PERHITUNGAN VALUE AT RISK PORTOFOLIO SAHAM OPTIMAL MENGGUNAKAN METODE SIMULASI MONTE CARLO

FARALITA FAISAL, . (2016) PERHITUNGAN VALUE AT RISK PORTOFOLIO SAHAM OPTIMAL MENGGUNAKAN METODE SIMULASI MONTE CARLO. Sarjana thesis, UNIVERSITAS NEGERI JAKARTA.

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Abstract

Investasi portofolio merupakan investasi yang memberikan dampak positif bagi dunia globalisasi terutama pertumbuhan ekonomi. Investasi portofolio saham optimal dapat menarik investor risk averter dalam berinvestasi, hal ini disebabkan portofolio saham dibentuk dengan menentukan expected return tertentu dan meminimumkan risiko ataupun sebaliknya. Untuk itu perlu diketahui risiko maksimum portofolio saham yang perhitungannya dipengaruhi oleh periode waktu dan selang kepercayaan. Skripsi ini menghitung Value at Risk (VaR) menggunakan metode Simulasi Monte Carlo untuk mengetahui risiko maksimum portofolio saham optimal yang dibentuk oleh Capital Asset Pricing Model (CAPM) dimana bobot atau proporsi dana dihitung menggunakan Mean Variance Efficient Portfolio (MVEP). Hasil dari perhitungan akan ditampilkan VaR dari portofolio saham optimal beserta perubahan risiko Marginal VaR dan besar risiko Component VaR. Portfolio investment is an investment that have a positive impact on the world’s globalization especially on economic growth. Optimal stock portfolio investment can attract investors of risk averter in investing, this is due to the stock portfolio is formed by determining the expected return and minimizing the risk or vice versa. Because of that, investor must know about the maximum risk portfolio of stocks for which accounts are affected by time period and confidence interval. This thesis calculate Value at Risk (VaR) uses Monte Carlo Simulation for knowing maximum risk of optimal stock portfolio which formed by Capital Asset Pricing Model (CAPM) and the proportion of funds is calculating by Mean Variance Efficient Portfolio (MVEP). The results of the calculation are displayed VaR of optimal stocks portfolio, changes in the risk of Marginal VaR and risk of Component VaR.

Item Type:	Thesis (Sarjana)
Additional Information:	1) Drs. Sudarwanto, M.Si., 2) Ria Arafiyah, M.Si.
Subjects:	Sains > Matematika
Divisions:	FMIPA > S1 Matematika
Depositing User:	sawung yudo
Date Deposited:	17 Mar 2022 04:02
Last Modified:	17 Mar 2022 04:02
URI:	http://repository.unj.ac.id/id/eprint/24763

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