{
      "department": "FAKULTAS SAINS DAN TEKNOLOGI",
      "subjects": [
        515.6
      ],
      "eprintid": 76840,
      "thesis_type": "skripsi",
      "date": "2026-05-26",
      "userid": 12460,
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            "eprintid": 76840,
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            "content": "published",
            "rev_number": 3,
            "uri": "http:\/\/digilib.uin-suka.ac.id\/id\/document\/1057263",
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            "formatdesc": "ANALISIS RISIKO PORTOFOLIO OPTIMAL GLOBAL MINIMUM VARIANCE (GMV) MENGGUNAKAN VALUE AT RISK (VAR) – EXPONENTIALLY WEIGHTED MOVING AVERAGE (EWMA) (STUDI KASUS: JAKARTA ISLAMIC INDEX (JII) PERIODE JANUARI 2021 – DESEMBER 2025)"
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          {
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            "placement": 2,
            "eprintid": 76840,
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                  "filename": "22106010026_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf"
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            ],
            "content": "published",
            "rev_number": 3,
            "uri": "http:\/\/digilib.uin-suka.ac.id\/id\/document\/1057264",
            "main": "22106010026_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf",
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            "formatdesc": "ANALISIS RISIKO PORTOFOLIO OPTIMAL GLOBAL MINIMUM VARIANCE (GMV) MENGGUNAKAN VALUE AT RISK (VAR) – EXPONENTIALLY WEIGHTED MOVING AVERAGE (EWMA) (STUDI KASUS: JAKARTA ISLAMIC INDEX (JII) PERIODE JANUARI 2021 – DESEMBER 2025)"
          }
      ],
      "rev_number": 10,
      "creators": [
        {
          "name": {
            "lineage": null,
            "given": "NIM.: 22106010026",
            "honourific": null,
            "family": "Nadiva Freya Danella"
          }
        }
      ],
      "dir": "disk0\/00\/07\/68\/40",
      "keywords": "Portofolio Optimal, Risiko Portofolio, Global Minimum Variance\r\n(GMV), Value at Risk (VaR), Exponentially Weighted Moving Average (EWMA),\r\nJakarta Islamic Index",
      "lastmod": "2026-06-19 08:01:24",
      "ispublished": "pub",
      "metadata_visibility": "show",
      "date_type": "published",
      "eprint_status": "archive",
      "status_changed": "2026-06-19 08:01:24",
      "datestamp": "2026-06-19 08:01:24",
      "uri": "http:\/\/digilib.uin-suka.ac.id\/id\/eprint\/76840",
      "thesis_name": "other",
      "note": "Mohammad Farhan Qudratullah, S.Si., M.Si.",
      "full_text_status": "restricted",
      "contact_email": "muh.khabib@uin-suka.ac.id",
      "divisions": [
        "jur_mat"
      ],
      "abstract": "The rapid growth of Islamic investment in Indonesia necessitates adaptive risk\r\nmanagement strategies, particularly for stocks included in the Jakarta Islamic Index\r\n(JII). This study aims to analyze the optimal portfolio formation process using\r\nGlobal Minimum Variance (GMV), determine optimal portfolio weights, and\r\nanalyze portfolio returns and risks using Value at Risk (VaR) using Exponentially\r\nWeighted Moving Average (EWMA) volatility estimation for JII stocks. This study\r\nuses monthly data from the Jakarta Islamic Index (JII) for the period January 2021–\r\nDecember 2025. The GMV model is used to determine portfolio weights with nonnegative\r\nconstraints (without short selling) in accordance with sharia principles,\r\nwhile VaR–EWMA is used to estimate volatility and measure portfolio risk more\r\nresponsive to market changes. The results show that the optimal portfolio weights\r\nare dominated by INDF (18.92%), TLKM (13.23%), SIDO (12.98%), and EXCL\r\n(12.01%), with no negative weights. The GMV portfolio generated an expected\r\nannual return of 15.21% with an annual volatility of 8.45%. The risk level,\r\nmeasured using the 95% VaR normal method, yielded an average VaR of 2.92% per\r\nmonth, so that for an investment of IDR 100 million, the maximum loss is estimated\r\nto be around IDR 2.9 million per month. Kupiec backtesting results showed that the\r\nVaR-EWMA model has good accuracy with a p-value of 0.9762 and an actual\r\nbreach rate of 5.08%, which is close to the expected breach rate of 5.00%. These\r\nresults indicate that the GMV and VaR-EWMA models are effective in forming an\r\noptimal portfolio with measurable risk and sensitivity to market changes.",
      "type": "thesis",
      "title": "ANALISIS RISIKO PORTOFOLIO OPTIMAL GLOBAL MINIMUM VARIANCE (GMV) MENGGUNAKAN VALUE AT RISK (VAR) – EXPONENTIALLY WEIGHTED MOVING AVERAGE (EWMA) (STUDI KASUS: JAKARTA ISLAMIC INDEX (JII) PERIODE JANUARI 2021 – DESEMBER 2025)",
      "institution": "UIN SUNAN KALIJAGA YOGYAKARTA",
      "pages": 150
    }