eprintid: 71778
rev_number: 11
eprint_status: archive
userid: 12460
dir: disk0/00/07/17/78
datestamp: 2025-07-11 08:31:40
lastmod: 2025-07-11 08:31:40
status_changed: 2025-07-11 08:31:40
type: thesis
metadata_visibility: show
contact_email: muh.khabib@uin-suka.ac.id
creators_name: Atika Oktavia, NIM.: 21106010064
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)
ispublished: pub
subjects: 560
divisions: jur_mat
full_text_status: restricted
keywords: Conditional Value at Risk (CVaR), Maximum Sharpe Ratio, Monte Carlo, Portofolio Optimal, Variance-Covariance
note: Dr. Epha Diana Supandi, S.Si., M.Sc.
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
date_type: published
pages: 127
institution: UIN SUNAN KALIJAGA YOGYAKARTA
department: FAKULTAS SAINS DAN TEKNOLOGI
thesis_type: skripsi
thesis_name: other
citation:   Atika Oktavia, NIM.: 21106010064  (2025) 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).  Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.   
document_url: https://digilib.uin-suka.ac.id/id/eprint/71778/1/21106010064_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
document_url: https://digilib.uin-suka.ac.id/id/eprint/71778/2/21106010064_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf