Contoh Risk Attitude

• Ada dua pilihan antara (1) hadiah dollar yang terjamin atau (2)
judi putaran koin senilai $100,000 (kesempatannya 50%) atau
$0 (kesempatannya 50%). Nilai yang diharapkan dari judi
senilai $50,000
- Mary membutuhkan jaminan senilai $25,000 atau lebih,
untuk membatalkan judi
- Raleigh sama senangnya untuk mengambil $50,000 atau
mengambil resiko judi
- Shannon setidaknya membutuhkan $52,000 untuk
membatalkan judi
 Bagaimana kecenderungan Risk Attitude
masing-masing ?

• Mary menunjukkan "risk aversion" karena "kepastian

setara“ miliknya <nilai yang diharapkan dari berjudi.
• Raleigh menunjukan “risk indifference” karena
“certainty equivalent” miliknya sama dengan nilai
yang diharapkan dalam berjudi.
• Shannon mengungkapkan “risk preference" karena
"certainty equivalent“ miliknya > nilai yang
diharapkan dari berjudi.
 Menentukan Portofolio Expected Return
m
RP = S ( Wj )( Rj )
J=1
RP is the expected return for the portfolio,
Wj is the weight (investment proportion) for the
jth asset in the portfolio,
Rj is the expected return of the jth asset,
m is the total number of assets in the portfolio.
 Determining Portfolio
Standard Deviation
m m
sP = S
J=1
S Wj Wk s jk
K=1
Wj is the weight (investment proportion) for the jth asset
in the portfolio,
Wk is the weight (investment proportion) for the kth asset
in the portfolio,
sjk is the covariance between returns for the jth and kth
assets in the portfolio.
 What is Covariance?

s jk = s j s k r jk
sj is the standard deviation of the jth asset in the
portfolio,
sk is the standard deviation of the kth asset in the
portfolio,
rjk is the correlation coefficient between the jth and
kth assets in the portfolio.
 Correlation Coefficient

• Sebuah ukuran standar statistik dari hubungan

linear antara dua variabel.
• jangkauannya dari -1.0 (korelasi negatif
sempurna), melalui 0 (tidak ada korelasi),
sampai 1,0 (korelasi positif sempurna).
 Variance – Covariance Matrix

A three asset portfolio:

Col 1 Col 2 Col 3
Row 1 W1W1s1,1 W1W2s1,2 W1W3s1,3
Row 2 W2W1s2,1 W2W2s2,2 W2W3s2,3
Row 3 W3W1s3,1 W3W2s3,2 W3W3s3,3
sj,k = is the covariance between returns for the jth
and kth assets in the portfolio.
 Portfolio Risk and Expected Return Example

• Anda membuat portofolio Stock D dan Bursa BW (dari sebelumnya).

Anda berinvestasi $ 2.000 dalam Stock BW dan $ 3.000 dalam Stock
D. Ingat bahwa pengembalian yang diharapkan dan standar deviasi
Stock BW adalah 9% dan 13,15% masing-masing. Hasil yang
diharapkan dan standar deviasi dari Bursa D adalah masing-masing
8% dan 10,65%. Koefisien korelasi antara BW dan D adalah 0,75.
• What is the expected return and standard deviation of the
portfolio?
Determining Portfolio
Expected Return
WBW = $2,000/$5,000 = 0.4
WD = $3,000/$5,000 = 0.6

RP = (WBW)(RBW) + (WD)(RD)
RP = (0.4)(9%) + (0.6)(8%)
RP = (3.6%) + (4.8%) = 8.4%
 Determining Portfolio Standard
Deviation
Two-asset portfolio:
Col 1 Col 2
Row 1 WBW WBW sBW,BW WBW WD sBW,D
Row 2 WD WBW sD,BW WD WD sD,D

This represents the variance – covariance matrix

for the two-asset portfolio.
 Determining Portfolio Standard
Deviation
Two-asset portfolio:
Col 1 Col 2
Row 1 (0.4)(0.4)(0.0173) (0.4)(0.6)(0.0105)
Row 2 (0.6)(0.4)(0.0105) (0.6)(0.6)(0.0113)

This represents substitution into the variance –

covariance matrix.
 Determining Portfolio Standard
Deviation
Two-asset portfolio:
Col 1 Col 2
Row 1 (0.0028) (0.0025)
Row 2 (0.0025) (0.0041)

This represents the actual element values in the

variance – covariance matrix.
 Determining Portfolio
Standard Deviation

sP = 0.0028 + (2)(0.0025) + 0.0041

sP = SQRT(0.0119)
sP = 0.1091 or 10.91%
A weighted average of the individual standard
deviations is INCORRECT.
 Determining Portfolio
Standard Deviation
The WRONG way to calculate is a weighted
average like:
sP = 0.4 (13.15%) + 0.6(10.65%)
sP = 5.26 + 6.39 = 11.65%

10.91% = 11.65%
This is INCORRECT.
 Summary of the Portfolio Return
and Risk Calculation
Stock C Stock D Portfolio
Return 9.00% 8.00% 8.64%
Stand.
Dev. 13.15% 10.65% 10.91%
CV 1.46 1.33 1.26
The portfolio has the LOWEST coefficient of
variation due to diversification.
 Diversification and the
Correlation Coefficient
Combination
SECURITY E SECURITY F E and F
INVESTMENT RETURN

TIME TIME TIME

Combining securities that are not perfectly,

positively correlated reduces risk.
 Total Risk = Systematic Risk +
Unsystematic Risk
Total Risk = Systematic Risk +
Unsystematic Risk
Systematic Risk adalah variabilitas pengembalian
saham atau portofolio yang terkait dengan perubahan
pengembalian di pasar secara keseluruhan.
Unsystematic Risk adalah variabilitas pengembalian
saham atau portofolio yang tidak dijelaskan oleh
pergerakan pasar umum. Hal ini dapat dihindari
melalui diversifikasi.