GLUE VALUE AT RISK UNTUK MENGUKUR RISIKO PADA PORTOFOLIO OPTIMAL DENGAN METODE MULTI INDEX MODEL

Nur Khofifah (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Agus Rusgiyono (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)
Di Asih I Maruddani (Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro)

Jurnal Gaussian
Vol 12, No 1 (2023): Jurnal Gaussian

Creating a portfolio is one method of reducing risk. One of the best portfolio decisions is made by Multi Index Model. Multi Index Model is a method that makes use of multiple variables that impact stock returns. Before making an investment, risk measurement must be considered. Calculation of risk on a portfolio will be more accurate if it is calculated using Glue Value at Risk, because it satisfies the property of subadditivity, which is one of the coherence properties of a risk measure that reflects the idea that risk can reduce by diversification. The stocks used in this study are 4 stocks that are members of SRI-KEHATI stock group in the period January 2017 – December 2021. The factors used are Composite Stock Price Index (JCI), and Rupiah to USD exchange rate. According to the study's findings, the best portfolio consist of four stocks: BBRI (Bank Rakyat Indonesia Tbk.) (17.82%), KLBF (Kalbe Farma Tbk.) (56.66%), UNTR (United Tractors Tbk.) (24.13%), and WIKA (Wijaya Karya Tbk.) (1.39%). The confidence levels of  and , the distortion function height is  and  are used, the GlueVaR value for the stock portfolio is 10.476%.