OPTIMISASI POTENTIAL LOSS PORTOFOLIO SAHAM BLUE CHIPS SYARIAH DENGAN VALUE AT RISK

Penny Rahmah Fadhilah, Ananta Hagabean

Abstract


The importance of analyzing risk in an investment in order to provide information about the risks that investors will analyze before deciding to carry out their investment activities. In investing in the capital market, investors can form a stock portfolio with stock diversification, namely selecting stocks based on returns and risks and then forming an optimal portfolio of these stocks. The formation of a portfolio determines the assets that will be selected for investment and determines the proportion of the amount of funds that will be placed into the investment. The use of the VaR model will reflect how much loss that might occur if investors invest their funds into stock assets that have been selected based on blue chips shares. Determination of the sample in this study is the shares of sharia-based companies with the blue chip category taken from JII, JII 70 and ISSI. This study chose a time limit for observations from June 2018 to June 2019, which was then retested by validating the model. The results showed that the optimal portfolio of Islamic blue chips stocks after optimization has a smaller risk potential value than the risk of each stock in the VaR calculation. The results of this study can be used as a consideration for investors in determining investments in Islamic-based company stocks

Keywords


Optimization, Potential Loss, Sharia Blue Chip Shares, Value at risk

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DOI: https://doi.org/10.33476/jobs.v2i2.2050

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