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primary topic: http://digilib.uin-suka.ac.id/id/eprint/71778

http://digilib.uin-suka.ac.id/id/eprint/71778
type: Thesis
type: Article
title: ANALISIS RISIKO PORTOFOLIO OPTIMAL MAXIMUM SHARPE RATIO MENGGUNAKAN PERHITUNGAN CONDITIONAL VALUE AT RISK (CVAR) DENGAN METODE VARIANCE-COVARIANCE DAN MONTE CARLO (STUDI KASUS: SAHAM PERUSAHAAN SEKTOR ENERGI YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) UNTUK PERIODE DESEMBER 2019 - DESEMBER 2024)
abstract: Risk measurement in portfolio management can be done using various tools such as Value at Risk (VaR) and Conditional Value at Risk (CVaR), where CVaR addresses the weaknesses of VaR by taking into account losses beyond the VaR limit for a more comprehensive risk estimate. This study measures the risk of the optimal Maximum Sharpe Ratio portfolio for energy sector stocks on the IDX for the period 2019–2024 with a composition of 63.01% PTBA.JK, 13.94% MBAP.JK, and 23.05% MEDC.JK, resulting in an expected return of 1.2028% and a risk of 8.8012% per month. The CVaR value at a 95% confidence level is 16.9515 (Variance-Covariance) and 16.9095 (Monte Carlo), and at 99% it is 22.2542 and 21.9609, indicating that the estimated maximum loss exceeds the VaR. The backtesting results and Kupiec test confirm that both methods are valid in measuring portfolio risk.
date: 2025-05-07
status: published
author list: authors
type: EPrint
type: ThesisEPrint
is part of: repository
has document: http://digilib.uin-suka.ac.id/id/document/1006436
has version: http://digilib.uin-suka.ac.id/id/document/1006436
has published: http://digilib.uin-suka.ac.id/id/document/1006436
has document: http://digilib.uin-suka.ac.id/id/document/1006437
has version: http://digilib.uin-suka.ac.id/id/document/1006437
has published: http://digilib.uin-suka.ac.id/id/document/1006437
has document: http://digilib.uin-suka.ac.id/id/document/1006540
has document: http://digilib.uin-suka.ac.id/id/document/1006541
has document: http://digilib.uin-suka.ac.id/id/document/1006542
has document: http://digilib.uin-suka.ac.id/id/document/1006543
has document: http://digilib.uin-suka.ac.id/id/document/1006544
has document: http://digilib.uin-suka.ac.id/id/document/1006545
has document: http://digilib.uin-suka.ac.id/id/document/1006546
has document: http://digilib.uin-suka.ac.id/id/document/1006547
subject: 510 Mathematics (Matematika)

http://digilib.uin-suka.ac.id/id/document/1006436
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL MAXIMUM SHARPE RATIO MENGGUNAKAN PERHITUNGAN CONDITIONAL VALUE AT RISK (CVAR) DENGAN METODE VARIANCE-COVARIANCE DAN MONTE CARLO (STUDI KASUS: SAHAM PERUSAHAAN SEKTOR ENERGI YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) UNTUK PERIODE DESEMBER 2019 - DESEMBER 2024) (Text)
has file: 21106010064_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
has part: 21106010064_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf

http://digilib.uin-suka.ac.id/id/document/1006437
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL MAXIMUM SHARPE RATIO MENGGUNAKAN PERHITUNGAN CONDITIONAL VALUE AT RISK (CVAR) DENGAN METODE VARIANCE-COVARIANCE DAN MONTE CARLO (STUDI KASUS: SAHAM PERUSAHAAN SEKTOR ENERGI YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) UNTUK PERIODE DESEMBER 2019 - DESEMBER 2024) (Text)

UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

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

NIM.: 21106010064 Atika Oktavia
type: Person
given name: NIM.: 21106010064
family name: Atika Oktavia

http://digilib.uin-suka.ac.id/id/document/1006540
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL MAXIMUM SHARPE RATIO MENGGUNAKAN PERHITUNGAN CONDITIONAL VALUE AT RISK (CVAR) DENGAN METODE VARIANCE-COVARIANCE DAN MONTE CARLO (STUDI KASUS: SAHAM PERUSAHAAN SEKTOR ENERGI YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) UNTUK PERIODE DESEMBER 2019 - DESEMBER 2024) (Other)
is version of: http://digilib.uin-suka.ac.id/id/document/1006437
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http://digilib.uin-suka.ac.id/id/document/1006541
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL MAXIMUM SHARPE RATIO MENGGUNAKAN PERHITUNGAN CONDITIONAL VALUE AT RISK (CVAR) DENGAN METODE VARIANCE-COVARIANCE DAN MONTE CARLO (STUDI KASUS: SAHAM PERUSAHAAN SEKTOR ENERGI YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) UNTUK PERIODE DESEMBER 2019 - DESEMBER 2024) (Other)
is version of: http://digilib.uin-suka.ac.id/id/document/1006437
is volatile version of: http://digilib.uin-suka.ac.id/id/document/1006437
ispreview thumbnail version of: http://digilib.uin-suka.ac.id/id/document/1006437

