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primary topic: http://digilib.uin-suka.ac.id/id/eprint/77217

http://digilib.uin-suka.ac.id/id/eprint/77217
type: Thesis
type: Article
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)
abstract: 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.
date: 2026-06-12
status: published
author list: authors
type: EPrint
type: ThesisEPrint
is part of: repository
has document: http://digilib.uin-suka.ac.id/id/document/1058040
has version: http://digilib.uin-suka.ac.id/id/document/1058040
has published: http://digilib.uin-suka.ac.id/id/document/1058040
has document: http://digilib.uin-suka.ac.id/id/document/1058041
has version: http://digilib.uin-suka.ac.id/id/document/1058041
has published: http://digilib.uin-suka.ac.id/id/document/1058041
has document: http://digilib.uin-suka.ac.id/id/document/1058166
has document: http://digilib.uin-suka.ac.id/id/document/1058167
has document: http://digilib.uin-suka.ac.id/id/document/1058168
has document: http://digilib.uin-suka.ac.id/id/document/1058169
has document: http://digilib.uin-suka.ac.id/id/document/1058170
has document: http://digilib.uin-suka.ac.id/id/document/1058171
has document: http://digilib.uin-suka.ac.id/id/document/1058172
has document: http://digilib.uin-suka.ac.id/id/document/1058173
subject: 515.6 Metode Analitik - Matematika

http://digilib.uin-suka.ac.id/id/document/1058040
type: Document
label: 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)
has file: 22106010013_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
has part: 22106010013_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf

http://digilib.uin-suka.ac.id/id/document/1058041
type: Document
label: 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)

UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

NIM.: 22106010013 Anggi Pratiwi
type: Person
given name: NIM.: 22106010013
family name: Anggi Pratiwi

http://digilib.uin-suka.ac.id/id/document/1058166
type: Document
label: 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)
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http://digilib.uin-suka.ac.id/id/document/1058167
type: Document
label: 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)
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http://digilib.uin-suka.ac.id/id/document/1058168
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label: 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)
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http://digilib.uin-suka.ac.id/id/document/1058169
type: Document
label: 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)
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http://digilib.uin-suka.ac.id/id/document/1058170
type: Document
label: 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)
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http://digilib.uin-suka.ac.id/id/document/1058171
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label: 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)
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http://digilib.uin-suka.ac.id/id/document/1058172
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label: 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)
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http://digilib.uin-suka.ac.id/id/document/1058173
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label: 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)
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https://digilib.uin-suka.ac.id/id/eprint/77217/
title: 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)
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primary topic: http://digilib.uin-suka.ac.id/id/eprint/77217

515.6 Metode Analitik - Matematika
type: Concept