Salsabila, NIM.: 21106010029 (2025) ANALISIS RISIKO PORTOFOLIO OPTIMAL MENGGUNAKAN TREYNOR BLACK MODEL DAN EXPECTED SHORTFALL. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.
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Text (ANALISIS RISIKO PORTOFOLIO OPTIMAL MENGGUNAKAN TREYNOR BLACK MODEL DAN EXPECTED SHORTFALL)
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Text (ANALISIS RISIKO PORTOFOLIO OPTIMAL MENGGUNAKAN TREYNOR BLACK MODEL DAN EXPECTED SHORTFALL)
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Abstract
The growth of sharia-compliant investments in Indonesia shows a positive trend and highlights the need for effective risk management strategies. This study aims to construct an optimal sharia stock portfolio by combining the Treynor-Black model with the Expected Shortfall (ES) method. The Treynor-Black model is employed to identify superior stocks based on alpha and beta values, while ES is chosen for its ability to measure extreme risk more accurately than Value at Risk (VaR). The analysis is conducted using daily stock data from the Jakarta Islamic Index 70 (JII 70) for the period from June 2023 to May 2024. The results show that 10 stocks are eligible to be included in the active portfolio. The resulting weights are as follows: ADRO 29,65%, AKRA 13,99%, PTBA 10,19%, JPFA 9,59%, ACES 9,39%, EXCL 8,2%, MIKA 8,01%, UNTR 5,92%, CPIN 3,4%, and CTRA 1,66%. The combined portfolio, consisting of the active portfolio and the market portfolio, generates a daily expected return of 0.0074% with a standard deviation of 0.58% and an Expected Shortfall of 5.02%. These results indicate a balance between return potential and measurable risk, suggesting that the combination of the Treynor-Black model and Expected Shortfall is effective in forming an optimal Sharia-compliant portfolio that is responsive to market dynamics.
| Item Type: | Thesis (Skripsi) |
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| Additional Information / Supervisor: | Moh. Farhan Qudratullah, S.Si., M.Si |
| Uncontrolled Keywords: | Treynor Black Model, Expected Shortfall, Portofolio Optimal, Risiko Investasi, Jakarta Islamic Index |
| Subjects: | 500 Sains Murni > 510 Mathematics (Matematika) |
| Divisions: | Fakultas Sains dan Teknologi > Matematika (S1) |
| Depositing User: | Muh Khabib, SIP. |
| Date Deposited: | 22 May 2023 11:20 |
| Last Modified: | 11 Aug 2025 13:26 |
| URI: | http://digilib.uin-suka.ac.id/id/eprint/58792 |
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