Analisis Pembentukan Portofolio Optimal dan Penentuan Nilai Risiko pada Saham Syariah

  • Ajeng Defi Aprilia Program Studi D4 Keuangan Syariah, Politeknik Negeri Bandung
  • Ade Ali Nurdin Jurusan Akuntansi, Politeknik Negeri Bandung
  • Muhamad Umar Mai Jurusan Akuntansi, Politeknik Negeri Bandung
DOI: https://doi.org/10.35313/jaief.v1i2.2480
Keywords: optimal portfolio, Islamic stocks, risk

Abstract

The purpose of this research is to determine the optimal portfolio formation in Islamic stocks on the Jakarta Islamic Index (JII) which is listed on the Indonesia Stock Exchange with a single model. Then measure the risk value that may occur and be accepted by investors using the Value at Risk (VaR) method with the Exponentially Weighted Moving Average (EWMA) approach. By using the Single Index Model, 5 stocks are selected and form an optimal portfolio, namely ASII, ICBP, TLKM, UNTR and UNVR.

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Published
2021-02-28
How to Cite
Aprilia, A. D., Nurdin, A. A., & Mai, M. U. (2021). Analisis Pembentukan Portofolio Optimal dan Penentuan Nilai Risiko pada Saham Syariah. Journal of Applied Islamic Economics and Finance, 1(2), 487-498. https://doi.org/10.35313/jaief.v1i2.2480
Issue
Vol 1 No 2 (2021): Journal of Applied Islamic Economics and Finance (February 2021)
Section
Articles