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All Journal Syntax Literate: Jurnal Ilmiah Indonesia Eduvest - Journal of Universal Studies
Pria Anas, Eka
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Optimization of Bond Portfolio Using Risk Parity Analysis: Case Study on USD-Denominated Bonds Portfolio Hidayat, Reza; Pria Anas, Eka
Eduvest - Journal of Universal Studies Vol. 5 No. 10 (2025): Eduvest - Journal of Universal Studies
Publisher : Green Publisher Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59188/eduvest.v5i10.51299

Abstract

This study examines the performance of the risk parity approach in optimizing USD-denominated fixed income portfolios, particularly for institutional investors such as central banks. The research addresses limitations in the traditional Mean-Variance Optimization (MVO) method, which is highly sensitive to input data and prone to concentration risk. Risk parity, also known as Equally Weighted Risk Contribution (ERC), distributes risk evenly across assets without relying on expected return estimates, enhancing portfolio diversification. Using empirical data from 2014 to 2023, the study calculates risk contributions, constructs a covariance matrix, optimizes portfolio weights, and evaluates performance through the Sharpe ratio. The empirical findings reveal that although the MVO model achieved a slightly higher overall Sharpe ratio, the Risk Parity approach demonstrated superior stability and resilience across different market conditions, particularly during periods of high volatility such as the COVID-19 pandemic and post-pandemic financial tightening. These results suggest that Risk Parity, by emphasizing risk diversification over return forecasting, enhances portfolio robustness, making it an attractive strategy for conservative institutional investors focused on stability and capital preservation. The study highlights that portfolio optimization performance is context-dependent, with Risk Parity offering better protection in turbulent conditions, thereby supporting its broader adoption for risk-averse institutions in an increasingly uncertain global financial environment.
Economic Policy Uncertainty (EPU) dan Cash Holding Perusahaan di Negara Asia Tenggara Herdiana, Dita; Pria Anas, Eka
Syntax Literate Jurnal Ilmiah Indonesia
Publisher : Syntax Corporation

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.36418/syntax-literate.v10i7.59831

Abstract

Manajemen kas bertujuan untuk menjaga likuiditas jangka pendek, menekan biaya operasional harian, dan mengoptimalkan struktur modal dari suatu perusahaan. Strategi perushaaan untuk mengelola kas dipengaruhi oleh sejumlah faktor termasuk kebijakan yang dikeluarkan pemerintah seperti fiskal, moneter, dan sektoral. Studi menunjukkan bahwa perusahaan cenderung meningkatkan kas sebagai langkah antisipatif terhadap tingginya ketidakpastian kebijakan ekonomi. Konsep economic policy uncertainty (EPU) yang dibangun oleh Baker, Bloom, dan Davis (2015) telah menarik minat penelitian dalam literatur ekonomi dan keuangan, khususnya dalam menjelaskan dampak terhadap strategi dan pengambilan keputusan perusahaan. Penelitian ini bertujuan untuk menganalisis pengaruh EPU terhadap kebijakan kas perusahaan di Asia Tenggara. Dengan menggunakan data panel periode 2007–2024 dan metode regresi fixed effect, penelitian ini mengevaluasi hubungan antara EPU dan cash holding perusahaan yang terdaftar di lima negara: Indonesia, Singapura, Malaysia, Thailand, dan Vietnam. Hasil penelitian menunjukkan bahwa EPU berkorelasi positif dan signifikan terhadap cash holding di perusahaan di Asia Tenggara. Kemudian, variable pada tingkat perusahaan yang signifikan terhadap cash holding yaitu leverage dan profitabilitas. Hasil penelitian diharapkan dapat memberikan masukan bagi manajemen keuangan perusahaan dan pembuat kebijakan dalam merancang strategi keuangan perusahan di tengah meningkatnya ketidakpastian ekonomi.Kata Kunci: ketidakpastian kebijakan ekonomi (EPU), penyimpanan kas perusahaan, Asia Tenggara
Co-Authors Dita Herdiana Hidayat, Reza