Extreme Quantile Estimation Based on the Tail Single-index Model

ANALISIS PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL PADA SAHAM IDX BUMN20 DI BURSA EFEK INDONESIA JANUARI 2018-JANUARI 2019

JEM17: Jurnal Ekonomi Manajemen ◽

10.30996/jem17.v4i2.3023 ◽

2019 ◽

Vol 4 (2) ◽

Author(s):

Mochamad Andik Firmansyah

Keyword(s):

Stock Exchange ◽

Optimal Portfolio ◽

Rate Of Return ◽

Portfolio Risk ◽

Expected Return ◽

Purposive Sampling ◽

Single Index ◽

Index Model ◽

Market Return ◽

Single Index Model

Penelitian ini bertujuan untuk menentukan level of expected return dan the best risk of optimal portfolio formation dengan menggunakan Single Index Model pada saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dari bulan Januari 2018 sampai January 2019. Saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dengan populasi sebanyak 20 perusahaan. Dengan menggunakan populasi sebesar 20 perusahaan maka peneliti menggunakan purposive sampling, dan ternyata hanya 18 perusahaan saja yang ditemukan memenuhi kriteria penelitian ini. Penelitian ini juga menggunakan metode Kuantitatif Deskriptif. Analisa data pada penelitian ini untuk menentukan saham-saham mana saja yang termasuk the optimal portfolio, dan juga the level of proportion of 1 funds yang termasuk juga dalam kategori the optimal portfolio dan the level of expected return serta the best risk of the optimal portfolio yang terbentuk dengan menggunakan Single Index Model. Hasil dari penelitian ini menunjukan bahwa terdapat 5 perusahaan dengan kategori the optimal portfolio dari 18 sampel perusahaan pada saham IDX BUMN 20 dengan tingkat tertinggi dari level of proportion of 1 funds ditemukan pada PTBA share sat 1.89333 or 189,333%, di lain pihak dengan tingkat terendah adalah pada TLKM shares at -2.13488 or -213.488% yang berarti bahwa saham TLKM adalah negatif dan harus dijual dalam jangka waktu pendek sebesar 213,488% dari dana yang dimiliki oleh para inventor dan menghasilkan rate of return yang diharapkan dari formasi optimal portfolio sebesar 0.17583 or 17.583% lebih tinggi dari yang diharapkan oleh market return sebesar 0.00264 or 0.264% dan memiliki tingkat portfolio risk borne sebesar 0.10384 or 10,384%, lebih kecil dari the risk of market sebesar 0.03367 or 3,367% dan beta market sebesar 1.Kata Kunci : Portfolio, Optimal Portfolio, Single Index Model.

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ANALISIS DIVERSIFIKASI INTERNASIONAL : PEMBENTUKAN PORTOFOLIO OPTIMAL INDEKS SAHAM DUNIA (Studi Kasus Pada Indeks Saham Aktif Dunia Versi The Wall Street Journal)

JMM17: Jurnal Ilmu Ekonomi dan Manajemen ◽

10.30996/jmm.v6i02.2995 ◽

2019 ◽

Vol 6 (02) ◽

Author(s):

Rony Mahendra ◽

Erwin Dyah Astawinetu

Keyword(s):

Wall Street Journal ◽

Optimal Portfolio ◽

Stock Index ◽

Wall Street ◽

Expected Return ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Stock Indices ◽

The Wall Street Journal

The research objective is to establish an optimal portfolio and know the difference between risk and return stock index portfolio candidates and non-candidates. Method used in the preparation of this research portfolio is the single index model, while the samples of this study are active world stock indices version of The Wall Street Journal during the period August 2012 - August 2016 and The Global Dow is used as the benchmark stock index. In establishing the optimal portfolio is used two perspectives: the Rupiah perspective and the U.S. Dollar perspective. The results showed there were three stock indices from the perspective of Rupiah and 8 share index menurutperspektif U.S. Dollar that make up the optimal portfolio, with the cut-of-pointsebesar 0,01393menurut Rupiah perspective and the perspective of 0.0078 US Dollars Based on the perspective of return expectations Rupiah obtained by 0.0258 with a risk of 0.06512. Berdarkan perspective of US Dollars, obtained return expectations at 0.0154 with a risk of 0.0292. From the test results showed that the hypothesis, the return on both perspectives there are significant differences between the index of the candidate, with a non-candidate. Then the risk of stock index, among the candidates, with a non-candidate, the Rupiah perspective there is no difference, but in the perspective of US Dollars, there are significant differences.Keywords: Single Index Model, candidate portfolio, optimal portfolio, expected return, excess return to beta, cut-off-point

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Missing responses at random in functional single index model for time series data

Statistical Papers ◽

10.1007/s00362-021-01251-2 ◽

2021 ◽

Author(s):

Nengxiang Ling ◽

Lilei Cheng ◽

Philippe Vieu ◽

Hui Ding

Keyword(s):

