eprintid: 75899
rev_number: 10
eprint_status: archive
userid: 12460
dir: disk0/00/07/58/99
datestamp: 2026-04-01 06:23:58
lastmod: 2026-04-01 06:23:58
status_changed: 2026-04-01 06:23:58
type: thesis
metadata_visibility: show
contact_email: muh.khabib@uin-suka.ac.id
creators_name: Aslam Qosim Farhan Taqiuddin, NIM.: 22106010074
title: ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH MODEL SCAPM DENGAN PENDEKATAN EXPECTED SHORTFALL
ispublished: pub
subjects: 515.6
divisions: jur_mat
full_text_status: restricted
keywords: Expected Shortfall, JII70, Portofolio Optimal, Saham Syariah,
SCAPM
note: Mohammad Farhan Qudratullah, S.Si., M.Si. dan Sri Istiyari
Uswatun Chasanah, M.Si.,
abstract: 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.
date: 2026-02-19
date_type: published
pages: 172
institution: UIN SUNAN KALIJAGA YOGYAKARTA
department: FAKULTAS SAINS DAN TEKNOLOGI
thesis_type: skripsi
thesis_name: other
citation:   Aslam Qosim Farhan Taqiuddin, NIM.: 22106010074  (2026) ANALISIS RISIKO PORTOFOLIO OPTIMAL SAHAM SYARIAH MODEL SCAPM DENGAN PENDEKATAN EXPECTED SHORTFALL.  Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.   
document_url: https://digilib.uin-suka.ac.id/id/eprint/75899/1/22106010074_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
document_url: https://digilib.uin-suka.ac.id/id/eprint/75899/2/22106010074_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf