlueVaR value for the stock portfolio is 10.476%.
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