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MODEL MULTI-INDEKS DAN PENGUKURAN VALUE AT RISK PADA ANALISIS PORTOFOLIO OPTIMAL SAHAM LQ45

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Stock investment is one of the financial planning that needs to be done to prepare for future needs such as education, health, old age and other unexpected needs. The application of the Multi-Index model can be done to form an optimal stock portfolio with the expectation of obtaining maximum returns and minimal risk. The worst risk of an optimal stock portfolio can be calculated by the value of Value at Risk (VaR). The purpose of this study is to analyze the optimal stock portfolio using the Multi-Index model and measure the Value at Risk value of LQ45 stocks. The results showed that out of 16 stocks, six stocks were obtained that were worthy of inclusion in the optimal stock portfolio. These stocks are shares of PT Bank Central Asia (Persero) Tbk. (BBCA), shares of PT Bank Rakyat Indonesia (Persero) Tbk. (BBRI), shares of PT Vale Indonesia Tbk. (INCO), shares of PT Indocement Tunggal Prakarsa Tbk. (INTP), shares of PT Bukit Asam Tbk. (PTBA) and shares of PT Telkom Indonesia (Persero) Tbk. (TLKM). The optimal stock portfolio that has been formed provides an expected return of 0.851% per month, with a risk level of 0.279% per month. Based on the calculation of the VaR, with a confidence level of 95% investors will not suffer losses greater than 3.01% of the initial invested capital.

Availability
Inventory Code Barcode Call Number Location Status
2207005037T83864T838642022Central Library (Referens)Available but not for loan - Not for Loan
Detail Information
Series Title
-
Call Number
T838642022
Publisher
Inderalaya : Jurusan Matematika, Fakultas Matematika Dan Ilmu Pengetahuan Alam Universitas Sriwijaya.,
Collation
xiv, 64 hlm.; ilus.; 29 cm
Language
Indonesia
ISBN/ISSN
-
Classification
513.907
Content Type
-
Media Type
-
Carrier Type
-
Edition
-
Subject(s)
Jurusan Matematika
Perhitungan Cepat
Specific Detail Info
-
Statement of Responsibility
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