scholarly journals Formation of stock portfolio using Markowitz method and measurement of Value at Risk based on generalized extreme value (Case study: company’s stock The IDX Top Ten Blue 2017, Period 2 January - 29 December 2017)

2019 ◽  
Vol 1217 ◽  
pp. 012084
Author(s):  
R E Situmorang ◽  
D A I Maruddani ◽  
R Santoso
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Extreme Value ◽  
Generalized Extreme Value ◽  
Period 2 ◽  
Stock Portfolio

scholarly journals PEMBENTUKAN PORTOFOLIO SAHAM DENGAN METODE MARKOWITZ DAN PENGUKURAN VALUE AT RISK BERDASARKAN GENERALIZED EXTREME VALUE (Studi Kasus: Saham Perusahaan The IDX Top Ten Blue 2017)

2018 ◽  
Vol 7 (2) ◽  
pp. 212-223
Author(s):  
Ria Epelina Situmorang ◽  
Di Asih I Maruddani ◽  
Rukun Santoso
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Extreme Values ◽  
Heavy Tail ◽  
Extreme Value ◽  
Return Rate ◽  
Optimal Portfolio ◽  
Average Risk ◽  
Generalized Extreme Value ◽  
Financial Investment

In financial investment, investors will try to minimize risk and increase returns for portfolio formation. One method of forming an optimal portfolio is the Markowitz method. This method can reduce the risk and increase returns. The performance portfolio is measured using the Sharpe index. Value at Risk (VaR) is an estimate of the maximum loss that will be experienced in a certain time period and level of trust. The characteristics of financial data are the extreme values that are alleged to have heavy tail and cause financial risk to be very large. The existence of extreme values can be modeled with Generalized Extreme Value (GEV). This study uses company stock data of The IDX Top Ten Blue 2017 which forms an optimal portfolio consisting of two stocks, namely a combination of TLKM and BMRI stocks for the best weight of 20%: 80% with the expected return rate of 0.00111 and standard deviation of 0.01057. Portfolio performance as measured by the Sharpe index is 1,06190 indicating the return obtained from investing in the portfolio above the average risk-free investment return rate of -0,01010. Risk calculation is obtained based on Generalized Extreme Value (GEV) if you invest both of these stocks with a 95% confidence level is 0,0206 or 2,06% of the current assets. Keywords: Portfolio, Risk, Heavy Tail, Value at Risk (VaR), Markowitz, Sharpe Index, Generalized Extreme Value (GEV).

RISK ASSESSMENT OF STOCKS PORTFOLIO THROUGH ENSEMBLE ARMA-GARCH AND VALUE AT RISK (CASE STUDY: INDF.JK AND ICBP.JK STOCK PRICE)

2021 ◽  
Vol 14 (2) ◽  
pp. 125-136
Author(s):  
Tarno Tarno ◽  
Trimono Trimono ◽  
Di Asih I Maruddani ◽  
Yuciana Wilandari ◽  
Rianti Siwi Utami
Keyword(s):  
Risk Assessment ◽  
At Risk ◽  
Value At Risk ◽  
Stock Price ◽  
Holding Period ◽  
Return Variance ◽  
Stock Portfolio ◽  
Portfolio Return ◽  
Model Approach

Stocks portfolio is a form of investment that can be used to minimize the risk of loss. In a stock portfolio, the Value at Risk (VaR) can be predicted through the portfolio return. If portfolio return variance is heteroskedastic risk prediction can be done by using VaR with ARIMA-GARCH or Ensemble ARIMA-GARCH model approach. Furthermore, the accuracy of VaR is tested through Backtesting test. In this study, the portfolio is formed from PT Indofood CBP Sukses Makmur (ICBP.JK) and PT Indofood Sukses Makmur Tbk (INDF.JK) stocks from 01/01/2018 to 07/30/2021. The results showed that the best model is  Ensemble ARMA-GARCH with MSE 1.3231×10-6. At confidence level of 95% and 1 day holding period, the VaR of the Ensemble ARMA-GARCH was -0.0213. Based on the Backtesting test, it is proven to be very accurate to predict the value of loss risk because the value of the Violation Ratio (VR) is equal to 0.

scholarly journals ANALISIS RISIKO PORTOFOLIO LQ45 MENGGUNAKAN PENDEKATAN VALUE AT RISK BLOCK MAXIMA-GENERALIZED EXTREME VALUE

2020 ◽  
Vol 9 (2) ◽  
Author(s):  
Nanda Ayuni, Setyo Wira Rizki, Hendra Perdana
Keyword(s):  
At Risk ◽  
Extreme Value Theory ◽  
Value At Risk ◽  
Heavy Tail ◽  
Value Theory ◽  
Extreme Value ◽  
Generalized Extreme Value ◽  
Block Maxima

Setiap bentuk investasi memiliki risiko yang dapat menyebabkan kerugian bagi investor. Semakin tinggi hasil yang diharapkan dari investasi tersebut, maka semakin tinggi juga tingkat risikonya. Dengan demikian, investor perlu mengetahui besar risiko yang akan dihadapinya, sehingga dapat melakukan tindakan pencegahan agar bisa mengantisipasi risiko tersebut. Metode yang dapat digunakan untuk mengukur risiko adalah value at risk (VaR). Extreme value theory (EVT) merupakan metode yang digunakan untuk mengukur risiko pada data runtun waktu yang memiliki distribusi ekor gemuk. Distribusi ekor gemuk memiliki kecenderungan lebih besar terjadinya kejadian ekstrem dibandingkan dengan distribusi normal. Umumnya, hal ini ditandai oleh nilai kurtosis yang positif. Salah satu metode EVT adalah block maxima yang mengikuti distribusi GEV (generalized extreme value). Perhitungan VaR yang akurat pada data runtun waktu finansial dapat menggunakan VaR dengan metode block maxima-GEV. Penelitian ini menggunakan data harga saham penutupan harian pada indeks LQ45 periode 1 Januari sampai 31 Desember 2018. Saham yang digunakan untuk pembentukan portofolio ada lima yaitu PTBA, ANTM, PGAS, BBCA, dan ICBP, yang mana saham-saham tersebut dipilih berdasarkan nilai mean return tertinggi. Berdasarkan hasil analisis, diperoleh nilai VaR dengan metode block maxima-GEV dengan tingkat kesalahan 5% adalah sebesar 2,555% dari total nilai investasinya. Misalnya, jika investor berinvestasi sebesar Rp100.000.000,00,- maka investor tersebut mempunyai risiko sebesar Rp2.555.000,00. Kata Kunci : investasi, VaR, extreme value theory, heavy tail

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