IDEAS home Printed from https://ideas.repec.org/a/uii/jsbuii/v11y2006i1id410.html
   My bibliography  Save this article

VAR Portfolio Optimal: Perbandingan Antara Metode Markowitz dan Mean Absolute Deviation

Author

Listed:
  • R. Agus Sartono
  • Arie Andika Setiawan

Abstract

Portfolio selection method which have been introduced by Harry Markowitz (1952) used variance or deviation standard as a measure of risk. Kanno and Yamazaki (1991) introduced another method and used mean absolute deviation as a measure of risk instead of variance. The Value-at Risk (VaR) is a relatively new method to capitalized risk that been used by financial institutions. The aim of this research is compare between mean variance and mean absolute deviation of two portfolios. Next, we attempt to assess the VaR of two portfolios using delta normal method and historical simulation. We use the secondary data from the Jakarta Stock Exchange – LQ45 during 2003. We find that there is a weak-positive correlation between deviation standard and return in both portfolios. The VaR nolmal delta based on mean absolute deviation method eventually is higher than the VaR normal delta based on mean variance method. However, based on the historical simulation the VaR of two methods is statistically insignificant. Thus, the deviation standard is sufficient measures of portfolio risk.Keywords: optimalisasi portofolio, mean-variance, mean-absolute deviation, value-at-risk, metode delta normal, metode simulasi historis

Suggested Citation

  • R. Agus Sartono & Arie Andika Setiawan, 2006. "VAR Portfolio Optimal: Perbandingan Antara Metode Markowitz dan Mean Absolute Deviation," Jurnal Siasat Bisnis, Management Development Centre (MDC) Department of Management, Faculty of Business and Economics Universitas Islam Indonesia, vol. 11(1).
    • Handle: RePEc:uii:jsbuii:v:11:y:2006:i:1:id:410
    as

    Download full text from publisher

    File URL: https://journal.uii.ac.id/JSB/article/view/410/325
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uii:jsbuii:v:11:y:2006:i:1:id:410. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ana Yuliani (email available below). General contact details of provider: https://journal.uii.ac.id/JSB/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.