Analisis Value at Risk dalam Pembentukan Portofolio Optimal (Studi Empiris pada Saham-Saham yang Tergabung Dalam LQ45)

Abstract

Investment in the stock market should be able to understand the risks involved, because the investment will be dealing with the future contain uncertainties. The need for reliable risk measures strengthened. Growth in trading activity and market increasingly erratic make market participants feel the need to develop techniques of risk measurement more accurate and reliable. One such risk measurement techniques are Value at Risk (VaR). Value at Risk (VaR) is the market risk calculation methods for determining the risk of maximum loss that can occur in a portfolio, both singleinstrument

and multi-instruments, in particular the confidence level, over a certain holding period, and in normal market conditions. This study uses secondary data in the form of shares listed in the Indonesia Stock Exchange and is included in the LQ45 index. The sample selection using purposive sampling, samples obtained are 15 companies. Processing of the data in this study using the assistance of a Microsoft Excel program for the measurement of Value at Risk on a portfolio by using Monte Carlo simulation. The results showed a larger return will provide a greater degree of risk as well, as seen from the value of returns and the VaR of each portfolio. Where the portfolio one has a larger return than the second portfolio, and portfolio one also have the level of risk that is greater than the second portfolio. In accordance with the statement in the investment "the higher the profits the higher the risk faced".