Optimal Portfolio Value at Risk Using Monte Carlo Simulation on the LQ45 Index Post-Covid-19
DOI:
https://doi.org/10.24252/msa.v14i1.61254Keywords:
Monte Carlo, Value at Risk, Single Index, LQ45, Sharpee IndexAbstract
The LQ45 Index comprises 45 leading stocks on the Indonesia Stock Exchange (IDX), selected for high liquidity, large market capitalization, and strong fundamentals. Constructing an efficient portfolio is crucial for risk minimization through diversification. This study aims to form an optimal stock portfolio from the LQ45 index and estimate the maximum tolerable risk, or Value at Risk (VaR). The Single Index Model forms and validates the optimal portfolio via the Sharpe index, while Monte Carlo simulation measures VaR. This research contributes to the post-COVID-19 VaR literature by integrating portfolio optimization and risk measurement, tailored to Indonesia's market recovery. The data consists of weekly closing prices from January 1, 2022, to October 31, 2024. Market returns are based on the IHSG, and risk-free rates are derived from average SBI rates. From the initial 45 stocks, five form the optimal portfolio: Alamtri Resources Indonesia Tbk. (ADRO), Bank Rakyat Indonesia (Persero) Tbk. (BBRI), Medco Energi Internasional Tbk. (MEDC), Perusahaan Gas Negara Tbk. (PGAS), and United Tractors Tbk. (UNTR). This portfolio has an expected weekly return of 0.53\%. A Monte Carlo simulation with 1000 iterations generates the return distribution. With an initial investment of Rp 100,000,000, the one-week VaR at a 95\% confidence level is Rp 5,148,779.98. This indicates a 95\% confidence that the maximum weekly loss will not exceed this amount.
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