ANALISIS RISIKO PORTOFOLIO OPTIMAL PADA SAHAM SYARIAH MENGGUNAKAN LIQUIDITY ADJUSTED CAPITAL ASSET PRICING MODEL DENGAN PENDEKATAN VALUE AT RISK GENERALIZED PARETO DISTRIBUTION

Choirunnisa Ramadhania, NIM.: 21106010024 (2025) ANALISIS RISIKO PORTOFOLIO OPTIMAL PADA SAHAM SYARIAH MENGGUNAKAN LIQUIDITY ADJUSTED CAPITAL ASSET PRICING MODEL DENGAN PENDEKATAN VALUE AT RISK GENERALIZED PARETO DISTRIBUTION. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

The Islamic capital market in Indonesia has experienced significant growth in line with the increasing public awareness of investment based on Islamic principles. Although in accordance with sharia principles, investment in the capital market still contains risks that need to be analyzed thoroughly, especially related to liquidity and price fluctuations. This study aims to analyze the optimal portfolio risk of Islamic stocks using the Liquidity Adjusted Capital Asset Pricing Model (LCAPM) and the Value at Risk (VaR) approach based on Generalized Pareto Distribution (GPD). The research object includes Islamic stocks in the Jakarta Islamic Index 70 (JII70) index for the period June 2023 to May 2024. From 22 consistent stocks, 13 stocks with positive returns were selected for analysis. The selection results based on the Return-to-Risk ratio resulted in the five best stocks, namely BRIS, MIKA, and TPIA, with portfolio proportions of 60,67, 22,68, and 16,65%, respectively. The portfolio generates a daily expected return of 0.7165%, and risk estimation using VaR-GPD shows a potential loss of 0.813% at the 95% confidence level. These results show that the combination of LCAPM and GPD provides a comprehensive risk picture for Islamic investors.

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