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All Journal E-Jurnal Matematika
YOHANA Th.V. SERAN
Universitas Udayana
Mathematics

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ANALISIS PORTOFOLIO OPTIMAL MENGGUNAKAN METODE LEXICOGRAPHIC GOAL PROGRAMMING DENGAN PENDEKATAN VaR – GEV YOHANA Th.V. SERAN; KOMANG DHARMAWAN; NI KETUT TARI TASTRAWATI
E-Jurnal Matematika Vol 11 No 2 (2022)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2022.v11.i02.p370

Abstract

The stock portfolio is a combination of several stocks that can help reduce investment risk. Risk can be measured using Value at Risk. This study aims to form an optimal portfolio in which stock risk is estimated using VaR with Generalized Extreme Value distribution followed by selecting the optimal portfolio forming stock using the Lexicographic Goal Programming method. The result of this research is that a portfolio with three selected stocks is formed, namely BBRI with a proportion of 63%, KLBF with a proportion of 25% and MNCN with a proportion of 12%. From the optimal portfolio formed, the expected return is 0.00005106 and the risk is 0.0187.
Co-Authors Komang Dharmawan Ni Ketut Tari Tastrawati