%0 Thesis
%9 Skripsi
%A Dinda Kusuma Sari, NIM.: 22106010061
%B FAKULTAS SAINS DAN TEKNOLOGI
%D 2026
%F digilib:78689
%I UIN SUNAN KALIJAGA YOGYAKARTA
%K Historical Simulation, IDX30, Portofolio Optimal, Single Index  Model, Value at Risk
%P 178
%T ANALISIS RISIKO PORTOFOLIO OPTIMAL BERBASIS SINGLE INDEX MODEL MENGGUNAKAN VALUE AT RISK (VAR) DENGAN METODE HISTORICAL SIMULATION (STUDI KASUS: SAHAM IDX30 PERIODE JANUARI 2025 – DESEMBER 2025)
%U https://digilib.uin-suka.ac.id/id/eprint/78689/
%X A portfolio is a collection of assets used to diversify and manage  investment risk. An optimal portfolio is needed to obtain a combination of  stocks that maximizes returns while minimizing risk. This study aims to analyze  optimal portfolio formation using the Single Index Model (SIM), determine stock  investment weights, and measure portfolio risk using Value at Risk (VaR) with the  Historical Simulation approach. The data consist of daily closing prices of IDX30  stocks and the IHSG from January to December 2025. Stocks were initially selected  based on an expected return greater than the risk-free rate (E(Ri) > Rf ), followed  by selecting stocks with Excess Return to Beta (ERB) greater than or equal to the  cut-off point (ERB ≥ C∗). The results show that eight stocks were selected to  form the optimal portfolio namely BRPT, ANTM, ASII, UNVR, INCO, MDKA,  MBMA, and MEDC. The two largest investment weights were BRPT at 38.59%,  with an expected return of 0.6174%, and ANTM at 30.98%, with an expected return  of 0.3595%. SIM simplifies parameter estimation while considering market factors,  but is limited to a single market factor. Historical Simulation requires no specific  distributional assumption but depends on historical data quality. VaR increases with  the investment horizon due to the square-root-of-time rule. At a 95% confidence  level, one-day VaR was Rp3,184,844 and was valid based on the Kupiec POF test.
%Z Sri Utami Zuliana, S.Si., M.Sc., Ph.D.