Value at Risk in the Formation of Optimal Portfolio on Sharia-Based Stocks
Asrid Juniar1, Zainab Rahmi2, Rini Rahmawati3, Isti Fadah4
1Asrid Juniar*, Student of Ph.D Program in Faculty Economics and Business University of Jember, Jember, Indonesia and Lecturer of Faculty Economics and Business, Lambung Mangkurat University, Banjarmasin, Indonesia.
2Zainab Rahmi, Faculty Economics and Business, Lambung Mangkurat University, Banjarmasin, Indonesia.
3Rini Rahmawati, Student of Ph.D Program in Faculty Economics and Business University of Jember, Jember, Indonesia and Lecturer of Faculty Economics and Business, Lambung Mangkurat University, Banjarmasin, Indonesia.
4Isti Fadah, Lecturer of Ph.D Program in Faculty Economics and Business University of Jember, Jember, Indonesia.
Manuscript received on January 02, 2020. | Revised Manuscript received on January 15, 2020. | Manuscript published on January 30, 2020. | PP: 1198-1203 | Volume-8 Issue-5, January 2020. | Retrieval Number: E5750018520/2020©BEIESP | DOI: 10.35940/ijrte.E5750.018520
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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Abstract: This study aims to formation an optimal portfolio and find out the value of Risk at Sharia-based stocks in the Jakarta Islamic Index. Risk is one of the important things that must be considered by investors to invest. In this case, risk can be minimized by diversification (portfolio). Based on the research period from June 2015 to November 2017 there were 39 companies that became the study population, while the number of companies that were sampled as many as 10 companies were taken by purposive sampling technique with criteria always consistent in the list of Jakarta Islamic Index during the observation period, consistently having a return positive expectations and have stock price movements. The data analysis technique for optimal portfolio formation uses the Markowitz model and is carried out to obtain certain returns with the lowest risk level and to find out the proportion of funds in each share included in the optimal portfolio. The results of data analysis on portfolio formation are then simulated by measuring Value at Risk with the Monte Carlo model. Measurement of Value at Risk with the Monte Carlo model uses stock return data. This study uses a significance level of 90%, 95% and 99% and uses three time horizons, namely 1 day, 1 week and 1 month. The results of this study indicate that there are eight stocks included in the optimal portfolio with the optimal proportion of funds owned by TLKM and UNVR stocks, each at 25%. The highest at Value at Risk in each stocks at 99% confidence level is from ADRO stocks, namely -7.24% at 1 day time horizon, -18.98% at 1 week time horizon and -39.17% at time horizon 1 month. While the Value at Risk in the portfolio is smaller than the Value at Risk for each stock and is expected not to exceed -0.43% and this is in accordance with the purpose of establishing a portfolio that is to minimize investment risk.
Keywords: Value at Risk, Monte Carlo Model, Portfolio, Sharia-Based Stocks.
Scope of the Article: Agent-Based Learning And Knowledge Discovery.