ANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIAH COMPLIANT ASSET PRICING MODEL (SCAPM) DENGAN PENDEKATAN VALUE AT RISK (VaR) - GENERALIZED PARETO DISTRIBUTION (GPD)

Muhammad Abizart, NIM.: 22106010077 (2026) ANALISIS RISIKO PORTOFOLIO OPTIMUM SAHAM SYARIAH MENGGUNAKAN SHARIAH COMPLIANT ASSET PRICING MODEL (SCAPM) DENGAN PENDEKATAN VALUE AT RISK (VaR) - GENERALIZED PARETO DISTRIBUTION (GPD). Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

The development of the Islamic capital market in Indonesia shows a positive trend along with the increasing interest of the Muslim community in Islamic investment. However, investing in Sharia-compliant stocks remains exposed to unavoidable price fluctuation risks. To minimize these potential losses, a diversification strategy can be implemented by forming an optimal portfolio. This study aims to construct an optimal portfolio of Sharia-compliant stocks that were consistently listed in the Jakarta Islamic Index (JII) from December 2024 to November 2025 using the Shariah Compliant Asset Pricing Model (SCAPM) method with the sukuk concept, and subsequently analyze the portfolio risk using the Value at Risk-Generalized Pareto Distribution (VaR-GPD) method. The results showed that out of the 28 stocks examined, 4 stocks were selected to form the optimal portfolio, namely ANTM, ASII, BRMS, and TLKM. The optimal portfolio weights for each stock are 39.72% for BRMS, 28.39% for TLKM, 21.94% for ANTM, and 9.94% for ASII. This portfolio generates a daily expected return of 0.00074449 and an extreme risk estimation of 0.03369098. Through this combination, the resulting portofolio is providing to be able the expected return while suppressing the potential for extreme losses more accurately.

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