MODEL MULTI-INDEKS DAN PENGUKURAN VALUE AT RISK PADA ANALISIS PORTOFOLIO OPTIMAL SAHAM LQ45

ANANDA, FENY EKA and Andriani, Yuli and Kresnawati, Endang Sri (2022) MODEL MULTI-INDEKS DAN PENGUKURAN VALUE AT RISK PADA ANALISIS PORTOFOLIO OPTIMAL SAHAM LQ45. Undergraduate thesis, Sriwijaya University.

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Abstract

Stock investment is one of the financial planning that needs to be done to prepare for future needs such as education, health, old age and other unexpected needs. The application of the Multi-Index model can be done to form an optimal stock portfolio with the expectation of obtaining maximum returns and minimal risk. The worst risk of an optimal stock portfolio can be calculated by the value of Value at Risk (VaR). The purpose of this study is to analyze the optimal stock portfolio using the Multi-Index model and measure the Value at Risk value of LQ45 stocks. The results showed that out of 16 stocks, six stocks were obtained that were worthy of inclusion in the optimal stock portfolio. These stocks are shares of PT Bank Central Asia (Persero) Tbk. (BBCA), shares of PT Bank Rakyat Indonesia (Persero) Tbk. (BBRI), shares of PT Vale Indonesia Tbk. (INCO), shares of PT Indocement Tunggal Prakarsa Tbk. (INTP), shares of PT Bukit Asam Tbk. (PTBA) and shares of PT Telkom Indonesia (Persero) Tbk. (TLKM). The optimal stock portfolio that has been formed provides an expected return of 0.851% per month, with a risk level of 0.279% per month. Based on the calculation of the VaR, with a confidence level of 95% investors will not suffer losses greater than 3.01% of the initial invested capital.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	Model Multi-Indeks, Portofolio Optimal, LQ45, Value at Risk
Subjects:	H Social Sciences > HB Economic Theory > HB135-147 Mathematical economics. Quantitative methods Including econometrics, input-output analysis, game theory H Social Sciences > HG Finance > HG4501-6051 Investment, capital formation, speculation Q Science > QA Mathematics > QA801-939 Analytic mechanics > QA911.Z54 Fluid dynamics--Mathematical models. Multiphase flow--Mathematical models. Turbulence--Mathematical models. Combustion--Mathematical models. Combustion--Mathematical models. Fluid dynamics--Mathematical models. Multiphase flow
Divisions:	08-Faculty of Mathematics and Natural Science > 44201-Mathematics (S1)
Depositing User:	Feny Eka Ananda
Date Deposited:	16 Dec 2022 03:24
Last Modified:	16 Dec 2022 03:24
URI:	http://repository.unsri.ac.id/id/eprint/83864

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