Pustaka Ilmiah Universitas Padjadjaran

Abstrak

Reward To Value-at-risk Sebagai Alat Pengukuran Kinerja Portofolio Investasi

Dalam paper ini dibahas masalah pengukuran kinerja portofolio berdasarkan ukuran risiko Value-at-Risk. Diasumsikan bahwa return saham yang dianalisis memiliki rata-rata dan volatilitas tak konstan. Rata-rata diestimasi menggunakan model-model autoregressive moving average, sedangkan volatilitas tak-konstan diestimasi menggunakan model-model generally autoregressive conditional heteroscedastic. Estimator rata-rata dan volatilitas tak konstan tersebut digunakan untuk analisis optimisasi portofolio investasi. Persoalan optimisasi portofolio disusun berdasarkan kerangka dasar model Mean – Value-at-Risk. Penyelesaian persoalan optimisasi portofolio dilakukan menggunakan teknik Lagrangian multiplier dan metode Kuhn-Tucker. Penilaian kinerja portofolio dilakukan berdasarkan Reward to Value-at-Risk. Penilaian kinerja portofolio tersebut selanjutnya digunakan untuk membandingkan kinerja dua buah portofolio yang dianalisis. Tujuannya adalah memilih portofolio yang memiliki kinerja lebih baik dibandingkan dengan portofolio lainnya. Sebagai studi kasus dianalisis portofolio investasi yang terdiri dari beberapa saham yang diperdagangkan di pasar modal Indonesia.

In this paper we discuss the problem of portfolio performance measurement based on the Value-at-Risk. It is assumed that the return of stocks which are analyzed had mean and nonconstant volatility. The mean estimated using models of autoregressive moving average, while non-constant volatility is estimated using models generally autoregressive conditional heteroscedastic. Estimator of the mean and the non-constant volatility are used for the analysis of investment portfolio optimization. Portfolio optimization problem based on the basic framework of model of Mean – Value-at-Risk. Settlement of portfolio optimization problem is done using the Lagrangian multiplier technique and the Kuhn-Tucker method. Assessment of portfolio performance is based on the Reward to Value-at-Risk. Portfolio performance assessment are then used to compare the performance of two portfolios are analyzed. The goal is to choose a portfolio that has a better performance compared with other portfolios. As a case study are analyzed the investment portfolio that consists of several stocks that are traded in the Indonesian capital market.