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All Journal MATEMATIKA Prosiding PESAT JURNAL DERIVAT: JURNAL MATEMATIKA DAN PENDIDIKAN MATEMATIKA Jurnal technoscientia JURNAL TEKNOLOGI TECHNOSCIENTIA
Noviana Pratiwi, Noviana
Jurusan Akuntansi, Fakultas Ekonomi, Universitas Gunadarma
Chemical Engineering, Chemistry & Bioengineering Computer Science & IT Earth & Planetary Sciences Education Engineering Industrial & Manufacturing Engineering Materials Science & Nanotechnology Mathematics Mechanical Engineering

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Journal : JURNAL DERIVAT: JURNAL MATEMATIKA DAN PENDIDIKAN MATEMATIKA

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Analisis Nilai Risiko Portofolio Optimum Pada Reksadana Campuran Dengan Pendekatan EWMA Pratiwi, Noviana
Jurnal Derivat: Jurnal Matematika dan Pendidikan Matematika Vol 4, No 1 (2017): Jurnal Derivat (Juli 2017)
Publisher : Pendidikan Matematika Universitas PGRI Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (882.841 KB) | DOI: 10.31316/j.derivat.v4i1.159

Abstract

Value at Risk (VaR) is one of the risk measurement techniques and is considered a standard method of measuring risk. EWMA is one method to find standard deviation value of Conditional Variance which used to calculate the VaR. Investors use VaR to determine the risk level. VaR defined as the estimated loss of portfolio with a certain level of confidence. A portfolio composed of several mixed mutual funds. Of the four mutual funds only two mutual funds that can be arranged to get an optimum portfolio, 20% of mutual funds Kresna Flexima and 80% Nikko BUMN Plus. Portfolio VaR is calculated by EWMA method because it found the existence of conditional Variance. With a 95% level of trust and decay factor in accordance with the proposed risk metrics of 0.94 for daily data than obtained the VaR value of 0.26221011. This means that the maximum losses that may be received by investors amounted to 26.22% if investors invest in assets recommended by the optimal portfolio. This level of risk will be used by investors to control investment risk. Keyword: VaR, EWMA, Portofolio Optimum, Reksadana
Co-Authors -, Noeryanti Aqilah Shalihatulhayah, Aqilah Catur Iswahyudi Dewi Mayasari M.Pd S.T. S.Pd. I Gde Wawan Sudatha .