Portfolio exists as an effort to minimize risk in investing by combining several assets. Investors are required to be able to determine strategies in choosing and weighting the assets in forming an optimal portfolio to get maximum expected return with a certain level of risk. This study discusses the risk measurements of optimal portfolio based on Mean-Value at Risk optimization. Determination of weight to achieve an optimal portfolio is often done by the Mean-Variance optimization process. However, the Mean-Variance has a weakness, the variance in the Mean-Variance is often questioned as to its suitability as a risk parameter. As an alternative to overcome the weakness of Mean-Variance is to use Mean-Value at Risk with VaR is used as a substitute for variance. The Mean-VaR portfolio optimization in this study is done by using matrix algebra approach and Lagrange multiplier to obtain the optimal weight point in the formed portfolio. Out of 23 stocks of IDX30 listed in the evaluation period of August 2019 to January 2021 that have been analyzed, the optimal portfolio composition is obtained to CPIN (16,11%), ERAA (18,74%) and TLKM (65,16%) of weight proportion. As result, the VaR of the optimal portfolio is 3,99%.
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2 June 2023
11TH INTERNATIONAL SEMINAR ON NEW PARADIGM AND INNOVATION ON NATURAL SCIENCES AND ITS APPLICATION (ISNPINSA): Developing Science and Technology Toward the New Normal Era
14–15 October 2021
Semarang, Indonesia
Research Article|
June 02 2023
Measurement of risk value with mean-value at risk optimization model in stocks portfolio (case study: Stocks listed in the IDX30 index for evaluation of August 2020 – January 2021 during the 2020 period)
Aurelia Diva Salsabilla;
Aurelia Diva Salsabilla
a)
1
Department of Statistics, Faculty of Science and Mathematics, Diponegoro University
, Semarang, Jawa Tengah, 50275, Indonesia
a)Corresponding author: [email protected]
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Di Asih I. Maruddani;
Di Asih I. Maruddani
1
Department of Statistics, Faculty of Science and Mathematics, Diponegoro University
, Semarang, Jawa Tengah, 50275, Indonesia
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Agus Rusgiyono
Agus Rusgiyono
1
Department of Statistics, Faculty of Science and Mathematics, Diponegoro University
, Semarang, Jawa Tengah, 50275, Indonesia
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a)Corresponding author: [email protected]
AIP Conf. Proc. 2738, 020028 (2023)
Citation
Aurelia Diva Salsabilla, Di Asih I. Maruddani, Agus Rusgiyono; Measurement of risk value with mean-value at risk optimization model in stocks portfolio (case study: Stocks listed in the IDX30 index for evaluation of August 2020 – January 2021 during the 2020 period). AIP Conf. Proc. 2 June 2023; 2738 (1): 020028. https://doi.org/10.1063/5.0140570
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