Risk Analysis of Investment in Stock Market Using Mixture of Mixture Model and Bayesian Markov Chain Monte Carlo (MCMC)

Abstract

Invesment is an activity of a person to be more productive of the assets owned and can generate benefits for the economic growth of the community at large. One source of capital that can be obtained is through investment in the capital market. Stocks are known to have the characteristics of high risk-high return. Optimal portfolio formation where stocks are able to provide maximum stock returns with limited risk. The selection of BBCA, BBRI and BMRI shares from the LQ-45 index is a banking sector that is included in the ranks of the Largest Banks in Indonesia. In this study, stock returns and portfolio analysis of mixture of mixture models use the Bayesian Markov Chain Monte Carlo (MCMC) method which is then continued by calculating investment risk using Value at Risk (VaR). The estimation results of the mixture of mixture model obtained that the portfolio model with the largest proportion is BBCA shares with a proportion of 84.91% followed by BBRI shares with a proportion of 12.89% and the smallest proportion is BMRI shares with a proportion of 2.92%).