KANAN, FRANCISKUS (2014) APLIKASI VALUE AT RISK PADA PORTOFOLIO OPTIMAL (Perbandingan – Metode Historical Simulation dan Variance-Covariance). S2 thesis, Universitas Mercu Buana Jakarta-Menteng.
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Abstract
Dalam mengelola investasi bagi para investor dibutuhkan kehati-hatian dalam pengelolaan risiko investasi. Investor perlu mengetahui seberapa besar risiko kerugian yang dapat dialami karena memiliki investasi pada Portofolio Optimal Saham. Untuk mengukur seberapa besar kerugian yang dialami oleh investor pada suatu investasi digunakan Value at Risk (VaR). Dalam Tesis ini akan dihitung besarnya nilai VaR dari Portofolio Optimal dengan metode Historical Simulation dan Variance-Covariance pada Tingkat Kepercayaan Expected-VaR. Kemudian membandingkan kedua metode tersebut, metode mana yang terbaik untuk mengukur Nilai VaR. Hasil dari penelitian ini menunjukkan bahwa metode Variance Covariance adalah metode yang terbaik untuk mengukur Nilai VaR. Selain itu, hasil penelitian menunjukkan bahwa nilai VaR dari waktu ke waktu adalah berbeda. Kata Kunci: Portofolio Optimal, Value at Risk (VaR), Historical Simulation, Variance-Covariance, Expected-VaR. In order to manage investments for the investors, it’s needed to be careful in the management of investment risk. Investors need to know how big the risk of loss that may be experienced as having investments in the Optimal Portfolio. To measure how big the losses suffered by investors in an investment are used Value at Risk (VaR). In this thesis the VaR value of Optimal Portfolio will be calculated with Historical Simulation and Variance-Covariance method at “Expected-VaR” confidence level. Then compare the two methods, which method is best to measure VaR value. The results of this study indicate that the Variance Covariance method is the best method to measure VaR value. In addition, the results showed that the VaR values over time was different. Key Words: Optimal Portfolio, Value at Risk (VaR), Historical Simulation, Variance-Covariance, Expected-VaR.
| Item Type: | Thesis (S2) |
|---|---|
| Call Number CD: | CDT-551-14-087 |
| NIM/NIDN Creators: | 55110110153 |
| Uncontrolled Keywords: | Portofolio Optimal, Value at Risk (VaR), Historical Simulation, Variance-Covariance, Expected-VaR, Optimal Portfolio, Value at Risk (VaR), Historical Simulation, Variance-Covariance, Expected-VaR. mku, manajemen keuangan |
| Subjects: | 600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum |
| Divisions: | Pascasarjana > Magister Manajemen |
| Depositing User: | UMMI RAHMATUSSYIFA |
| Date Deposited: | 14 Apr 2022 03:07 |
| Last Modified: | 01 Mar 2023 03:51 |
| URI: | http://repository.mercubuana.ac.id/id/eprint/59871 |
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