PERHITUNGAN VaR PORTOFOLIO SAHAM MENGGUNAKAN DATA HISTORIS DAN DATA SIMULASI MONTE CARLO
Value at Risk (VaR) is the maximum potential loss on a portfolio based on the probability at a certain time. In this research, portfolio VaR values calculated from historical data and Monte Carlo simulation data. Historical data is processed so as to obtain stock returns, variance, correlation coef...
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Universitas Udayana
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doaj-7a6379e986494528be0df5a18265e01e2020-11-24T22:08:55ZengUniversitas UdayanaE-Jurnal Matematika2303-17512012-09-0110.24843/MTK.2012.v01.i01.p0011664PERHITUNGAN VaR PORTOFOLIO SAHAM MENGGUNAKAN DATA HISTORIS DAN DATA SIMULASI MONTE CARLOWAYAN ARTHINI0KOMANG DHARMAWAN1LUH PUTU IDA HARINI2Universitas UdayanaUniversitas UdayanaUniversitas UdayanaValue at Risk (VaR) is the maximum potential loss on a portfolio based on the probability at a certain time. In this research, portfolio VaR values calculated from historical data and Monte Carlo simulation data. Historical data is processed so as to obtain stock returns, variance, correlation coefficient, and variance-covariance matrix, then the method of Markowitz sought proportion of each stock fund, and portfolio risk and return portfolio. The data was then simulated by Monte Carlo simulation, Exact Monte Carlo Simulation and Expected Monte Carlo Simulation. Exact Monte Carlo simulation have same returns and standard deviation with historical data, while the Expected Monte Carlo Simulation satistic calculation similar to historical data. The results of this research is the portfolio VaR with time horizon T=1, T=10, T=22 and the confidence level of 95 %, values obtained VaR between historical data and Monte Carlo simulation data with the method exact and expected. Value of VaR from both Monte Carlo simulation is greater than VaR historical data.https://ojs.unud.ac.id/index.php/mtk/article/view/1664Value at Risk (VaR)Monte Carlo SimulationPortofolioHistorical data. |
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DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
WAYAN ARTHINI KOMANG DHARMAWAN LUH PUTU IDA HARINI |
spellingShingle |
WAYAN ARTHINI KOMANG DHARMAWAN LUH PUTU IDA HARINI PERHITUNGAN VaR PORTOFOLIO SAHAM MENGGUNAKAN DATA HISTORIS DAN DATA SIMULASI MONTE CARLO E-Jurnal Matematika Value at Risk (VaR) Monte Carlo Simulation Portofolio Historical data. |
author_facet |
WAYAN ARTHINI KOMANG DHARMAWAN LUH PUTU IDA HARINI |
author_sort |
WAYAN ARTHINI |
title |
PERHITUNGAN VaR PORTOFOLIO SAHAM MENGGUNAKAN DATA HISTORIS DAN DATA SIMULASI MONTE CARLO |
title_short |
PERHITUNGAN VaR PORTOFOLIO SAHAM MENGGUNAKAN DATA HISTORIS DAN DATA SIMULASI MONTE CARLO |
title_full |
PERHITUNGAN VaR PORTOFOLIO SAHAM MENGGUNAKAN DATA HISTORIS DAN DATA SIMULASI MONTE CARLO |
title_fullStr |
PERHITUNGAN VaR PORTOFOLIO SAHAM MENGGUNAKAN DATA HISTORIS DAN DATA SIMULASI MONTE CARLO |
title_full_unstemmed |
PERHITUNGAN VaR PORTOFOLIO SAHAM MENGGUNAKAN DATA HISTORIS DAN DATA SIMULASI MONTE CARLO |
title_sort |
perhitungan var portofolio saham menggunakan data historis dan data simulasi monte carlo |
publisher |
Universitas Udayana |
series |
E-Jurnal Matematika |
issn |
2303-1751 |
publishDate |
2012-09-01 |
description |
Value at Risk (VaR) is the maximum potential loss on a portfolio based on the probability at a certain time. In this research, portfolio VaR values calculated from historical data and Monte Carlo simulation data. Historical data is processed so as to obtain stock returns, variance, correlation coefficient, and variance-covariance matrix, then the method of Markowitz sought proportion of each stock fund, and portfolio risk and return portfolio. The data was then simulated by Monte Carlo simulation, Exact Monte Carlo Simulation and Expected Monte Carlo Simulation. Exact Monte Carlo simulation have same returns and standard deviation with historical data, while the Expected Monte Carlo Simulation satistic calculation similar to historical data. The results of this research is the portfolio VaR with time horizon T=1, T=10, T=22 and the confidence level of 95 %, values obtained VaR between historical data and Monte Carlo simulation data with the method exact and expected. Value of VaR from both Monte Carlo simulation is greater than VaR historical data. |
topic |
Value at Risk (VaR) Monte Carlo Simulation Portofolio Historical data. |
url |
https://ojs.unud.ac.id/index.php/mtk/article/view/1664 |
work_keys_str_mv |
AT wayanarthini perhitunganvarportofoliosahammenggunakandatahistorisdandatasimulasimontecarlo AT komangdharmawan perhitunganvarportofoliosahammenggunakandatahistorisdandatasimulasimontecarlo AT luhputuidaharini perhitunganvarportofoliosahammenggunakandatahistorisdandatasimulasimontecarlo |
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