ESTIMASI NILAI AVERAGE VALUE AT RISK PADA SAHAM PORTOFOLIO DENGAN MENGGUNAKAN METODE ANALISIS KOMPONEN UTAMA
Abstract: There are several
methods that can be used to measure the risk of a portfolio of stocks. One of
them is Average Value at Risk (AVaR). The purpose of this study is to implement
Principal Component Analysis (PCA) to select stocks to be incorporated in the
portfolio and also to compare the AVaR of the portfolio when the stocks selected using PCA and selected
using mean-variance method. The data we used are the closing price of the
stocks BBCA, BDMN, ICBP, INTP, CPIN, KLBF, GGRM, MNCN, SMCB, and SGRO. The
selected stocks using PCA are BBCA, CPIN, INTP and, MNCN with AVaR is 1.0971%
for 90% confidence level and for 95% confidence level is 1.1432% whereas by
using mean variance method, it is found that BDMN, GGRM, ICBP, and SMCB have to
be incorporated in the portfolio with AVaR is 1.3314% for 90% confidence level
and 1.4263% for 95% confidence level.
Penulis: NI LUH NIKASARI,
KOMANG DHARMAWAN, I GUSTI AYU MADE SRINADI
Kode Jurnal: jpmatematikadd170168
