BibTex Citation Data :
@article{J.Gauss37991, author = {Angger Salsabila Rufida and Tarno Tarno and Puspita Kartikasari}, title = {PENGUKURAN RISIKO PORTOFOLIO SAHAM JAKARTA ISLAMIC INDEX DENGAN STOCHASTIC DOMINANCE}, journal = {Jurnal Gaussian}, volume = {13}, number = {1}, year = {2024}, keywords = {Stochastic Dominance; Jakarta Islamic Index; Optimal Portfolio; VaR Historical Simulation}, abstract = { Stocks is one of the assets which has a high level of liquidity. Optimizing stock investment can be done by diversifying the portfolio. Stochastic Dominance is a portfolio formation method that looks at the amount of dominance of each stock pair. This study’s purpose is to apply the Stochastic Dominance method to create an optimal portfolio on sharia index called JII from April 2018 to March 2022. This study indicate that out of the 5 selected stocks, there are 4 stocks that dominate each stock pair, including ADRO, ICBP, PTBA, UNTR. ADRO proportion are 57,14% while ADRO, PTBA, and UNTR’s proportion are each 14,28%. The level of risk on this research is measured by a VaR with historical simulation method. Using this method, the maximum potential loss of the formed portfolio for the next month is 8.5% at a 95% confidence level. }, issn = {2339-2541}, pages = {133--144} doi = {10.14710/j.gauss.13.1.133-144}, url = {https://ejournal3.undip.ac.id/index.php/gaussian/article/view/37991} }
Refworks Citation Data :
Stocks is one of the assets which has a high level of liquidity. Optimizing stock investment can be done by diversifying the portfolio. Stochastic Dominance is a portfolio formation method that looks at the amount of dominance of each stock pair. This study’s purpose is to apply the Stochastic Dominance method to create an optimal portfolio on sharia index called JII from April 2018 to March 2022. This study indicate that out of the 5 selected stocks, there are 4 stocks that dominate each stock pair, including ADRO, ICBP, PTBA, UNTR. ADRO proportion are 57,14% while ADRO, PTBA, and UNTR’s proportion are each 14,28%. The level of risk on this research is measured by a VaR with historical simulation method. Using this method, the maximum potential loss of the formed portfolio for the next month is 8.5% at a 95% confidence level.
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