VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL

M. Fauzan Rinaldi, NIM.: 15610010 (2020) VALUE AT RISK DENGAN VARIANCE COVARIANCE DAN PORTOFOLIO OPTIMAL MENGGUNAKAN METODE MULTI INDEX MODEL. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

One of the most popular investments among investors is investing in shares in the capital market. Capital markets are activities related to public offering and trading of securities of public companies which are issued and institutions and professions related to securities. Investment can increase or decrease, so investment carries risk. So it is necessary to measure risk using Value at Risk (VaR). VaR can be calculated using the covariance variance method.One way to minimize risk is to form a portfolio of several stocks. Portfolios can be searched using the multi index model method with research data taken from 30 shares listed on JII from 1 January 2015 to 30 September 2018. Then obtained 4 shares which included optimal portfolios, namely BRBT, UNTR, UNVR, and TLKM, with a weight for each BRBT share of 43,12%, UNTR is 30,55%, UNVR is 23,19%, and TLKM is 3,14%. Meanwhile, the expected value of portofolios return is 3,02% and the portofolios risk is 6,51%. To estimated VaR in a month with a 99% confidence level is Rp. 59,310,750 with an initial capital of Rp. 100,000,000. and includes a valid model.

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