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Upper Bounds of Stock Portfolio Investment Risk Using Value at Risk (Case Study: Indonesian Blue-Chip Stocks in 2022) | ||
| Iranian Economic Review | ||
| مقاله 2، دوره 29، شماره 3، آذر 2025، صفحه 794-818 اصل مقاله (1.27 M) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22059/ier.2025.363614.1007781 | ||
| نویسندگان | ||
| Hersugondo Hersugondo* 1؛ Imam Ghozali2؛ Mohamad Nasir3؛ Trimono Trimono4؛ Idris Idris5 | ||
| 1Department of Management, Faculty of Economics and Busniness, Diponegoro University, Semarang, Indonesia | ||
| 2Department of Accounting, Faculty of Economics and Business, Diponegoro University, Semarang, Indonesia | ||
| 3Department of Accounting, Faculty of Economic and Business, Diponegoro University, Semarang, Indonesia. | ||
| 4Data Science Study Program, Faculty of Computer Science, Pembangunan Nasional Veteran Jawa Timur University, Surabaya, Indonesia. | ||
| 5Department of Management, Faculty of Economics and Business, Diponegoro University, Semarang, Indonesia | ||
| چکیده | ||
| In recent years, stocks become the most preferred asset by Indonesian investors. Besides offering large profits, stock investment also has a risk factor that can occur at any time. One way to minimize risk is to form a stock portfolio. This paper aims to measure the upper bounds of the portfolio loss risk formed by several single assets that are mutually dependent. The upper bound value is chosen because the exact value of portfolio loss risk is difficult to obtained by Convolution or Panjer Recursion methods. The main analysis of this research is formed the upper bounds of stock portfolio investment risk using VaR with Cornish Fisher Expansion aproach by utilized comonotonicity and convex order properties. The portofolio contains of 3 single asset (ARTO.JK, ITMG.JK, and MIKA.JK) which collected from IDX Indonesia from 10/25/21 to 10/21/22. The novelty of this research is combined comonotonicity and convex order properties with VaR-CFE to get upper bounds of portolio risk predicition. The result show that at 95% significance level and 1-day holding period, the upper bounds of VaR-CFE prediction for the portfolio is -0.1394. The social impact of this research can be a benchmark to get accurate risk prediction of their portfolio asset. | ||
| کلیدواژهها | ||
| Comonotonicity؛ Convex Order؛ Portfolio؛ Risk؛ Value at Risk-Cornis Fisher Expansion | ||
| مراجع | ||
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