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ANALISIS RISIKO PORTOFOLIO SAHAM SYARIAH DENGAN MODEL OPTIMASI MULTIOBJEKTIF BERBASIS TAIL VALUE AT RISK (T-VAR) (STUDI KASUS: SAHAM JAKARTA ISLAMIC INDEX (JII) PERIODE JANUARI 2021 – DESEMBER 2024)
Investors make investments to achieve maximum profit with minimum loss. Sharia-compliant investments are gaining popularity alongside the growth of the Sharia economic system in Indonesia, notably through stocks listed on the Jakarta Islamic Index (JII). While investors generally seek maximum returns with minimum risk, the optimal portfolio depends on each investor's risk preference. This study aims to construct an optimal portfolio of Sharia stocks listed on the JII using multi-objective optimization based on the Tail Value at Risk (T-VaR) approach. The study utilizes monthly closing price data for JII Sharia stocks from January 2021 to December 2024 to calculate returns and risks; risk is measured using T-VaR, representing the worst-case loss at a 95% confidence level. The optimal portfolio is constructed by simultaneously maximizing return and minimizing risk—using weighting coefficients that reflect investor risk preferences—followed by model validation using the Expected Shortfall backtesting framework. The results indicate that the T-VaR model is valid for the portfolio constructed for the upcoming one-month period using AKRA, INDF, ISAT, and PTBA stocks with an initial capital of IDR 10,000,000.00. Risk-seeking investors achieved an expected profit of IDR 197,028.00 with a worst-case loss of IDR 1,793,476.40; risk-indifferent investors achieved a profit of IDR 190,021.00 with a worst-case loss of IDR 1,300,825.40; meanwhile, risk-averse investors generated a highly conservative portfolio with no VaR violations, rendering T-VaR validation inapplicable.
FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA
NIM.: 22106010053 Taqiya Baqiyatul Amala
ANALISIS RISIKO PORTOFOLIO SAHAM SYARIAH DENGAN MODEL OPTIMASI MULTIOBJEKTIF BERBASIS TAIL VALUE AT RISK (T-VAR) (STUDI KASUS: SAHAM JAKARTA ISLAMIC INDEX (JII) PERIODE JANUARI 2021 – DESEMBER 2024) (Text)
ANALISIS RISIKO PORTOFOLIO SAHAM SYARIAH DENGAN MODEL OPTIMASI MULTIOBJEKTIF BERBASIS TAIL VALUE AT RISK (T-VAR) (STUDI KASUS: SAHAM JAKARTA ISLAMIC INDEX (JII) PERIODE JANUARI 2021 – DESEMBER 2024) (Other)
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