Devni Prima Sari, Adika Risky Lestari
This study uses the mean-variance approach to design an optimal portfolio, using Downside Deviation as a risk metric. This approach prioritizes risk evaluation by considering the possibility of extreme outcomes before investing. Expected Shortfall (ES) calculates the average loss over Value at Risk (VaR). This study aims to determine the optimal portfolio, analyze the difference between Expected Shortfall (ES) and VaR at 90%, 95%, and 99% confidence levels, and identify significant portfolio losses. This study tests three stock selection approaches by analyzing data from LQ-45 stocks over two years (from January 1, 2022, to December 31, 2023). These methods include selecting companies with high predicted returns, low risk, and the largest average sales volume. The results show that the most profitable investment portfolio consists of low-risk stocks. The ES and VaR values show an upward trend as the confidence level increases, indicating increased risk and the need for greater capital to mitigate future losses. The portfolio return did not exceed the VaR at any confidence level during the period. Although ES did not experience significant losses, it is always important to be prepared for harsh market conditions. © 2025 Author(s).
Department of Mathematics, Universitas Negeri Padang, Padang, Indonesia