Time Series ◽

Time Series Data ◽

Series Data ◽

Single Index ◽

Index Model ◽

Missing Responses ◽

Single Index Model

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Asymptotic normality of conditional distribution estimation in the single index model

Acta Universitatis Sapientiae Mathematica ◽

10.1515/ausm-2017-0010 ◽

2017 ◽

Vol 9 (1) ◽

pp. 162-175

Author(s):

Diaa Eddine Hamdaoui ◽

Amina Angelika Bouchentouf ◽

Abbes Rabhi ◽

Toufik Guendouzi

Keyword(s):

Distribution Function ◽

Confidence Interval ◽

Asymptotic Normality ◽

Conditional Distribution ◽

Conditional Distribution Function ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Distribution Estimation

AbstractThis paper deals with the estimation of conditional distribution function based on the single-index model. The asymptotic normality of the conditional distribution estimator is established. Moreover, as an application, the asymptotic (1 − γ) confidence interval of the conditional distribution function is given for 0 < γ < 1.

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Locally penalized single-index model using B-splines and spherical coordinates

Communications in Statistics - Simulation and Computation ◽

10.1080/03610918.2021.2018459 ◽

2021 ◽

pp. 1-15

Author(s):

Jae-Hwan Jhong ◽

Jae-Young Kim ◽

Jae-Deok Lee ◽

Ja-Yong Koo

Keyword(s):

Spherical Coordinates ◽

B Splines ◽

Single Index ◽

Index Model ◽

Single Index Model

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A comparison of minimum variance and maximum Sharpe ratio portfolios for mainstream investors

The Journal of Risk Finance ◽

10.1108/jrf-02-2021-0021 ◽

2022 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Anja Vinzelberg ◽

Benjamin Rainer Auer

Keyword(s):

Minimum Variance ◽

Sharpe Ratio ◽

Optimization Techniques ◽

Estimation Methods ◽

Content Type ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Out Of Sample ◽

Asset Classes

PurposeMotivated by the recent theoretical rehabilitation of mean-variance analysis, the authors revisit the question of whether minimum variance (MinVar) or maximum Sharpe ratio (MaxSR) investment weights are preferable in practical portfolio formation.Design/methodology/approachThe authors answer this question with a focus on mainstream investors which can be modeled by a preference for simple portfolio optimization techniques, a tendency to cling to past asset characteristics and a strong interest in index products. Specifically, in a rolling-window approach, the study compares the out-of-sample performance of MinVar and MaxSR portfolios in two asset universes covering multiple asset classes (via investable indices and their subindices) and for two popular input estimation methods (full covariance and single-index model).FindingsThe authors find that, regardless of the setting, there is no statistically significant difference between MinVar and MaxSR portfolio performance. Thus, the choice of approach does not matter for mainstream investors. In addition, the analysis reveals that, contrary to previous research, using a single-index model does not necessarily improve out-of-sample Sharpe ratios.Originality/valueThe study is the first to provide an in-depth comparison of MinVar and MaxSR returns which considers (1) multiple asset classes, (2) a single-index model and (3) state-of-the-art bootstrap performance tests.

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EXPECTED SHORTFALL PADA PORTOFOLIO OPTIMAL DENGAN METODE SINGLE INDEX MODEL (Studi Kasus pada Saham IDX30)

Jurnal Gaussian ◽

10.14710/j.gauss.v10i2.30947 ◽

2021 ◽

Vol 10 (2) ◽

pp. 269-278

Author(s):

Eis Kartika Dewi ◽

Dwi Ispriyanti ◽

Agus Rusgiyono

Keyword(s):

At Risk ◽

Value At Risk ◽

Market Price ◽

Expected Shortfall ◽

Optimal Portfolio ◽

Share Price ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Stock Investment

Stock investment is a commitment to a number of funds in marketable securities which shows proof of ownership of a company with the aim of obtaining profits in the future. For obtaining optimal returns from stock investments, investors are expected to form optimal portfolios. The optimal portfolio formation using the Single Index Model is based on the observation that a stock fluctuates in the direction of the market price. It shows that most stocks tend to experience price increases if the market share price rises, and vice versa. Selection of optimal portfolio-forming stocks on IDX30 using the Single Index Model method produces 4 stocks, that are BRPT (Barito Pacific Tbk.) with weight 31.134%, ICBP (Indofood CBP Sukses Makmur Tbk.) 17.138%, BBCA (Bank Central Asia Tbk.) 51.331% and SMGR (Semen Indonesia (Persero) Tbk.) 0.397%. Every investment must have a risk, for that investors need to calculate the possible risks that occur before investing. To calculate risk, Expected Shortfall (ES) is used as a measure of risk that is better than Value at Risk (VaR) because ES fulfill the subadditivity. At the 95% confidence level, the ES value is 23.063% while the VaR value is 10.829%. This means that the biggest possible risk that an optimal portfolio investor will receive using the Single Index Model for the next five weeks is 23.063%.Keywords : Portfolio, Single Index Model, Expected Shortfall, Value at Risk.

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