PERHITUNGAN VaR PORTOFOLIO SAHAM MENGGUNAKAN DATA HISTORIS DAN DATA SIMULASI MONTE CARLO

  • WAYAN ARTHINI Universitas Udayana
  • KOMANG DHARMAWAN Universitas Udayana
  • LUH PUTU IDA HARINI Universitas Udayana

Abstract

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.

Author Biographies

WAYAN ARTHINI, Universitas Udayana
Jurusan Matematika, Fakultas MIPA
KOMANG DHARMAWAN, Universitas Udayana
Jurusan Matematika, Fakultas MIPA
LUH PUTU IDA HARINI, Universitas Udayana
Jurusan Matematika FMIPA
Published
2012-09-12
How to Cite
ARTHINI, WAYAN; DHARMAWAN, KOMANG; IDA HARINI, LUH PUTU. PERHITUNGAN VaR PORTOFOLIO SAHAM MENGGUNAKAN DATA HISTORIS DAN DATA SIMULASI MONTE CARLO. E-Jurnal Matematika, [S.l.], sep. 2012. ISSN 2303-1751. Available at: <https://ojs.unud.ac.id/index.php/mtk/article/view/1664>. Date accessed: 23 may 2019. doi: https://doi.org/10.24843/MTK.2012.v01.i01.p001.
Section
Articles

Keywords

Value at Risk (VaR); Monte Carlo Simulation; Portofolio; Historical data.