Estimasi Value at Risk pada Pembentukan Portofolio Optimal IDX High Dividend 20 dengan Model Black-Litterman
DOI:
https://doi.org/10.30605/proximal.v9i2.8596Keywords:
Portofolio Optimal, Black-Litterman, Value at Risk, Monte Carlo, IDX HIGH Dividend 20Abstract
Peningkatan partisipasi masyarakat dalam dunia investasi meningkatkan kebutuhan akan strategi pengelolaan risiko melalui pembentukan portofolio yang optimal. Namun, proses pembentukan portofolio tersebut bukanlah hal yang sederhana dan memerlukan pemahaman mendalam. Penelitian ini menggunakan model Black-Litterman untuk meminimalkan risiko pada portofolio yang akan dibentuk dengan mempertimbangkan return dan risiko aset. Selain itu, pengukuran risiko potensial dilakukan menggunakan Value at Risk (VaR) dengan simulasi Monte Carlo. Berdasarkan hasil penelitian, diperoleh sembilan saham dalam pembentukan portofolio optimal, yaitu ADRO, ASII, BBNI, BBRI, BMRI, INDF, ITMG, PTBA, dan UNTR. Portofolio tersebut menghasilkan tingkat keuntungan sebesar 0,46% dengan risiko 1,35%. Sementara itu, estimasi VaR yang diperoleh sebesar -1,25% pada tingkat kepercayaan 90%, -1,74% pada tingkat kepercayaan 95%, dan -2,65% pada tingkat kepercayaan 99%.References
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