Vol 20 No 2 (2026): BAREKENG: Journal of Mathematics and Its Application
Articles

USE OF GLUE VALUE AT RISK FOR OPTIMAL PORTFOLIO RISK MEASUREMENT WITH THE SINGLE INDEX MODEL METHOD

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  • Turnika Afdatul Rafni,
  • Dina Agustina
Turnika Afdatul Rafni
Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Negeri Padang, Indonesia
Dina Agustina
Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Negeri Padang, Indonesia
DOI: https://doi.org/10.30598/barekengvol20iss2pp1251-1262
Published January 26, 2026
Keywords
  • Backtesting,
  • Glue Value at Risk,
  • IDX30,
  • Investment,
  • Single Index Model,
  • Stocks
    • ...More
    Less
How to Cite
[1]
T. A. Rafni and D. Agustina, “USE OF GLUE VALUE AT RISK FOR OPTIMAL PORTFOLIO RISK MEASUREMENT WITH THE SINGLE INDEX MODEL METHOD”, BAREKENG: J. Math. & App., vol. 20, no. 2, pp. 1251-1262, Jan. 2026.

Copyright (c) 2026 Turnika Afdatul Rafni, Dina Agustina

Creative Commons License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Abstract

Creating an optimal portfolio and measuring risk are ways that can be used to reduce losses and maximize returns in an investment. In this study, the optimal portfolio is formed using the Single Index Model method, which assumes stock returns are influenced only by market returns. The stocks used are stocks that are consistently included in the IDX30 index during the period October 24, 2022-October 25, 2024 and provide positive expected returns, so that based on the Single Index Model method, 5 stocks are included in the optimal portfolio with the proportion of each stock as follows, PT Indofood Sukses Makmur Tbk (INDF) 30%, PT Barito Pacific Tbk (BRPT) 8%, PT Bank Mandiri Tbk (BMRI) 35%, PT Bank Central Asia Tbk (BBCA)17%, and PT Bank Negara Indonesia Tbk (BBNI) 10%. The risk of the optimal portfolio can be calculated using the Glue Value at Risk method, which provides a more accurate and coherent measure of risk. In this study with a confidence level of  and  and used a high distortion function   and , the Glue Value at Risk amount for the optimal portfolio was obtained at Rp1,996,926. The backtesting results show that Glue Value at Risk provides valid and accurate results for measuring risk at this level of confidence.

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