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Journal : International Journal of Quantitative Research and Modeling

Analysis The Effect Of Volatility On Potential Losses Mutual Fund Investments Using The ES-GARCH Method Pamungkas, Abram Chandra Aji; Subartini, Betty; Susanti, Dwi
International Journal of Quantitative Research and Modeling Vol 5, No 3 (2024)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v%vi%i.594

Abstract

Investing in mutual funds has become a popular choice for investor who looking to participate in the capital markets with more diversified risk. However, the success of mutual fund investments depends on investors understanding the potential losses and opportunities that may arise during the investment period. Analyzing the risk of mutual fund investments is fundamental in helping investors comprehend potential losses. Therefore, research is conducted to understand potential losses by estimating asset price volatility and determining the maximum possible losses. The Expected Shortfall (ES) method proves useful in measuring downside risk and extreme loss potential in investments, but it is less effective in addressing nonlinear trends and the complexity of volatility patterns. Hence, a combination of the Expected Shortfall (ES) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) methods is employed to measure the risk of mutual fund investments. The research findings indicate that volatility has a positive impact on Value at Risk (VaR), and the potential maximum losses (ES) increase with higher volatility, indicating a greater risk.
Investment Portfolio Optimization Using Ant Colony Optimization (ACO) Based on Fama-French Three Factor Model on IDX High Dividend 20 Stocks Maharani, Asthie Zaskia; Susanti, Dwi; Riaman, Riaman
International Journal of Quantitative Research and Modeling Vol 6, No 2 (2025)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v6i2.978

Abstract

Stock investment is one of the investment options that provides both profit and risk for investors. In an effort to maximize profits and minimize risks, investors need an optimal portfolio. The optimal portfolio is a portfolio selected from a collection of efficient portfolios. To form an optimal portfolio, this study combines the Fama-French Three Factor Model (FF3FM) for stock selection and Ant Colony Optimization (ACO) for stock weight optimization in the portfolio. FF3FM considers more factors resulting in more comprehensive stock selection than other methods. While ACO has the ability to explore the solution space widely and efficiently, minimizing the risk of getting stuck on a local solution. The performance of the optimal portfolio is measured using the Sharpe Ratio which considers total risk, thus providing an overview of overall investment efficiency. The research object used is quarterly stock data on IDX High Dividend 20 from the Indonesia Stock Exchange (IDX) for the period 2020-2023. Of the 20 stocks, 12 stocks were selected that were consistently included in the index during the 2020-2023 period. By selecting stocks using the FF3FM method, 10 efficient stocks were selected, namely ADRO, ASII, BBCA, BBNI, BBRI, INDF, ITMG, PTBA, TLKM, and UNTR. Portfolio optimization using ACO produces a portfolio return of 0.0473 and a risk of 0.0257 with the weight of each ADRO stock of 6.90%, BBCA of 17.24%, BBNI of 10.34%, BBRI of 27.59%, INDF of 3.45%, ITMG of 27.59%, TLKM of 3.45%, and UNTR of 3.45%. The results showed that the integration of FF3FM and ACO was able to form a portfolio with optimal performance with a Sharpe Ratio value of 1.41868, which means that the portfolio return is greater than the portfolio risk.
IDX30 Stock Portfolio Optimization Using Genetic Algorithm Based on Capital Asset Pricing Model Rahmadhisa, Nayra Pavita; Susanti, Dwi; Subartini, Betty
International Journal of Quantitative Research and Modeling Vol 6, No 2 (2025)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v6i2.981

