<> "The repository administrator has not yet configured an RDF license."^^ . <> . . . "ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH MODEL SCAPM DENGAN PENDEKATAN EXPECTED SHORTFALL"^^ . "Investing is the activity of investing capital to achieve future profits through various\r\ninstruments such as capital markets, mutual funds, stocks, property, and bonds. In\r\npractice, a portfolio strategy is needed to optimize asset allocation according to the\r\ninvestor's profile.. A portfolio is a collection of assets arranged to maximize returns\r\nor minimize risk. This study aims to analyze the formation of an optimal portfolio\r\nof sharia stocks using the Shari'a Compliant Asset Pricing Model (SCAPM) with\r\nthe Non-Risk-Free Rate (NRF), Zakat, Inflation, and Gross Domestic Product\r\n(GDP) approaches, and to measure the risk of extreme losses using Expected\r\nShortfall (ES). The data used are stocks listed on the Jakarta Islamic Index 70\r\n(JII70) for the period January 2021 - October 2025. The analysis stages include\r\ncalculating stock and market returns and volatility, beta estimation, candidate stock\r\nselection, efficient portfolio formation, determining optimal portfolio proportions\r\nbased on SCAPM, as well as evaluating extreme risks and ES validation tests. The\r\nresults show that the composition and proportion of stocks differ in each SCAPM\r\napproach. AKRA, INDF, JPFA, ELSA, and UNTR stocks consistently dominate the\r\noptimal portfolio. The highest weight with the highest expected portfolio return is\r\nobtained in the SCAPM PDB approach at 0.016371, with the main composition of\r\nAKRA (25.5%), INDF (16.5%), JPFA (15.5%), ELSA (13.6%), UNTR (12.1%), and\r\nMAPI (11.6%). At the 95% confidence level with a one-month horizon, the lowest\r\nES value is found in the SCAPM NRF at 9.475%, followed by the SCAPM Zakat\r\n(9.8895%), SCAPM Inflation (9.9276%), and the highest in the SCAPM PDB\r\n(10.2645%). This shows that the GDP SCAPM approach produces the highest\r\nreturns but is more sensitive to the risk of extreme losses."^^ . "2026-02-19" . . . . "UIN SUNAN KALIJAGA YOGYAKARTA"^^ . . . "FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA"^^ . . . . . . . . . "NIM.: 22106010074"^^ . "Aslam Qosim Farhan Taqiuddin"^^ . "NIM.: 22106010074 Aslam Qosim Farhan Taqiuddin"^^ . . . . . . "ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH MODEL SCAPM DENGAN PENDEKATAN EXPECTED SHORTFALL (Text)"^^ . . . . . "22106010074_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf"^^ . . . "ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH MODEL SCAPM DENGAN PENDEKATAN EXPECTED SHORTFALL (Text)"^^ . . . . "HTML Summary of #75899 \n\nANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH MODEL SCAPM DENGAN PENDEKATAN EXPECTED SHORTFALL\n\n" . "text/html" . . . "515.6 Metode Analitik - Matematika" . .