{
      "department": "FAKULTAS SAINS DAN TEKNOLOGI",
      "subjects": [
        515.6
      ],
      "eprintid": 77217,
      "thesis_type": "skripsi",
      "date": "2026-06-12",
      "userid": 12460,
      "documents": [
          {
            "language": "id",
            "placement": 1,
            "eprintid": 77217,
            "files": [
                {
                  "hash_type": "MD5",
                  "mtime": "2026-06-25 04:11:42",
                  "datasetid": "document",
                  "fileid": 1836778,
                  "objectid": 1058040,
                  "uri": "http:\/\/digilib.uin-suka.ac.id\/id\/file\/1836778",
                  "mime_type": "application\/pdf",
                  "hash": "704638f1a1ed9b064924308b55bd0d8a",
                  "filesize": 7932250,
                  "filename": "22106010013_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf"
                }
            ],
            "content": "published",
            "rev_number": 3,
            "uri": "http:\/\/digilib.uin-suka.ac.id\/id\/document\/1058040",
            "main": "22106010013_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf",
            "mime_type": "application\/pdf",
            "docid": 1058040,
            "format": "text",
            "security": "public",
            "pos": 1,
            "formatdesc": "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)"
          },
          {
            "language": "id",
            "placement": 2,
            "eprintid": 77217,
            "files": [
                {
                  "hash_type": "MD5",
                  "mtime": "2026-06-25 04:11:45",
                  "datasetid": "document",
                  "fileid": 1836781,
                  "objectid": 1058041,
                  "uri": "http:\/\/digilib.uin-suka.ac.id\/id\/file\/1836781",
                  "mime_type": "application\/pdf",
                  "hash": "9824a61f754044a82ef2de1967f75d3a",
                  "filesize": 18514672,
                  "filename": "22106010013_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf"
                }
            ],
            "content": "published",
            "rev_number": 3,
            "uri": "http:\/\/digilib.uin-suka.ac.id\/id\/document\/1058041",
            "main": "22106010013_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf",
            "mime_type": "application\/pdf",
            "docid": 1058041,
            "format": "text",
            "security": "validuser",
            "pos": 2,
            "formatdesc": "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)"
          }
      ],
      "rev_number": 10,
      "creators": [
        {
          "name": {
            "lineage": null,
            "given": "NIM.: 22106010013",
            "honourific": null,
            "family": "Anggi Pratiwi"
          }
        }
      ],
      "dir": "disk0\/00\/07\/72\/17",
      "keywords": "Portofolio Optimal, SCAPM, K-Means Clustering, Value at Risk,\r\nJakarta Islamic Index, Saham Syariah",
      "lastmod": "2026-07-02 02:34:16",
      "ispublished": "pub",
      "metadata_visibility": "show",
      "date_type": "published",
      "eprint_status": "archive",
      "status_changed": "2026-07-02 02:34:16",
      "datestamp": "2026-07-02 02:34:16",
      "uri": "http:\/\/digilib.uin-suka.ac.id\/id\/eprint\/77217",
      "thesis_name": "other",
      "note": "Dr 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 the Indonesian Islamic capital market, with the ISSI market\r\ncapitalization reaching IDR 6,825 trillion or 55.3% of the total market by 2024, is\r\ndriving the need for portfolio analysis that complies with Sharia principles and is\r\ncapable of measurably assessing risk. This study integrates three methods, namely KMeans\r\nClustering for stock grouping, Sharia Compliant Asset Pricing Model (SCAPM)\r\nwhich replaces the riba-based risk-free rate with SBIS returns, and Value at Risk (VaR)\r\nvariance-covariance method for risk measurement, on Jakarta Islamic Index (JII) stocks\r\nfor the period January 2021–December 2025. The results of the study indicate the\r\nformation of an optimal portfolio consisting of three stocks, namely ADRO (47.37%),\r\nAKRA (32.56%), and BRPT (20.07%), with an expected return of 3.07% per month\r\nand a portfolio risk of 0.086. The VaR calculation on an initial investment of IDR\r\n100,000,000 yields an estimated maximum loss of IDR 14,081,183 per day at a 95%\r\nconfidence level and has been validated using the Kupiec POF Test at the 95% and\r\n99% confidence levels.",
      "type": "thesis",
      "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)",
      "institution": "UIN SUNAN KALIJAGA YOGYAKARTA",
      "pages": 178
    }