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ANALISIS PORTOFOLIO OPTIMAL MEAN VARIANCE EFFICIENT PORTFOLIO (MVEP) DENGAN ESTIMASI VALUE AT RISK (VaR) HISTORICAL SIMULATION DILENGKAPI GUI MATLAB
Investment can be interpreted as a commitment to a number of funds or other resources that are carried out in the present with the aim of obtaining profits in the future. The greater the expected profit value, the greater the risk that will be obtained. A high enough level of risk can be minimized by diversifying stocks in order to create an efficient portfolio. The portfolio calculation method in this study uses Mean Variance Efficient Portfolio by minimizing risk.One of the measuring tools used to calculate portfolio risk is Value at Risk (VaR). In this study, portfolio risk was measured by a Value at Risk (VaR) Historical Simulation that overrides data assumptions that must be distributed normally and the nature of the portfolio between portfolio return and single asset return. Optimal portfolio selection is based on measurement of portfolio performance with Sharpe performance measures. The data used in this study is zakah rate approach data and stock data that is consistently included in the Jakarta Islamic Index (JII) in the period March 26, 2019- June 25, 2021 In this study obtained 11 portfolio combinations which then calculated their performance in each portfolio with Sharpe performance measures. The final results of the portfolio performance measurement show that portfolio 6 group is the best performing portfolio with a Sharpe performance measure of 0.0489 with a profit of 0.25% and a risk of -4.98% every day, a sign (-) of risk shows a loss The weighting of the proportion of shares forming the optimal portfolio of group 6 is: 52.68% ANTM. JK and 47.32% BRPT. JK. Matlab GUI programming is expected to assist the general public in calculating the optimal portfolio of Mean variance Efficient Portfolio (MVEP) with Value at Risk (VaR) Historical Simulation and portfolio performance measurement using Sharpe performance measures.
FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA
ANALISIS PORTOFOLIO OPTIMAL MEAN VARIANCE EFFICIENT PORTFOLIO (MVEP) DENGAN ESTIMASI VALUE AT RISK (VaR) HISTORICAL SIMULATION DILENGKAPI GUI MATLAB (Text)
ANALISIS PORTOFOLIO OPTIMAL MEAN VARIANCE EFFICIENT PORTFOLIO (MVEP) DENGAN ESTIMASI VALUE AT RISK (VaR) HISTORICAL SIMULATION DILENGKAPI GUI MATLAB (Other)
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Matematika