Optimasi Portofolio Saham Syariah Menggunakan Model Indeks Tunggal dan VaR Berbasis GUI Matlab
Sharia-based investment is an investment by the community to obtain profits in accordance with Islamic principles and law. This study aims to calculate the optimal portfolio return value using the Single Index Model, calculate risk with VaR (Value at Risk), and then implement it with Matlab’s GUI (G...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
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Department of Mathematics, Universitas Negeri Gorontalo
2023-03-01
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| Series: | Jambura Journal of Mathematics |
| Subjects: | |
| Online Access: | https://ejurnal.ung.ac.id/index.php/jjom/article/view/18570 |
| _version_ | 1811159492361977856 |
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| author | Lindrawati Abdjul Resmawan Resmawan Agusyarif Rezka Nuha Nurwan Nurwan Djihad Wungguli La Ode Nashar |
| author_facet | Lindrawati Abdjul Resmawan Resmawan Agusyarif Rezka Nuha Nurwan Nurwan Djihad Wungguli La Ode Nashar |
| author_sort | Lindrawati Abdjul |
| collection | DOAJ |
| description | Sharia-based investment is an investment by the community to obtain profits in accordance with Islamic principles and law. This study aims to calculate the optimal portfolio return value using the Single Index Model, calculate risk with VaR (Value at Risk), and then implement it with Matlab’s GUI (Graphical User Interface). The data used is closing stock price data on the JII (Jakarta Islamic Index) using 30 stocks for two consecutive years. Furthermore, these stocks are selected which have a positive average return value. The study results show that 14 stocks are candidates for optimal portfolios with positive return values, namely: ACES, ADRO, ANTM, BRPT, BTPS, CTRA, EXCL, INCO, MDKA, MNCN, SCMA, TPIA, UNTR, and WIKA. Then the optimal portfolio of the 14 stocks is determined using the Single Index Model considering the ERB (Excess Return to Beta) value ≥ cut-off point value (C*). Based on the value, 4 shares were obtained that belong to the optimal portfolio, namely: MDKA, BRPT, BTPS, and ANTM. Furthermore, VaR calculations are performed on the 4 optimal portfolios to obtain optimum VaR consistency values with 500 repetitions. The VaR calculation results with a 95% confidence level show that the average VaR result is in the range of -0.14704 to -0.3420 so that when investors invest in 4 optimal stocks, the losses experienced by investors are no more than 34%. |
| first_indexed | 2024-04-10T05:42:03Z |
| format | Article |
| id | doaj.art-5d04e71ae9b94e2c94583cbaea19c5d4 |
| institution | Directory Open Access Journal |
| issn | 2654-5616 2656-1344 |
| language | English |
| last_indexed | 2024-04-10T05:42:03Z |
| publishDate | 2023-03-01 |
| publisher | Department of Mathematics, Universitas Negeri Gorontalo |
| record_format | Article |
| series | Jambura Journal of Mathematics |
| spelling | doaj.art-5d04e71ae9b94e2c94583cbaea19c5d42023-03-06T08:24:00ZengDepartment of Mathematics, Universitas Negeri GorontaloJambura Journal of Mathematics2654-56162656-13442023-03-015124325310.34312/jjom.v5i1.185705736Optimasi Portofolio Saham Syariah Menggunakan Model Indeks Tunggal dan VaR Berbasis GUI MatlabLindrawati Abdjul0Resmawan Resmawan1Agusyarif Rezka Nuha2Nurwan Nurwan3Djihad Wungguli4La Ode Nashar5Universitas Negeri GorontaloUniversitas Negeri GorontaloUniversitas Negeri GorontaloUniversitas Negeri GorontaloUniversitas Negeri GorontaloUniversitas Negeri GorontaloSharia-based investment is an investment by the community to obtain profits in accordance with Islamic principles and law. This study aims to calculate the optimal portfolio return value using the Single Index Model, calculate risk with VaR (Value at Risk), and then implement it with Matlab’s GUI (Graphical User Interface). The data used is closing stock price data on the JII (Jakarta Islamic Index) using 30 stocks for two consecutive years. Furthermore, these stocks are selected which have a positive average return value. The study results show that 14 stocks are candidates for optimal portfolios with positive return values, namely: ACES, ADRO, ANTM, BRPT, BTPS, CTRA, EXCL, INCO, MDKA, MNCN, SCMA, TPIA, UNTR, and WIKA. Then the optimal portfolio of the 14 stocks is determined using the Single Index Model considering the ERB (Excess Return to Beta) value ≥ cut-off point value (C*). Based on the value, 4 shares were obtained that belong to the optimal portfolio, namely: MDKA, BRPT, BTPS, and ANTM. Furthermore, VaR calculations are performed on the 4 optimal portfolios to obtain optimum VaR consistency values with 500 repetitions. The VaR calculation results with a 95% confidence level show that the average VaR result is in the range of -0.14704 to -0.3420 so that when investors invest in 4 optimal stocks, the losses experienced by investors are no more than 34%.https://ejurnal.ung.ac.id/index.php/jjom/article/view/18570investationsingle index modelvalue at risksharia stockgraphical user interface |
| spellingShingle | Lindrawati Abdjul Resmawan Resmawan Agusyarif Rezka Nuha Nurwan Nurwan Djihad Wungguli La Ode Nashar Optimasi Portofolio Saham Syariah Menggunakan Model Indeks Tunggal dan VaR Berbasis GUI Matlab Jambura Journal of Mathematics investation single index model value at risk sharia stock graphical user interface |
| title | Optimasi Portofolio Saham Syariah Menggunakan Model Indeks Tunggal dan VaR Berbasis GUI Matlab |
| title_full | Optimasi Portofolio Saham Syariah Menggunakan Model Indeks Tunggal dan VaR Berbasis GUI Matlab |
| title_fullStr | Optimasi Portofolio Saham Syariah Menggunakan Model Indeks Tunggal dan VaR Berbasis GUI Matlab |
| title_full_unstemmed | Optimasi Portofolio Saham Syariah Menggunakan Model Indeks Tunggal dan VaR Berbasis GUI Matlab |
| title_short | Optimasi Portofolio Saham Syariah Menggunakan Model Indeks Tunggal dan VaR Berbasis GUI Matlab |
| title_sort | optimasi portofolio saham syariah menggunakan model indeks tunggal dan var berbasis gui matlab |
| topic | investation single index model value at risk sharia stock graphical user interface |
| url | https://ejurnal.ung.ac.id/index.php/jjom/article/view/18570 |
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