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        <dc:title>ANALISIS RISIKO PORTOFOLIO OPTIMAL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) BERBASIS KMEANS CLUSTERING MENGGUNAKAN VALUE AT RISK (VAR) (STUDI KASUS: JAKARTA ISLAMIC INDEX PERIODE JANUARI 2021 - DESEMBER 2025)</dc:title>
        <dc:creator>Anggi Pratiwi, NIM.: 22106010013</dc:creator>
        <dc:subject>515.6 Metode Analitik - Matematika</dc:subject>
        <dc:description>The rapid growth of the Indonesian Islamic capital market, with the ISSI market&#13;
capitalization reaching IDR 6,825 trillion or 55.3% of the total market by 2024, is&#13;
driving the need for portfolio analysis that complies with Sharia principles and is&#13;
capable of measurably assessing risk. This study integrates three methods, namely KMeans&#13;
Clustering for stock grouping, Sharia Compliant Asset Pricing Model (SCAPM)&#13;
which replaces the riba-based risk-free rate with SBIS returns, and Value at Risk (VaR)&#13;
variance-covariance method for risk measurement, on Jakarta Islamic Index (JII) stocks&#13;
for the period January 2021–December 2025. The results of the study indicate the&#13;
formation of an optimal portfolio consisting of three stocks, namely ADRO (47.37%),&#13;
AKRA (32.56%), and BRPT (20.07%), with an expected return of 3.07% per month&#13;
and a portfolio risk of 0.086. The VaR calculation on an initial investment of IDR&#13;
100,000,000 yields an estimated maximum loss of IDR 14,081,183 per day at a 95%&#13;
confidence level and has been validated using the Kupiec POF Test at the 95% and&#13;
99% confidence levels.</dc:description>
        <dc:date>2026-06-12</dc:date>
        <dc:type>Thesis</dc:type>
        <dc:type>NonPeerReviewed</dc:type>
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        <dc:identifier>https://digilib.uin-suka.ac.id/id/eprint/77217/1/22106010013_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf</dc:identifier>
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        <dc:identifier>https://digilib.uin-suka.ac.id/id/eprint/77217/2/22106010013_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf</dc:identifier>
        <dc:identifier>  Anggi Pratiwi, NIM.: 22106010013  (2026) ANALISIS RISIKO PORTOFOLIO OPTIMAL SHARIA COMPLIANT ASSET PRICING MODEL (SCAPM) BERBASIS KMEANS CLUSTERING MENGGUNAKAN VALUE AT RISK (VAR) (STUDI KASUS: JAKARTA ISLAMIC INDEX PERIODE JANUARI 2021 - DESEMBER 2025).  Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.   </dc:identifier></oai_dc:dc>
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