DETERMINING VALUE AT RISK OF PORTFOLIO INVESTMENT THROUGH MONTE CARLO SIMULATION : A CASE STUDY OF RISK INVESTMENT MANAGEMENT AT

• Main Author: PARDOMUAN (NIM: 29110323) Pembimbing : Erman Sumirat, SE.AK, M.Buss., TAROMBO
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/19532
• Institution: Institut Teknologi Bandung

Optimization in economic investment are strategy to optimize economic resources derived from the company's capital. Optimizing the investment income by increasing the portion of investment in the risky asset will increase the return on the investment income with high risk. The asset allocation in investment depends on corporate policy. Time deposits as risk free asset were used as a source of financing claims, ranged from 20% - 40%. Risky asset such as mutual funds, bonds and stock has a portion 60-80% from the total investment. Portfolio investment in risky asset portfolio such as mutual fund 31%, bond 63% and stock 6%. The risky asset portfolio has good performance such as mutual fund give the return 10.59% and risk 11.19%, bond give the return 10.11% and risk 3.8%. On the other hand stock has poor performance which give the return -20.08% and risk 36.98%. The current portfolio investments make the return portfolio 8.08% and risk portfolio 13.42%. The modified current portfolio investment arranged by put risk free asset 10% and risky asset 90%. The result of modified current portfolio investment has moderate performance with the return portfolio 8.26% and risk portfolio 15.12%. Value at risk measures the potential loss in value of a risky asset or portfolio over a defined period for a given confidence interval. Based on calculation through Monte Carlo Simulation stock has VaR 11.04%, bond 11.50%, and mutual fund 18.46% with confidence level 95%. Maximizing portfolio investment value can be done with rearrangement asset allocation. The result from optquest simulation creates maximal portfolio value with return of stock portfolio 15.14% and value at risk 26.53% then return mutual fund portfolio 50.40% and value at risk 24.03%.