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primary topic: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM)

ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM)
type: Thesis
type: Article
abstract: There are several models that can be used to form an optimal portofolio, one of which is the Sharia Compliant Asset Pricing Models (SCAPM). SCAPM is an adaption of the Capital Asset Pricing Model (CAPM) that compiles with sharia principles by replacing the risk-free rate variabel with the SBIS rate or the inflation rate. In constructing a sharia stock portfolio with the aim of maximizing returns while considering the risk involved in investment, stock selection is crucial. One statistical method can be used for grouping stocks is cluster analysis. A cluster analysis method that has beed widely used recently is the K-medoids cluster analysis. This study will combine the cluster analysis method to select stocks and the Sharia Compliant Asset Pricing Model (SCAPM) to calculate portofolio weights by measuring portofolio performance using Jensen’s Alpha on JII70 sharia stocks from April 2020 to December 2023. The results show that the optimal portfolio generated by the SCAPM model using the SBIS rate achieved a return of 2.81%, a risk of 13% and Jensen’s Alpha of 0.2461. Meanwhile, the optimal portfolio generated by the SCAPM model using the inflation rate achieved a return of 2.28%, a risk of 13.31% and a Jensen’s Alpha of 0.02515.
date: 2024-08-15
status: published
author list: authors
type: EPrint
type: ThesisEPrint
is part of: repository
has document: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
has version: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
has published: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
has document: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Other)
subject: 510 Mathematics (Matematika)

ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
type: Document
has file: 20106010033_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
has part: 20106010033_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf

ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
type: Document

UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

NIM.: 20106010033 Brenda Maurel Pramesty Putri
type: Person
given name: NIM.: 20106010033
family name: Brenda Maurel Pramesty Putri

ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Other)
type: Document
is version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
is volatile version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
islightbox thumbnail version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)

ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Other)
type: Document
is version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
is volatile version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
ispreview thumbnail version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)

ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Other)
type: Document
is version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
is volatile version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
ismedium thumbnail version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)

ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Other)
type: Document
is version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
is volatile version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
issmall thumbnail version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)

ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Other)
type: Document
is version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
is volatile version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
islightbox thumbnail version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
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ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Other)
type: Document
is version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
is volatile version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
ispreview thumbnail version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
has file: preview.jpg
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ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Other)
type: Document
is version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
is volatile version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
ismedium thumbnail version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
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ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Other)
type: Document
is version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
is volatile version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
issmall thumbnail version of: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) (Text)
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primary topic: ANALISIS CLUSTER K-MEDOIDS DALAM PEMBENTUKAN PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MODEL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM)

510 Mathematics (Matematika)
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