relation: https://digilib.uin-suka.ac.id/id/eprint/64974/
title: ANALISIS PORTOFOLIO OPTIMAL DENGAN MEAN VARIANCE (MV) DAN MEAN ABSOLUTED DEVIATION (MAD) MENGGUNAKAN MODIFIKASI SHARPE RATIO  (STUDI KASUS: HARGA PENUTUPAN SAHAM JAKARTA ISLAMIC INDEX 70 (JII70) PERIODE JANUARI 2020 SAMPAI NOVEMBER 2023)
creator: Cindi Faranita, NIM.: 20106010032
subject: Matematika
description: There are several models that can be used in determining the composition of weighting in an optimal portfolio, one of which is the Mean Variance (MV) model. This model can construct a portfolio with minimum risk and high profitability. However, the Mean Variance (MV) model has shortcomings in terms of its non-linear mathematical model and the use of variance as a measure of risk. These limitations have led to the development of several models derived from Mean Variance (MV), one of which is the Mean Absolute Deviation (MAD) method. The MAD model can address portfolio optimization problems with linear programming. This research aims to compare the Mean Variance (MV) and Mean Absolute Deviation (MAD) models by measuring portfolio performance with the Modified Sharpe Ratio on JII70 sharia stocks from January 2020 to November 2023. The study results indicate that the optimal portfolio is generated from the Mean Variance model with a return of 0.5%, risk of 0.15%, and the best Modified Sharpe Ratio is achieved without interest rate modification, amounting to 3.33.
date: 2024-03-08
type: Thesis
type: NonPeerReviewed
format: text
language: id
identifier: https://digilib.uin-suka.ac.id/id/eprint/64974/1/20106010032_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
format: text
language: id
identifier: https://digilib.uin-suka.ac.id/id/eprint/64974/2/20106010032_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf
identifier:   Cindi Faranita, NIM.: 20106010032  (2024) ANALISIS PORTOFOLIO OPTIMAL DENGAN MEAN VARIANCE (MV) DAN MEAN ABSOLUTED DEVIATION (MAD) MENGGUNAKAN MODIFIKASI SHARPE RATIO (STUDI KASUS: HARGA PENUTUPAN SAHAM JAKARTA ISLAMIC INDEX 70 (JII70) PERIODE JANUARI 2020 SAMPAI NOVEMBER 2023).  Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.