OPTIMISASI PORTOFOLIO MENGGUNAKAN PENDEKATAN TELSER BERBASIS VALUE AT RISK
To invest his money on a capital market, investor needs a portfolio optimization method. One of the portfolio optimization method was developed by Harry Markowitz (1952) called mean-variance optimization. This method using a standard deviation as a risk measure and it�s focusing on both upside and...
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| Main Authors: | , |
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| 格式: | Theses and Dissertations NonPeerReviewed |
| 出版: |
[Yogyakarta] : Universitas Gadjah Mada
2014
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| 主題: | |
| 在線閱讀: | https://repository.ugm.ac.id/129525/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=69917 |
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| 機構: | Universitas Gadjah Mada |
| 總結: | To invest his money on a capital market, investor needs a portfolio optimization
method. One of the portfolio optimization method was developed by Harry
Markowitz (1952) called mean-variance optimization. This method using a
standard deviation as a risk measure and it�s focusing on both upside and
downside risk. However, most of investors considered only downside risk as a
real risk. To fit investor�s perception another method had to be made. One of these
models, focusing on downside risk is the saftey first principle. Value at Risk
based Telser Approach is one of the portfolio optimization technique applying this
safety first principle. This method aimed to maximize expected return subject to
Value at Risk constraint. Value at Risk constraint is used to minimize the risk of
the portfolio. In the analysis, return assumed to be eliptically distributed. Under
this assumption, Telser optimization formula is constructed, which then gives
optimal weights for each asset as result. The case study presents portfolio
constraction using Telser approach, VaR Based Telser Approach, and meanvariance
optimization techniques consist of seven stocks listed in Indonesia Stock
Exchange i.e : CTRP, TLKM, MNCN, BBRI, LSIP, SMCB, and MEDC. Then,
those three methods are compared by using measure of portfolio performance i.e :
ammount of profit/ loss, rate of return, and Sharpe Ratio. As a result, VaR based
Telser portfolio optimization gives a good portfolio performance with the lowest
risk among those three methods. VaR Based Telser portfolio optimization is less
risky than Telser portfolio optimization, and it gives higher profit than meanvariance
method. So, VaR based Telser portfolio optimization is recommended
for investor |
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