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Nur Khofifah
Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro
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GLUE VALUE AT RISK UNTUK MENGUKUR RISIKO PADA PORTOFOLIO OPTIMAL DENGAN METODE MULTI INDEX MODEL Nur Khofifah; Agus Rusgiyono; Di Asih I Maruddani
Jurnal Gaussian Vol 12, No 1 (2023): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.12.1.116-125

Abstract

Creating a portfolio is one method of reducing risk. One of the best portfolio decisions is made by Multi Index Model. Multi Index Model is a method that makes use of multiple variables that impact stock returns. Before making an investment, risk measurement must be considered. Calculation of risk on a portfolio will be more accurate if it is calculated using Glue Value at Risk, because it satisfies the property of subadditivity, which is one of the coherence properties of a risk measure that reflects the idea that risk can reduce by diversification. The stocks used in this study are 4 stocks that are members of SRI-KEHATI stock group in the period January 2017 – December 2021. The factors used are Composite Stock Price Index (JCI), and Rupiah to USD exchange rate. According to the study's findings, the best portfolio consist of four stocks: BBRI (Bank Rakyat Indonesia Tbk.) (17.82%), KLBF (Kalbe Farma Tbk.) (56.66%), UNTR (United Tractors Tbk.) (24.13%), and WIKA (Wijaya Karya Tbk.) (1.39%). The confidence levels of  and , the distortion function height is  and  are used, the GlueVaR value for the stock portfolio is 10.476%. 
Co-Authors Agus Rusgiyono Di Asih I Maruddani