OPTIMISASI MULTIOBJEKTIF DENGAN PENDEKATAN VALUE AT RISK (VAR) DALAM PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM SYARIAH

ARIF SUWANDA, NIM. 13610031 (2018) OPTIMISASI MULTIOBJEKTIF DENGAN PENDEKATAN VALUE AT RISK (VAR) DALAM PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM SYARIAH. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Investments are made by capital market participants to gain maximum profits with minimum losses. Increasing interest in stock investment among the people, as well as the development of the sharia economic system, make sharia investment very possible to do. Investments are advisable according to Islamic principles because it makes people to be productive and brings benefit to others. Investing in sharia can be done by investing in stocks incorporated in the Jakarta Islamic Index (JII). Investors invest their stocks by diversifying into optimal portfolios to minimize the risks. Although investors basically want maximum return and minimum risk, but the optimal portfolio depends on the preferences of the investors themselves. This study discusses the establishment of an optimal portfolio of sharia stocks using multiobjective optimization with Value at Risk (VaR) approach on JII. Investors can simultaneously maximize profits and minimize losses by multiobjective optimization. The weighted coefficient k shows how much investors desire to take the risk of expected return. The results of this study indicate that when the investor has an initial capital of Rp 10,000,000.00 with a 95% confidence level, the Value at Risk (VaR) model is valid on the portfolio formed for the next one week period on ICBP, INDF, PTPP, TLKM, and UNVR. The optimal portfolio for the risk seeker investors used weighted coefficient k=0,01 and k=0,1 with expected return Rp 32,800.00 and risk estimation Rp 580,374.00. The optimal portfolio for the risk indifference investors used weighted coefficient k=1 with expected return Rp 31,940.00 and risk estimation Rp 357,464.00. While the optimal portfolio for the risk averse investors used weighted coefficient k=10, k=100, k=1000, and k=10000 with expected return Rp 23,000.00 up to Rp 25,280.00 and risk estimation Rp 225,604.00 up to Rp 227,982.00.

Item Type: Thesis (Skripsi)
Additional Information: Moh. Farhan Qudratullah, M.Si.
Uncontrolled Keywords: Portfolio, Jakarta Islamic Index, VaR, multiobjective optimization, weighted coefficients.
Subjects: Matematika
Divisions: Fakultas Sains dan Teknologi > Matematika (S1)
Depositing User: Miftahul Ulum [IT Staff]
Date Deposited: 23 Jul 2018 11:15
Last Modified: 23 Jul 2018 11:15
URI: http://digilib.uin-suka.ac.id/id/eprint/30345

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