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Portfolio Risk Valuation of Indonesian Blue Chips by parhamahmdi99 is a document available to read on EtoBox.
This paper analyzes the portfolio risk and performance of several blue chip stocks in Indonesia, specifically PT Bank Central Asia, PT Telekomunikasi Indonesia, and PT Unilever, using n-dimensional geometric Brownian motion. The study finds that a 3-dimensional GBM model accurately predicts stock prices, and the portfolio constructed minimizes risk with a Value-at-Risk of 0.003295758% at a 95% confidence level. The Sharpe Index indicates that the portfolio is profitable, making it a suitable investment choi
- Author
- parhamahmdi99
- Language
- EN