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primary topic: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL

VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL
type: Thesis
type: Article
abstract: One of the most popular investments among investors is investing in shares in the capital market. Capital markets are activities related to public offering and trading of securities of public companies which are issued and institutions and professions related to securities. Investment can increase or decrease, so investment carries risk. So it is necessary to measure risk using Value at Risk (VaR). VaR can be calculated using the covariance variance method.One way to minimize risk is to form a portfolio of several stocks. Portfolios can be searched using the multi index model method with research data taken from 30 shares listed on JII from 1 January 2015 to 30 September 2018. Then obtained 4 shares which included optimal portfolios, namely BRBT, UNTR, UNVR, and TLKM, with a weight for each BRBT share of 43,12%, UNTR is 30,55%, UNVR is 23,19%, and TLKM is 3,14%. Meanwhile, the expected value of portofolios return is 3,02% and the portofolios risk is 6,51%. To estimated VaR in a month with a 99% confidence level is Rp. 59,310,750 with an initial capital of Rp. 100,000,000. and includes a valid model.
date: 2020-08-31
status: published
author list: authors
type: EPrint
type: ThesisEPrint
is part of: repository
has document: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
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has document: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Other)
subject: Manajemen Perusahaan

VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
type: Document
has file: 15610010_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
has part: 15610010_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf

VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
type: Document

UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

NIM.: 15610010 M. Fauzan Rinaldi
type: Person
given name: NIM.: 15610010
family name: M. Fauzan Rinaldi

VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Other)
type: Document
is version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
is volatile version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
is index codes version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
has file: indexcodes.txt
has part: indexcodes.txt

VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Other)
type: Document
is version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
is volatile version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
is index codes version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)

VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Other)
type: Document
is version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
is volatile version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
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VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Other)
type: Document
is version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
is volatile version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
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VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Other)
type: Document
is version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
is volatile version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
ismedium thumbnail version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
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VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Other)
type: Document
is version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
is volatile version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
issmall thumbnail version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
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VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Other)
type: Document
is version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
is volatile version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
islightbox thumbnail version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)

VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Other)
type: Document
is version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
is volatile version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
ispreview thumbnail version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)

VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Other)
type: Document
is version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
is volatile version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
ismedium thumbnail version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)

VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Other)
type: Document
is version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
is volatile version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)
issmall thumbnail version of: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL (Text)

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primary topic: VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL

Manajemen Perusahaan
type: Concept