PENGUKURAN NILAI RISIKO PORTOFOLIO BERDASARKAN MEAN-VaR

Authors

  • Citra Ariadini Chairunnisa
  • Hazmira Yozza
  • Dodi Devianto

DOI:

https://doi.org/10.25077/jmu.7.1.24-32.2018

Abstract

Abstrak. Portofolio merupakan kumpulan dari beberapa investasi saham. Portofolio
terbaik adalah portofolio dengan mean return dan risiko saham yang terbaik. Salah satu
metode dalam mengukur nilai risiko adalah dengan Value at Risk (VaR). VaR didenisikan
sebagai tingkat kerugian maksimal atau return minimal pada tingkat kepercayaan
yang cukup tinggi untuk waktu tertentu. Jika seorang investor membentuk portofolio
maka berarti investor menentukan proporsi dana yang diinvestasikan pada masingmasing
saham. Investor menginvestasikan dana pada masing-masing saham dengan total
proporsi dana adalah 1. Permasalahan dalam menghitung proporsi dana dapat menggunakan
metode Pengganda Lagrange. Dari 33 saham Perbankan yang terdaftar pada
Bursa Efek Indonesia didapat komposisi portofolio yang terdiri dari Bank Danamon
Indonesia Tbk, Bank Mandiri (Persero) Tbk dan Bank CIMB Niaga Tbk. Dari ketiga
saham diperoleh proporsi investasi masing-masing dana yaitu 19,76% Bank Danamon
Indonesia Tbk, 60,34% Bank Mandiri (Persero) Tbk dan 19,90% Bank CIMB Niaga Tbk.
Dari portofolio yang terbentuk didapat nilai risiko yaitu 0,001345. Hal ini berarti risiko
dari portofolio yang terbentuk sangat kecil yaitu 0,13% sehingga aman bagi investor
dalam berinvestasi.
Kata Kunci: Portofolio, Value at Risk, Pengganda Lagrange, Risiko

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Published

14-02-2018

Issue

Vol. 7 No. 1 (2018)

Section

Articles

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