Zahara Tussoleha Rony, Riny Jefri, Ana Rusmardiana, Susatyo Adhi Pramono, Zokir Mamadiyarov
This study employs Monte Carlo simulation methods to assess the Value at Risk (VaR) for two major Indonesian companies from different economic sectors: PT Asuransi Bina Dana Arta Tbk (ABDA) from the insurance sector and PT ABM Investama Tbk (ABMI) from the mining and energy sector. Using daily return data from December 2023 to November 2024, we analyze the risk profiles of these stocks individually and as portfolio components. Results reveal contrasting return-risk characteristics, with ABDA showing a negative expected return (-0.15%) and lower volatility (standard deviation of 1.12%), while ABMI exhibits a positive expected return (0.07%) with higher volatility (2.06%). Despite its lower standard deviation, ABDA demonstrates higher VaR values across all confidence levels, with a 95% one-day VaR of-2.04% compared to ABMI's-1.77%. A 40%/60% ABDA/ABMI portfolio achieves significant diversification benefits, with a standard deviation of 1.02% (lower than both individual stocks) and an improved VaR of-1.54%, representing risk reductions of 24.5% compared to ABDA and 13% compared to ABMI. For a hypothetical investment of IDR 100 million, these translate to reduced potential daily losses of IDR 508,258 and IDR 233,504 respectively. The findings highlight that effective diversification can be achieved through cross-sector allocation in the Indonesian market, even with a simple two-stock portfolio. This research contributes practical insights for investors seeking exposure to Indonesia's diverse economic sectors while managing downside risk through strategic cross-sector portfolio construction. © 2025, PT Mattawang Mediatama Solution. All rights reserved.
Universitas Bhayangkara Jakarta Raya, Jakarta, Indonesia; Universitas Negeri Makassar, Makassar, 90223, Indonesia; Universitas Indraprasta PGRI, Jakarta, Indonesia; Universitas Wijayakusuma Purwokerto, Purwokerto, Indonesia; Department of Economics, Mamun University, Khiva, Uzbekistan; Termez University of Economics and Service, Termez, Uzbekistan; Alfraganus University, Tashkent, Uzbekistan