Abstract

The stock market plays a vital role in supporting economic growth by serving as a primary channel for companies to raise capital and for investors to gain profits through long-term investments. In practice, one of the biggest challenges for investors is identifying which stocks are worth purchasing and how to allocate their funds optimally. One commonly used approach to evaluate stock feasibility is the Capital Asset Pricing Model (CAPM), which helps identify undervalued and overvalued stocks based on the relationship between systematic risk and expected return. Additionally, it is necessary to determine the optimal investment weight allocation. Therefore, this study combines the CAPM method for stock selection and Genetic Algorithm, a metaheuristic approach capable of finding optimal solutions in complex problems, to determine the optimal portfolio weight composition. The object of this study includes stocks listed in the IDX30 index during the period from February 2021 to November 2023. The results show that five stocks—ADRO, BBCA, BBNI, KLBF, and TLKM—are classified as undervalued according to the CAPM method and are recommended for inclusion in the optimal portfolio. Portfolio optimization using the Genetic Algorithm results in the following stock weight composition: ADRO 26.55%, BBCA 36.20%, BBNI 9.09%, KLBF 12.20%, and TLKM 15.96%, with a Sharpe Ratio of 4.043906. The expected return and risk of the optimal portfolio are 0.00067373 and 0.00012407, respectively.
Co-Authors A. Handjoko Permana Abdul Rahman Abi Suwito Abul Hasani, Rofi Adhy Firdaus Afif, Farid Agung Sosiawan Agustin, Rekha Yulia Ahmad Muhammad Fuadi, Ahmad Muhammad Aini, Fadhilah Ainul Fitri, Zaida Airohmah, Yesi Al Banna, Muhammad Hasan Alisa, Nur Alkhoroni, Panji Ambarita, Charles Fransiskus Andayani, Nyoman Etika Andayani, Sri Astutik Andi Taufiq Umar Andiyani, Intan Andriani, Cindy anggi prantika, Sindi Anggraini, Meylinda Anjan, Aulia Annisa, Nenden Nur Aprila, Nur Amalia Aprilawati, Dwi Apriliani, Nanda Putri Ardiansyah, Galang Arifandi, Yoga Akbar Aristina, Renny Armyne, Amara Destania Astuti, Wella Atika Atika Ayu, Diana Puspita Az Zahra, Dita Aulia Badi’ah, Atik Baihaqi, Rifky Ahmad Barus, Febriana Krisdayanti Betty Subartini Bima, Ralvinzah Cahya Satriya Budhi Mustika, I Made Budiawan , Muhammad Ardi Budiawan, Muhammad Ardi Buferianto, M Razi Christantie Effendy Dari, Tri Ulan Davin, Samuel Dewanti, Anggita Annisa Wahyu Dewi Chusniasih Dewi Silaban, Eni Priska Dewi, Tiara Nilawati Dian Kristiana Diana Lestari, Diana Diandra Rizki Isrohmaniar Dias Utami, Khristin Dwi Yati Dwihantoro, Prihatin Dzaki, Fikra Fadhillah Eka Yulianti ekawati Elsyana, Vida Endah Meilana Endah Puji Astuti, Endah Puji Enjelia, Lisa Ernawati Ernawati Ervana, Lina Esmar Budi EVELYN EVELYN Fadila, Vivin Dwi Fakhira, Avisha Farha, Saniya Fatah, Rizki Amelia Febrianti Femei Purnamasari, Femei Fira, Dilli Salsa Firmansyah, Frenza Fairuz Firmanul Catur Wibowo Fitriana, Deva Rizkia Fitriani, Dinda Ismi Florentina Sustini Fredinan Yulianda Gatra, Anggel Alba Ghufron, David Maulana Gunawan Santoso Hadi Nasbey Halim, Nurfadhlina Binti Abdul Haliza, Nur Hamid, Hariaty Handayani, Afifa Dwi Haris Suhendar Hasan, Ferisa Nuriasyifa Hasyim, Diah Mukminatul Haya, Aqella Fadya Herbanu, Aldi Herlina Herlina Napitupulu Hermansyah Hermansyah