OPTIMISASI PORTOFOLIO MENGGUNAKAN PENDEKATAN TELSER BERBASIS VALUE AT RISK

• Main Authors: , SASHA M PASUHUK, , Dr. Adhitya Ronnie Efendi, M.Sc
• 格式: Theses and Dissertations NonPeerReviewed
• 出版: [Yogyakarta] : Universitas Gadjah Mada 2014
• 主題: ETD
• 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

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