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All Journal CAUCHY: Jurnal Matematika Murni dan Aplikasi Operations Research: International Conference Series International Journal of Quantitative Research and Modeling International Journal of Humanities, Law, and Politics International Journal of Linguistics, Communication, and Broadcasting
Haq, Fadiah Hasna Nadiatul
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Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Engineering Environmental Science Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Mathematics Physics Social Sciences

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Journal : Operations Research: International Conference Series

 1 
Exploring Investment Decision-Making with CAPM: Case Studies on Ten Raw Materials Companies Listed in Stock Exchange Haq, Fadiah Hasna Nadiatul; Sukono, Sukono
Operations Research: International Conference Series Vol. 5 No. 1 (2024): Operations Research International Conference Series (ORICS), March 2024
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v5i1.294

Abstract

The investment business in Indonesia experienced significant growth in line with the increasing stock trading activity in the capital market. The large number of capital markets in Indonesia means investors have to be careful in determining the shares to be chosen. Based on transaction value, the raw materials sector is the second largest sector that supports the Indonesian capital market. Given the large number of issuers in the raw materials sector, determining investment portfolios is important to obtain optimal results. CAPM can classify stocks as efficient or not based on their expected return value. The results obtained can be used as a consideration in portfolio decision-making. This research identifies 10 stocks in the raw materials sector listed on the IDX. Of the 10 stocks studied, 8 are included in the efficient category, which has a greater return than expected, and 2 are included in the inefficient category. This means that investors who want to invest in raw materials can make a decision to buy these 8 stocks, and it is not recommended to buy shares in 2 inefficient category stocks or sell 2 stocks.
Implementing the Variance-Covariance Method for Assessing Market Transaction Risks in Raw Material Sector Stocks Kisti, Vuji Annisa; Haq, Fadiah Hasna Nadiatul; Hidayana, Rizki Apriva
Operations Research: International Conference Series Vol. 5 No. 2 (2024): Operations Research International Conference Series (ORICS), June 2024
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v5i2.310

Abstract

The capital market plays a crucial role in supporting a country's economic growth. Besides being a funding source, the capital market also serves as an investment avenue for investors, particularly through stocks. Every investor must be willing to bear risks in line with their targeted returns. Risk is defined as the uncertainty of future outcomes due to market condition changes, and VaR (Value at Risk) is used to determine the tolerated loss at a certain confidence level. This study discusses the application of the Value at Risk (VaR) method using the Variance-Covariance approach to mitigate market risks in the portfolio of raw material sector stocks. The study focuses on two raw material sector stocks in Indonesia, assuming a normal distribution of asset price changes. The measurement results indicate that with an investment of Rp. 100,000,000.00, a 95% confidence level, and a 1-day period, the VaR of the portfolio of these five stocks is Rp. 2,769,750.00. This research provides critical insights to assist investors in understanding and managing portfolio risks, making VaR a key indicator to measure potential future risks and laying the foundation for decision-making in risk management.
Co-Authors Anita Triska Audina, Yurid Diah Chaerani Hidayana, Rizki Apriva kalfin Kalfin Kisti, Vuji Annisa Lianingsih, Nestia Sidiq, Fahmi Suhaimi, Nurnisaa binti Abdullah Sukono Sukono Vimelia, Willen