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primary topic: http://digilib.uin-suka.ac.id/id/eprint/71774

http://digilib.uin-suka.ac.id/id/eprint/71774
type: Thesis
type: Article
title: ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH DENGAN PENDEKATAN VALUE AT RISK (VAR) METODE VARIANCE-COVARIANCE MENGGUNAKAN BEST-BETA CAPITAL ASSET PRICING MODEL (BCAPM) (STUDI KASUS : SAHAM SYARI’AH JAKARTA ISLAMIC INDEX 70 (JII 70) PERIODE JUNI 201
abstract: Investor must estimate the expected return from the capital market before making an investment, even though there is no guarantee that the return will be profitable. Investment decisions often refer to models, one of which is the Best Beta Capital Asset Pricing Model (BCAPM), which is used to calculate the expected rate of return. However, investing always involves risk. One important aspect of risk assessment is Value at Risk (VaR). VaR is defined as the estimated maximum potential loss under normal market conditions at a certain confidence level over a specific time period. One method for calculating VaR is the Variance-Covariance approach, which has its own advantages. The data used in this study consist of stocks listed in the Jakarta Islamic Index 70 (JII 70) during the period from June 2018 to December 2023. A total of 22 stocks were consistently included in the JII during this period. Subsequently, stocks whose mean returns exceeded the risk-free rate were selected. Based on the calculations, five stocks were identified as forming the optimal portfolio using the Best Beta Capital Asset Pricing Model (BCAPM). The calculation results show the fund allocation proportions for each stock as follows: CPIN (14.35%), ICBP (25.21%), KLBF (7.53%), MIKA (19.66%), and TLKM (33.24%) with an expected return of 0,53% per month and a portfolio volatility of 3,32% per month. Using the Variance-Covariance Value at Risk (VaR) method, the maximum potential loss was estimated at confidence levels of 99%, 95%, and 90% over a one-month period with an investment of IDR 10.000.000. The estimated losses were IDR 856.583; IDR 651.779; and IDR 546.990, respectively. Furthermore, the Likelihood Ratio validation test showed that the VaR model could be considered valid for the confidence levels.
date: 2025-05-05
status: published
author list: authors
type: EPrint
type: ThesisEPrint
is part of: repository
has document: http://digilib.uin-suka.ac.id/id/document/1006428
has version: http://digilib.uin-suka.ac.id/id/document/1006428
has published: http://digilib.uin-suka.ac.id/id/document/1006428
has document: http://digilib.uin-suka.ac.id/id/document/1006429
has version: http://digilib.uin-suka.ac.id/id/document/1006429
has published: http://digilib.uin-suka.ac.id/id/document/1006429
has document: http://digilib.uin-suka.ac.id/id/document/1006516
has document: http://digilib.uin-suka.ac.id/id/document/1006517
has document: http://digilib.uin-suka.ac.id/id/document/1006518
has document: http://digilib.uin-suka.ac.id/id/document/1006519
has document: http://digilib.uin-suka.ac.id/id/document/1006520
has document: http://digilib.uin-suka.ac.id/id/document/1006521
has document: http://digilib.uin-suka.ac.id/id/document/1006522
has document: http://digilib.uin-suka.ac.id/id/document/1006523
subject: 510 Mathematics (Matematika)

http://digilib.uin-suka.ac.id/id/document/1006428
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH DENGAN PENDEKATAN VALUE AT RISK (VAR) METODE VARIANCE-COVARIANCE MENGGUNAKAN BEST-BETA CAPITAL ASSET PRICING MODEL (BCAPM) (STUDI KASUS : SAHAM SYARI’AH JAKARTA ISLAMIC INDEX 70 (JII 70) PERIODE JUNI 201 (Text)
has file: 21106010053_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
has part: 21106010053_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf

http://digilib.uin-suka.ac.id/id/document/1006429
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH DENGAN PENDEKATAN VALUE AT RISK (VAR) METODE VARIANCE-COVARIANCE MENGGUNAKAN BEST-BETA CAPITAL ASSET PRICING MODEL (BCAPM) (STUDI KASUS : SAHAM SYARI’AH JAKARTA ISLAMIC INDEX 70 (JII 70) PERIODE JUNI 201 (Text)

UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

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

NIM.: 21106010053 An Nisa Dwi Sasongko
type: Person
given name: NIM.: 21106010053
family name: An Nisa Dwi Sasongko

http://digilib.uin-suka.ac.id/id/document/1006516
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH DENGAN PENDEKATAN VALUE AT RISK (VAR) METODE VARIANCE-COVARIANCE MENGGUNAKAN BEST-BETA CAPITAL ASSET PRICING MODEL (BCAPM) (STUDI KASUS : SAHAM SYARI’AH JAKARTA ISLAMIC INDEX 70 (JII 70) PERIODE JUNI 201 (Other)
is version of: http://digilib.uin-suka.ac.id/id/document/1006429
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http://digilib.uin-suka.ac.id/id/document/1006517
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH DENGAN PENDEKATAN VALUE AT RISK (VAR) METODE VARIANCE-COVARIANCE MENGGUNAKAN BEST-BETA CAPITAL ASSET PRICING MODEL (BCAPM) (STUDI KASUS : SAHAM SYARI’AH JAKARTA ISLAMIC INDEX 70 (JII 70) PERIODE JUNI 201 (Other)
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http://digilib.uin-suka.ac.id/id/document/1006518
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH DENGAN PENDEKATAN VALUE AT RISK (VAR) METODE VARIANCE-COVARIANCE MENGGUNAKAN BEST-BETA CAPITAL ASSET PRICING MODEL (BCAPM) (STUDI KASUS : SAHAM SYARI’AH JAKARTA ISLAMIC INDEX 70 (JII 70) PERIODE JUNI 201 (Other)
is version of: http://digilib.uin-suka.ac.id/id/document/1006429
is volatile version of: http://digilib.uin-suka.ac.id/id/document/1006429
ismedium thumbnail version of: http://digilib.uin-suka.ac.id/id/document/1006429

http://digilib.uin-suka.ac.id/id/document/1006519
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH DENGAN PENDEKATAN VALUE AT RISK (VAR) METODE VARIANCE-COVARIANCE MENGGUNAKAN BEST-BETA CAPITAL ASSET PRICING MODEL (BCAPM) (STUDI KASUS : SAHAM SYARI’AH JAKARTA ISLAMIC INDEX 70 (JII 70) PERIODE JUNI 201 (Other)
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is volatile version of: http://digilib.uin-suka.ac.id/id/document/1006429
issmall thumbnail version of: http://digilib.uin-suka.ac.id/id/document/1006429

http://digilib.uin-suka.ac.id/id/document/1006520
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH DENGAN PENDEKATAN VALUE AT RISK (VAR) METODE VARIANCE-COVARIANCE MENGGUNAKAN BEST-BETA CAPITAL ASSET PRICING MODEL (BCAPM) (STUDI KASUS : SAHAM SYARI’AH JAKARTA ISLAMIC INDEX 70 (JII 70) PERIODE JUNI 201 (Other)
is version of: http://digilib.uin-suka.ac.id/id/document/1006428
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has file: lightbox.jpg
has part: lightbox.jpg

http://digilib.uin-suka.ac.id/id/document/1006521
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH DENGAN PENDEKATAN VALUE AT RISK (VAR) METODE VARIANCE-COVARIANCE MENGGUNAKAN BEST-BETA CAPITAL ASSET PRICING MODEL (BCAPM) (STUDI KASUS : SAHAM SYARI’AH JAKARTA ISLAMIC INDEX 70 (JII 70) PERIODE JUNI 201 (Other)
is version of: http://digilib.uin-suka.ac.id/id/document/1006428
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ispreview thumbnail version of: http://digilib.uin-suka.ac.id/id/document/1006428
has file: preview.jpg
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http://digilib.uin-suka.ac.id/id/document/1006522
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH DENGAN PENDEKATAN VALUE AT RISK (VAR) METODE VARIANCE-COVARIANCE MENGGUNAKAN BEST-BETA CAPITAL ASSET PRICING MODEL (BCAPM) (STUDI KASUS : SAHAM SYARI’AH JAKARTA ISLAMIC INDEX 70 (JII 70) PERIODE JUNI 201 (Other)
is version of: http://digilib.uin-suka.ac.id/id/document/1006428
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ismedium thumbnail version of: http://digilib.uin-suka.ac.id/id/document/1006428
has file: medium.jpg
has part: medium.jpg

http://digilib.uin-suka.ac.id/id/document/1006523
type: Document
label: ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH DENGAN PENDEKATAN VALUE AT RISK (VAR) METODE VARIANCE-COVARIANCE MENGGUNAKAN BEST-BETA CAPITAL ASSET PRICING MODEL (BCAPM) (STUDI KASUS : SAHAM SYARI’AH JAKARTA ISLAMIC INDEX 70 (JII 70) PERIODE JUNI 201 (Other)
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has file: small.jpg
has part: small.jpg

https://digilib.uin-suka.ac.id/id/eprint/71774/
title: HTML Summary of #71774 ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH DENGAN PENDEKATAN VALUE AT RISK (VAR) METODE VARIANCE-COVARIANCE MENGGUNAKAN BEST-BETA CAPITAL ASSET PRICING MODEL (BCAPM) (STUDI KASUS : SAHAM SYARI’AH JAKARTA ISLAMIC INDEX 70 (JII 70) PERIODE JUNI 201
format: text/html
primary topic: http://digilib.uin-suka.ac.id/id/eprint/71774

510 Mathematics (Matematika)
type: Concept