Author

Resmawan

Subject

- Sains

Abstract

Stock movements that follow a stochastic process move randomly at certain times, have led stock prices challenging to predict. For this reason, the Monte Carlo simulation method is used to get the possibilities of stock prices in the future. This case study focused on the shares listed on the Jakarta Islamic Index 70 in 2018, by simulating 10 times the daily closing price data, thus, the possible stock prices in 2019 were obtained. Portfolio optimization was then carried out using the Markowitz model approach from the predicted data. Based on the prediction data, there are 20 stocks have a positive expected return. The stocks that have the largest weight is ICBP.JK (Indofood CBP Sukses Makmur Tbk.) stocks, with 0.1396, while the stock with the smallest weight is INAF.JK (Indofarma (Persero) Tbk.) at 0.0053. Historical simulations calculate the Value a Risk of 20 stocks that provide optimal returns if investors invest Rp. 100,000,000.00 the maximum risk or loss that will be obtained is Rp. 2,910,410.00 for 1 year.

Publisher

Jurnal Statistika dan Aplikasinya

Contributor

Megawati Megawati; Resmawan Resmawan; Boby Rantow Payu; Amanda Adityaningrum

Publish

2022

Material Type

ARTIKEL

Right

-