PENERAPAN ESTIMASI M DAN S DALAM PEMBENTUKAN PORTOFOLIO ROBUST MEAN-VARIANCE (Studi Kasus: Saham Syariah di Jakarta Islamic Index (JII))

MARTININGSIH SAKINAH, NIM. 16610005 (2021) PENERAPAN ESTIMASI M DAN S DALAM PEMBENTUKAN PORTOFOLIO ROBUST MEAN-VARIANCE (Studi Kasus: Saham Syariah di Jakarta Islamic Index (JII)). Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

The Mean Variance Model is a method introduced by Markowitz, where the main assets that are considered are return and risk (mean variance). In the mean variance portfolio requires the mean and covariance matrix parameters that are estimated from the sample return data. The estimated parameters of the mean and covariance matrix give rise to earthquake risk and produce portfolio weights that fluctuate (fluctuate) from time to time. In addition, the Markowitz mean variance model results in a poor portfolio for a long period of time. So that arises a problem of how to make a portfolio that is not only optimal but also robust. In this study, we want to compare the MV portfolio through a robust approach with M and S estimates. The case study used in this research is stocks from the Jakarta Islamic index (JII) in the period 30 December 2017 to 30 December 2019. The results of the data analysis obtained optimal portfolio results based on the calculation of optimal weight, the better method is in the robust mean variance portfolio with an estimate of M, the resulting portfolio return at risk aversion coefficient 5 is 0.000295, portfolio risk at risk aversion coefficient 5 is 0.00040. and the resulting portfolio performance at a risk aversion coefficient of 5 is 0.72722. And based on the results of observations of the benefits obtained in the period December 2, 2019 - December 30, 2019, the results show that the average robust mean variance portfolio profit with M estimation is more stable than the other two methods.

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