Authors:

WAYAN ARTHINI, KOMANG DHARMAWAN, LUH PUTU IDA HARINI

Abstract:

“Value at Risk (VaR) is the maximum potential loss on a portfolio based on the probability at a certain time. In this research, portfolio VaR values calculated from historical data and Monte Carlo simulation data. Historical data is processed so as to obtain stock returns, variance, correlation coefficient, and variance-covariance matrix, then the method of Markowitz sought proportion of each stock fund, and portfolio risk and return portfolio. The data was then simulated by Monte Carlo simulation, Exact Monte Carlo Simulation and Expected Monte Carlo Simulation. Exact Monte Carlo simulation have same returns and standard deviation with historical data, while the Expected Monte Carlo Simulation satistic calculation similar to historical data. The results of this research is the portfolio VaR with time horizon T=1, T=10, T=22 and the confidence level of 95 %, values obtained VaR between historical data and Monte Carlo simulation data with the method exact and expected. Value of VaR from both Monte Carlo simulation is greater than VaR historical data.”

Keywords

Keyword Not Available

Downloads:

Download data is not yet available.

References

References Not Available

PDF:

https://jurnal.harianregional.com/mtk/full-1664

Published

2012-09-12

How To Cite

ARTHINI, WAYAN; DHARMAWAN, KOMANG; IDA HARINI, LUH PUTU. PERHITUNGAN VaR PORTOFOLIO SAHAM MENGGUNAKAN DATA HISTORIS DAN DATA SIMULASI MONTE CARLO.E-Jurnal Matematika, [S.l.], sep. 2012. ISSN 2303-1751. Available at: https://jurnal.harianregional.com/mtk/id-1664. Date accessed: 28 Aug. 2025. doi:https://doi.org/10.24843/MTK.2012.v01.i01.p001.

Citation Format

ABNT, APA, BibTeX, CBE, EndNote - EndNote format (Macintosh & Windows), MLA, ProCite - RIS format (Macintosh & Windows), RefWorks, Reference Manager - RIS format (Windows only), Turabian

Issue

Volume 1, No 1, Tahun 2012

Section

Articles

Creative Commons License This work is licensed under a Creative Commons Attribution 4.0 International License