Hermansyah Hidayah, Najwa Nur Hidayanto, Agung Ridwan Husnul Khotimah Hutapea, Yohana Vita Melodi Hutasoit, Masta Ida Nursanti Ikramina, Mahreshaibati Bilqis Inah Indirayani, Triana Junnatul Azizah, Maulidiyah Khairi, M. Ihsan Khairiah Khairiah Khira, Nafisa Khristina Dias Utami Khumaira, Aimena Salma Kunarfian, Krisna Artur Labibah, Asy Syifa Labitta, Kirana Fara Latifah Susilowati Liauwnardo, Albertus Alarik Linda Yanti Lintang Muliawanti Lubis, Rita Mahdalena Luhtitisari, Aurelia Rahma Niken Lukita, Salsabila Arum Lutfiyati, Afi Mahaputra, A. V. Maharani, Asthie Zaskia Maharsi, Retno Manggar Sari, Arlyn Maraya, Nisrina Salsabila Marcellia, Selvi Marpaung, Maynisa Naomi Matondang, Khairani Maulana, Slamet Maulidiyah, Nurul Miftahorrozi, Miftahorrozi Muh Fauzi, Muh Muh Iqbal Muhammad Halim, Muhammad Muslichah Muslichah Nafisah, Najmah Nelly Astuti Ningsih, Jayanti Eka Sari Ningsih, Mulati Nofita, Nofita Noviantari, Ika Noviyanti, Fadhila Nugraha, Dwita Safira Nuradiyah, Fanny Nurhasanah Nurhasanah Nurhasanah, Gina Nurika, Marlinda Nursamira, Nursamira Octavia, Selvia Oktavia, Aisya Billa Chery Oktavia Ola, Sania Latek Pamungkas, Abram Chandra Aji Pardede, Ester Pendeko, Pendeko Perangin angin, Martianus Praditya, Miftakhul Wahyu Ragil Pramita, Anggi Pranaya, Azhraa Qinan Primadiamanti, Annisa Pudji Lestari Purnamaningsih, Nur Aini Purwono Hendradi Puspamaniar, Vania Ayu Putri Amalia Putri Utami, Desi Putri Utami, Desi Putri, Melita Regina Putri, Ria Desta R, Nurmala Rafli Filano Rahadi, Fabiyan Rahma, Indah Eliza Rahmadhisa, Nayra Pavita Rahmatullah, Ivan RAHMAWATI, SEPTI Rahmayanti, Arini Rai Saputri, Gusti Ayu Ramadhana, Ramadhana Ramadhani, Herlina Ramadhani, Muhammad Raufa, Raufa Reni Merta Kusuma Reny Wijayanti Resfita, Nova Restinah, Anjar Retnaningsih, Agustina Retno Asih Setyoningrum Retno Mawarti, Retno Revanti, Anggun Triana Riaman Riaman Rosdiana, Anggita Cahya RR. Ella Evrita Hestiandari Rusdiani, Nurtina Irsad S, Septi Nurhaliza Sabrina, Putri Marsha Safitri, Nita Dwi Safitri, Rahmawati Sagita, Putri Dwi Sagitawening, Hardhini Saksana, Joned C. SANI SUSANTI Saputra, Jumadil Saputri, Gusti Ayu Rai Satiti, Ainur Rafiqah Sayekti, Tyaswara Endah Setyabudi, Rendy Siagian, Irma Siburian, Claranita Silferia, Silferia Silvia Ari Agustina Sinaga, Primawati Siti Fatimah Soetadi Waskito Sonefisal, Seiswondyshu Hannoudzaky SRI SETIYARINI, SRI Sri Untari Suatin, Ricka Milla Suci, Rilensya Rahma Sugiono, Muhamad Suhandoyo, Tri Sukono Sukono Sukono, Sokono Sumiati Sumiati Sunarsih, Eka Suranto Suranto Surantoro Surantoro Suratno Surtini, Surtini Susanti, Yuli Eri Susanto Susanto Suwarno Suwarno Swannjo, Julian Benedict Syahara, Tjut Afrieda Syahla, Raynita Syarifah, Indi Mazaya Targanski, Constantia Lidwina Teguh Budi Prayitno Tresnaningtyas, Sekar Asri Tunggadewi, Amelia Amanda Tutik Tutik Ulfa, Ade Maria Upik Rahma Fitri, Upik Rahma Utami, Kristina Dias Utomo, Aulia Putri Verrany, Maria Jatu Vina Serevina Wachyuni, Mhella Nia Wahyuni, Anis Wan Asrida Wardani, Salsabilla Ardhi Wardhani, Salsabilla Ardi Warih Angesti P, Warih Angesti Widia Rahayu, Setia Widyawati, Eka Windayani, Wulan Tri Wiryono, Karfadimas Bima Putra Yanita Trisetiyaningsih, Yanita Yati, Dwi Yati, Dwi Yudhy Dharmawan Yulistianingsih, Desti Yundari, Yundari Yunita, Arum Yusticia, Ica Zahrani, Andieta Zulfikar Bagus Pambuko