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@article{J.Gauss39136, author = {Febrina Devita and Yuciana Wilandari and Di Asih I Maruddani}, title = {CONSTANT CORRELATION MODEL UNTUK PEMBENTUKAN PORTOFOLIO OPTIMAL DAN RISIKO EXPECTED SHORTFALL}, journal = {Jurnal Gaussian}, volume = {13}, number = {1}, year = {2024}, keywords = {Stocks; Portfolio; Constant Correlation Model; Expected Shortfall}, abstract = {Investments are a form of planning to anticipate future financial conditions. The purpose of investments is to obtain a profit. One type of investments that can be done is stock investment. Investors can diversify the stocks to reduce the risk of an investment. Stock diversification is done by combining several stocks and then forming a portfolio. One method to construct an optimal portfolio by using Constant Correlation Model method (CCM). The Constant Correlation Model method is focusing on the correlation between stocks and the Excess Return to Standard Deviation (ERS) value. The calculation regarding the risks.in.the portfolios can use the Expected Shortfall (ES) method. ES is defined as a loss with a value exceeding VaR. ES is considered appropriate for measuring portfolio risk compared to VaR because it fulfils the subadditivity property. The subadditivity shows the advantage of portfolio formation. In this research, the optimal portfolio formation is carried out on the IDX30 index using the Constant Correlation Model method. The formed portfolio contains 3 stocks, namely BMRI with a weight of 46.263%, KLBF of 39.255%, and MDKA of 14.482%. Calculation of stock portfolio risk is using the Expected Shortfall (ES) method. The Expected Shortfall value at a trust level of 95% is 5.408% for the next week. This shows that the loss that will occur exceeding the VaR value is 4.621% for the next week.}, issn = {2339-2541}, pages = {260--269} doi = {10.14710/j.gauss.13.1.260-269}, url = {https://ejournal3.undip.ac.id/index.php/gaussian/article/view/39136} }
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