<> "The repository administrator has not yet configured an RDF license."^^ . <> . . . "ANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIA COMPLIANT ASSET PRICING MODEL-ZAKAT RATE DENGAN PENDEKATAN TAIL-VALUE AT RISK MONTE-CARLO"^^ . "The development of sharia investment in Indonesia, which continues to show a\r\npositive trend, encourages the need for effective risk management strategies aligned\r\nwith sharia principles. This research aims to construct an optimal sharia stock\r\nportfolio by combining the Sharia Compliant Asset Pricing Model-Zakat Rate\r\n(SCAPM-ZR) and the Tail-Value at Risk (T-VaR) method. The SCAPM-ZR model\r\nis utilized by integrating the zakat rate as a substitute for the risk-free rate to ensure\r\nsharia compliance, while T-VaR is selected for its ability to measure extreme risk\r\n(tail risk) more accurately through a Monte Carlo simulation approach compared to\r\nValue at Risk (VaR). The analysis was conducted using monthly stock data from\r\nthe Jakarta Islamic Index 70 (JII 70) for the period of January 2021 to December\r\n2025. The results show that although 12 stocks met the cut-off point criteria, a\r\nportfolio composition of 8 stocks proved to be the most optimal based on Sharpe\r\nRatio efficiency. The resulting weight proportion is concentrated in AKRA 19,51%,\r\nJPFA 15,84%, supported by MAPI 11,29%, TPIA 12,34%, EXCL 12,79%, ITMG\r\n10,46%, ISAT 8,97%, dan BRPT 8,80%. This optimal portfolio generated expected\r\nreturn of 1.8707% with a Sharpe Ratio of 0.4096 and a T-VaR 95% value of 6.28%.\r\nBacktesting results indicate a valid and accurate status, reflecting a balance between\r\npotential returns and measured extreme risk mitigation. This demonstrates that the\r\ncombination of the SCAPM-ZR model and Monte Carlo T-VaR is highly effective\r\nin forming an optimal and reliable sharia portfolio in the face of market dynamics."^^ . "2026-06-03" . . . . "UIN SUNAN KALIJAGA YOGYAKARTA"^^ . . . "FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA"^^ . . . . . . . . . "NIM.: 22106010017"^^ . "Roziq Alfansyah"^^ . "NIM.: 22106010017 Roziq Alfansyah"^^ . . . . . . "ANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIA COMPLIANT ASSET PRICING MODEL-ZAKAT RATE DENGAN PENDEKATAN TAIL-VALUE AT RISK MONTE-CARLO (Text)"^^ . . . . . "22106010017_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf"^^ . . . "ANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIA COMPLIANT ASSET PRICING MODEL-ZAKAT RATE DENGAN PENDEKATAN TAIL-VALUE AT RISK MONTE-CARLO (Text)"^^ . . . . . "ANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIA COMPLIANT ASSET PRICING MODEL-ZAKAT RATE DENGAN PENDEKATAN TAIL-VALUE AT RISK MONTE-CARLO (Other)"^^ . . . . . . "ANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIA COMPLIANT ASSET PRICING MODEL-ZAKAT RATE DENGAN PENDEKATAN TAIL-VALUE AT RISK MONTE-CARLO (Other)"^^ . . . . . . "ANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIA COMPLIANT ASSET PRICING MODEL-ZAKAT RATE DENGAN PENDEKATAN TAIL-VALUE AT RISK MONTE-CARLO (Other)"^^ . . . . . . "ANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIA COMPLIANT ASSET PRICING MODEL-ZAKAT RATE DENGAN PENDEKATAN TAIL-VALUE AT RISK MONTE-CARLO (Other)"^^ . . . . . . "ANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIA COMPLIANT ASSET PRICING MODEL-ZAKAT RATE DENGAN PENDEKATAN TAIL-VALUE AT RISK MONTE-CARLO (Other)"^^ . . . . . . "lightbox.jpg"^^ . . . "ANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIA COMPLIANT ASSET PRICING MODEL-ZAKAT RATE DENGAN PENDEKATAN TAIL-VALUE AT RISK MONTE-CARLO (Other)"^^ . . . . . . "preview.jpg"^^ . . . "ANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIA COMPLIANT ASSET PRICING MODEL-ZAKAT RATE DENGAN PENDEKATAN TAIL-VALUE AT RISK MONTE-CARLO (Other)"^^ . . . . . . "medium.jpg"^^ . . . "ANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIA COMPLIANT ASSET PRICING MODEL-ZAKAT RATE DENGAN PENDEKATAN TAIL-VALUE AT RISK MONTE-CARLO (Other)"^^ . . . . . . "small.jpg"^^ . . "HTML Summary of #76837 \n\nANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIA COMPLIANT ASSET PRICING MODEL-ZAKAT RATE DENGAN PENDEKATAN TAIL-VALUE AT RISK MONTE-CARLO\n\n" . "text/html" . . . "515.6 Metode Analitik - Matematika" . .