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All Journal Jurnal Pertanian Terpadu AGRISAINTIFIKA Jurnal Ilmu-ilmu Pertanian JEPA (Jurnal Ekonomi Pertanian dan Agribisnis) JASc (Journal of Agribusiness Sciences) Agrin : Jurnal Penelitian Pertanian JURNAL AGRIBISAINS Journal of Agribusiness and Community Empowerment (JACE) JOURNAL OF SCIENCE AND SOCIAL RESEARCH ZIRAA'AH MAJALAH ILMIAH PERTANIAN Jurnal Triton Stock Peternakan Journal Of Human And Education (JAHE) Journal of Trends Economics and Accounting Research Jurnal Pengabdian Masyarakat Bidang Sosial dan Humaniora Agrivet: Jurnal Ilmu-ilmu Pertanian dan Peternakan Journal of Agriculture (JoA) Jurnal Pengabdian Masyarakat Bhinneka Jurnal Karya Abdi Masyarakat JIA (Jurnal Ilmiah Agribisnis) : Jurnal Agribisnis dan Ilmu Sosial Ekonomi Pertanian Jurnal AGRISEP: Kajian Masalah Sosial Ekonomi Pertanian dan Agribisnis
Arnayulis, Arnayulis
Politeknik Pertanian Negeri Payakumbuh
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Value at Risk and Markowitz Portfolio Optimization in Agricultural Sector Stocks Vicka Pramudya Putra; Roni Afrizal; Arnayulis Arnayulis; Azzukhruf Ariliusra
Journal of Agriculture Vol. 5 No. 02 (2026): Call for Papers July 2026
Publisher : ITScience (Information Technology and Science)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47709/joa.v5i02.8914

Abstract

This study examines market risk in agricultural sector stocks listed on the Indonesia Stock Exchange (IDX) using the Value at Risk (VaR) approach based on historical simulation, both at the individual stock level and at the portfolio level. The data employed consist of daily closing price time series from January 2025 to December 2025, covering AALI, NSSS, TAPG, and SMAR. The estimation of portfolio VaR was preceded by the calculation of returns, expected returns, variances, standard deviations, and the variance–covariance matrix, which were subsequently utilized to construct the optimal portfolio under the Markowitz mean–variance framework. VaR was then measured at confidence levels of 90%, 95%, and 99%, assuming an initial investment value of IDR 1,000,000. The findings indicate that individual stock VaR increases as the confidence level rises, suggesting the presence of tail risk in the return distribution over the observation period. TAPG and NSSS consistently exhibit the highest VaR values, whereas AALI demonstrates relatively lower risk at the 90% and 95% confidence levels. The optimal portfolio comprises NSSS (59.49%), TAPG (28.27%), and SMAR (12.24%), yielding an expected portfolio return of 0.43% and a risk level (standard deviation) of 0.01899. The portfolio VaR is lower than that of the highest-risk individual stocks across the 90% and 95% confidence levels, underscoring the role of diversification and optimal weighting in mitigating downside risk.
Co-Authors Alfikri Alfikri, Alfikri Ana Tasya Rahima Ariliusra, Azzukhruf Atifa, Saydatul Azzukhruf Ariliusra Azzukhruf Ariliusra Azzukhruf Ariliusra Azzukhruf Ariliusra Darnetti Darnetti Dwi Raharjo DWI RAHARJO Elita, Nelson Fahriansyah, Fahriansah Fazera, Angela Harahap, Heri Faisal Hendri, Putri Hani Heri Faisal Harahap Hidayat, Luthfy Ibnusina, Fedri Indah Larasati Hasibuan Indria Ukrita Indria Ukrita John Nefri John Nefri John Nefri John Nefri Kumbara Kumbara Mardi Satria Rahman Mega Amelia Putri, Mega Amelia Muhammad Irsyad Syaifulloh Akmal Nefri, John Nofrianil, Nofrianil Pramudya Putra, Vicka Putri, Indri Wahyu Rahma Nofria Roni Afrizal Roni Afrizal Roni Afrizal Roni Afrizal Roni Afrizal Safitri, Dena Sari, Fahyuni Asdiva Silfia Silfia, Silfia Syaima Lailatul Mubarokah Triana Guspita Sari Trifebriana, Indah Ukrita, Indria Veronice Azzukhruf Ariliusra Vicka Pramudya Putra Wulan Mustika Yelfiarita, Yelfiarita