Analisis Penerapan Risiko dalam Penyusunan Portofolio Optimal

نویسندگان

چکیده

Investment is one of the determining variables and has a positive effect on economic growth (GDP). Investing in stocks with large market capitalization will increase JKSE growth. IDX80 an index consisting 80 that have high liquidity, capitalization, good company fundamentals. This study aims to find combination meet criteria forming optimal portfolio based Markowitz model Single Index Model also best performance using Value at Risk. uses reports monthly stock price, JKSE, interest rates BI7DRR period February 2019–February 2022. The results show there are 17 form expected return 0.01882 variance value 0.002582 per month. While formed by produces six combination, 0.002243 0.003866 month, respectively. Based comparison Risk, better than because it highest return, risk, lowest possible loss, performance.

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ژورنال

عنوان ژورنال: Jurnal Ilmiah Akuntansi Kesatuan

سال: 2022

ISSN: ['2337-7852', '2721-3048']

DOI: https://doi.org/10.37641/jiakes.v10i3.1509