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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)
The rapid growth of the Indonesian Islamic capital market, with the ISSI market capitalization reaching IDR 6,825 trillion or 55.3% of the total market by 2024, is driving the need for portfolio analysis that complies with Sharia principles and is capable of measurably assessing risk. This study integrates three methods, namely KMeans Clustering for stock grouping, Sharia Compliant Asset Pricing Model (SCAPM) which replaces the riba-based risk-free rate with SBIS returns, and Value at Risk (VaR) variance-covariance method for risk measurement, on Jakarta Islamic Index (JII) stocks for the period January 2021–December 2025. The results of the study indicate the formation of an optimal portfolio consisting of three stocks, namely ADRO (47.37%), AKRA (32.56%), and BRPT (20.07%), with an expected return of 3.07% per month and a portfolio risk of 0.086. The VaR calculation on an initial investment of IDR 100,000,000 yields an estimated maximum loss of IDR 14,081,183 per day at a 95% confidence level and has been validated using the Kupiec POF Test at the 95% and 99% confidence levels.
FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA
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) (Text)
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) (Other)
HTML Summary of #77217 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)