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ANALISIS RISIKO PORTOFOLIO MODEL BLACK-LITTERMAN DENGAN VALUE AT RISK-MONTE CARLO
Investment is the activity of allocating capital with the aim of obtaining returns in the future through instruments such as capital markets, mutual funds, stocks, properties, and bonds. A portfolio is a collection of investment assets held to minimize risk or maximize returns. The objectives of this study are: to identify the steps for constructing an optimal portfolio using the Black-Litterman model with VaR-Monte Carlo; to determine the proportion, expected return, and volatility of the Black-Litterman model portfolio; and to measure the potential loss of the Black-Litterman model portfolio using VaR-Monte Carlo. This study employs the Black-Litterman model to construct an optimal portfolio by combining investor views with the equilibrium returns from the CAPM model. Portfolio losses are calculated using the Value at Risk (VaR) method with Monte Carlo simulation, which analyzes the impact of uncertainty within the system. The data used includes Bank Indonesia Certificates (SBI) and JII70 stocks during the period from June 2018 to December 2023. The steps in this study include calculating the mean stock returns, stock variance, covariance, beta, expected returns from CAPM, covariance matrix, investor views, Black-Litterman model weights, determining the parameter values of the Black-Litterman model stock portfolio, simulating by randomly generating stock prices that follow a multivariate normal distribution with parameter (a), calculating portfolio returns, VaR at a confidence level of (1-α) (b), repeating steps (a) to (b) m times (c), and averaging the results from step (c). The results show a portfolio consisting of ITMG (16.11%), CPIN (13.44%), ICBP (66.95%), and MIKA (3.50%) stocks. The expected return and volatility of the Black-Litterman model portfolio are 8.67% per month and 4.82% per month, respectively. The calculation of the maximum loss with the portfolio model prediction has less influence because the loss value obtained with VaR-Monte Carlo is not significantly different, amounting to 15.06% per month.
FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA
ANALISIS RISIKO PORTOFOLIO MODEL BLACK-LITTERMAN DENGAN VALUE AT RISK-MONTE CARLO (Text)
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