HERSUGONDO, Hersugondo (2025) Artikel Dr. HERSUGONDO, SE, MM: Upper Bounds of Stock Portfolio Investment Risk Using Value at Risk (Case Study: Indonesian Blue-Chip Stocks in 2022). Iranian Economic Review,.

Text (Artikel) IER_Volume 29_Issue 3_Pages 794-818-Iran.pdf - Published Version Download (1MB)

Abstract

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.

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