%A NIM.: 22106010074 Aslam Qosim Farhan Taqiuddin
%O Mohammad Farhan Qudratullah, S.Si., M.Si. dan Sri Istiyari
Uswatun Chasanah, M.Si.,
%T ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH MODEL SCAPM DENGAN PENDEKATAN EXPECTED SHORTFALL
%X Investing is the activity of investing capital to achieve future profits through various
instruments such as capital markets, mutual funds, stocks, property, and bonds. In
practice, a portfolio strategy is needed to optimize asset allocation according to the
investor's profile.. A portfolio is a collection of assets arranged to maximize returns
or minimize risk. This study aims to analyze the formation of an optimal portfolio
of sharia stocks using the Shari'a Compliant Asset Pricing Model (SCAPM) with
the Non-Risk-Free Rate (NRF), Zakat, Inflation, and Gross Domestic Product
(GDP) approaches, and to measure the risk of extreme losses using Expected
Shortfall (ES). The data used are stocks listed on the Jakarta Islamic Index 70
(JII70) for the period January 2021 - October 2025. The analysis stages include
calculating stock and market returns and volatility, beta estimation, candidate stock
selection, efficient portfolio formation, determining optimal portfolio proportions
based on SCAPM, as well as evaluating extreme risks and ES validation tests. The
results show that the composition and proportion of stocks differ in each SCAPM
approach. AKRA, INDF, JPFA, ELSA, and UNTR stocks consistently dominate the
optimal portfolio. The highest weight with the highest expected portfolio return is
obtained in the SCAPM PDB approach at 0.016371, with the main composition of
AKRA (25.5%), INDF (16.5%), JPFA (15.5%), ELSA (13.6%), UNTR (12.1%), and
MAPI (11.6%). At the 95% confidence level with a one-month horizon, the lowest
ES value is found in the SCAPM NRF at 9.475%, followed by the SCAPM Zakat
(9.8895%), SCAPM Inflation (9.9276%), and the highest in the SCAPM PDB
(10.2645%). This shows that the GDP SCAPM approach produces the highest
returns but is more sensitive to the risk of extreme losses.
%K Expected Shortfall, JII70, Portofolio Optimal, Saham Syariah,
SCAPM
%D 2026
%I UIN SUNAN KALIJAGA YOGYAKARTA
%L digilib75899