ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM DENGAN PENDEKATAN OPTIMISASI MULTIOBJEKTIF UNTUK PENGUKURAN VALUE AT RISK

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Abstract

Mean Variance Efficient Portfolio (MVEP) is theory of portfolio which purposed to standard investor  because approach has only one objective that minimize portfolio risk. Portfolio with multi-objective optimization that simultaneously maximize portfolio return and minimize portfolio risk with various weighting coefficient k represents risk aversion index. The purpose of this research is analyze proportion each stock in order that is formed optimal portfolio approach multi-objective optimization and analyze expected return and risk that suitable with preference investor. This research is based on cases stocks ASII, TLKM, SMGR, UNVR and LPKR. As a specific example investment Rp 50.000.000,00 in 20 days with 95% degree of confidence. Optimal portfolio for risk seeker investor is portfolio with     k = 0,01 with expected profit Rp 1.547.392,00 and risk estimation Rp 33.832.562,00. Optimal portfolio for risk indifference investor is portfolio with 1 ≤ k ≤ 100 with expected profit                Rp 965.678,00 until Rp 1.435.038,00 and risk estimation Rp 19.500.464,00 until                  Rp 25.513.351,00. Optimal portfolio for risk averse investor is portfolio with k = 10000 with expected return Rp 950.414,00 and risk estimation Rp 19.495.116,00.

 

Keywords: return; risk; portfolio; multi-objective; value at risk (VaR)

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