http://digilib.uin-suka.ac.id/id/document/1006542
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL MAXIMUM SHARPE RATIO MENGGUNAKAN PERHITUNGAN CONDITIONAL VALUE AT RISK (CVAR) DENGAN METODE VARIANCE-COVARIANCE DAN MONTE CARLO (STUDI KASUS: SAHAM PERUSAHAAN SEKTOR ENERGI YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) UNTUK PERIODE DESEMBER 2019 - DESEMBER 2024) (Other)
is version of: http://digilib.uin-suka.ac.id/id/document/1006437
is volatile version of: http://digilib.uin-suka.ac.id/id/document/1006437
ismedium thumbnail version of: http://digilib.uin-suka.ac.id/id/document/1006437

http://digilib.uin-suka.ac.id/id/document/1006543
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL MAXIMUM SHARPE RATIO MENGGUNAKAN PERHITUNGAN CONDITIONAL VALUE AT RISK (CVAR) DENGAN METODE VARIANCE-COVARIANCE DAN MONTE CARLO (STUDI KASUS: SAHAM PERUSAHAAN SEKTOR ENERGI YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) UNTUK PERIODE DESEMBER 2019 - DESEMBER 2024) (Other)
is version of: http://digilib.uin-suka.ac.id/id/document/1006437
is volatile version of: http://digilib.uin-suka.ac.id/id/document/1006437
issmall thumbnail version of: http://digilib.uin-suka.ac.id/id/document/1006437

http://digilib.uin-suka.ac.id/id/document/1006544
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL MAXIMUM SHARPE RATIO MENGGUNAKAN PERHITUNGAN CONDITIONAL VALUE AT RISK (CVAR) DENGAN METODE VARIANCE-COVARIANCE DAN MONTE CARLO (STUDI KASUS: SAHAM PERUSAHAAN SEKTOR ENERGI YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) UNTUK PERIODE DESEMBER 2019 - DESEMBER 2024) (Other)
is version of: http://digilib.uin-suka.ac.id/id/document/1006436
is volatile version of: http://digilib.uin-suka.ac.id/id/document/1006436
islightbox thumbnail version of: http://digilib.uin-suka.ac.id/id/document/1006436
has file: lightbox.jpg
has part: lightbox.jpg

http://digilib.uin-suka.ac.id/id/document/1006545
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL MAXIMUM SHARPE RATIO MENGGUNAKAN PERHITUNGAN CONDITIONAL VALUE AT RISK (CVAR) DENGAN METODE VARIANCE-COVARIANCE DAN MONTE CARLO (STUDI KASUS: SAHAM PERUSAHAAN SEKTOR ENERGI YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) UNTUK PERIODE DESEMBER 2019 - DESEMBER 2024) (Other)
is version of: http://digilib.uin-suka.ac.id/id/document/1006436
is volatile version of: http://digilib.uin-suka.ac.id/id/document/1006436
ispreview thumbnail version of: http://digilib.uin-suka.ac.id/id/document/1006436
has file: preview.jpg
has part: preview.jpg

http://digilib.uin-suka.ac.id/id/document/1006546
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL MAXIMUM SHARPE RATIO MENGGUNAKAN PERHITUNGAN CONDITIONAL VALUE AT RISK (CVAR) DENGAN METODE VARIANCE-COVARIANCE DAN MONTE CARLO (STUDI KASUS: SAHAM PERUSAHAAN SEKTOR ENERGI YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) UNTUK PERIODE DESEMBER 2019 - DESEMBER 2024) (Other)
is version of: http://digilib.uin-suka.ac.id/id/document/1006436
is volatile version of: http://digilib.uin-suka.ac.id/id/document/1006436
ismedium thumbnail version of: http://digilib.uin-suka.ac.id/id/document/1006436
has file: medium.jpg
has part: medium.jpg

http://digilib.uin-suka.ac.id/id/document/1006547
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL MAXIMUM SHARPE RATIO MENGGUNAKAN PERHITUNGAN CONDITIONAL VALUE AT RISK (CVAR) DENGAN METODE VARIANCE-COVARIANCE DAN MONTE CARLO (STUDI KASUS: SAHAM PERUSAHAAN SEKTOR ENERGI YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) UNTUK PERIODE DESEMBER 2019 - DESEMBER 2024) (Other)
is version of: http://digilib.uin-suka.ac.id/id/document/1006436
is volatile version of: http://digilib.uin-suka.ac.id/id/document/1006436
issmall thumbnail version of: http://digilib.uin-suka.ac.id/id/document/1006436
has file: small.jpg
has part: small.jpg

https://digilib.uin-suka.ac.id/id/eprint/71778/
title: HTML Summary of #71778 ANALISIS RISIKO PORTOFOLIO OPTIMAL MAXIMUM SHARPE RATIO MENGGUNAKAN PERHITUNGAN CONDITIONAL VALUE AT RISK (CVAR) DENGAN METODE VARIANCE-COVARIANCE DAN MONTE CARLO (STUDI KASUS: SAHAM PERUSAHAAN SEKTOR ENERGI YANG TERDAFTAR DI BURSA EFEK INDONESIA (BEI) UNTUK PERIODE DESEMBER 2019 - DESEMBER 2024)
format: text/html
primary topic: http://digilib.uin-suka.ac.id/id/eprint/71778

510 Mathematics (Matematika)
type: Concept