ANALISIS PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MULTI-OBJECTIVE OPTIMIZATION (MOO) DENGAN BERBAGAI MODEL VALUE AT RISK (VAR) (Studi Kasus: Jakarta Islamic Index (JII) Periode 2021-2025)

Wilma Tri Andayani, NIM.: 22106010022 (2026) ANALISIS PORTOFOLIO SAHAM SYARIAH MENGGUNAKAN MULTI-OBJECTIVE OPTIMIZATION (MOO) DENGAN BERBAGAI MODEL VALUE AT RISK (VAR) (Studi Kasus: Jakarta Islamic Index (JII) Periode 2021-2025). Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Sharia stock investment has become increasingly popular; however, it still involves risks that require the construction of an optimal portfolio capable of maximizing returns while minimizing risk simultaneously. This study aims to construct an optimal sharia stock portfolio using Multi-Objective Optimization (MOO) for stocks listed on the Jakarta Islamic Index (JII) during the 2021–2025 period and to estimate portfolio risk using three Value at Risk (VaR) models. Stock selection was conducted through purposive sampling, elimination of stocks with negative expected returns, and the Jarque-Bera normality test, resulting in seven candidate stocks. MOO generated a Pareto Frontier, and the optimal portfolio was selected based on the highest Sharpe Ratio. Portfolio risk was then estimated using the Historical Simulation, Variance-Covariance, and Monte Carlo methods at a 95% confidence level and validated using the Kupiec Proportion of Failures (POF) Test. The results show that the optimal portfolio consists of AKRA (31.49%), INDF (31.34%), PGAS (20.08%), TLKM (10.85%), UNTR (3.99%), and ANTM (2.27%), while ICBP received a weight of 0%. The estimated 95% VaR values are 4.51%, 6.72%, and 5.60%, respectively. Backtesting results indicate that the Historical Simulation and Monte Carlo models are valid, whereas the Variance-Covariance model is not valid because it produces risk estimates that are excessively large compared with the actual market risk.

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