Analisa Risiko Investasi Menggunakan Metode Value At Risk Dalam Pembentukan Portofolio Optimal Saham IDX30 Dengan Pendekatan Exponentially Weighted Moving Average (EWMA)

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Mega Prisanty
Ilman Mufid

Abstract

The objective of this research is to analyze the value of the estimated maximum risk of investment loss using the Value at Risk method in an optimal portfolio taken from IDX30 stocks with an Exponentially Weighted Moving Average (EWMA) approach. The research methodology used is a quantitative method with time series data and secondary data. The sampling technique is by taking stock return data for the 2017-2020 period. The data analysis technique used is statistical test by performing stationary data test, data descriptive test, normality test, and heteroscedasticity test, as well as probability and f-statistics to test data with 95% confidence level. The data that has been statistically tested will be processed using MS. Excel 365 to form an optimal portfolio. The results of this research indicate that the estimated risk value can be minimized even with a smaller expected return by diversifying stocks into an optimal portfolio.

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