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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)
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.
FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA
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)
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)
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)