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All Journal Media Statistika Statistika Historia: Jurnal Pendidik dan Peneliti Sejarah Paramita: Historical Studies Journal Jurnal Matematika & Sains Jurnal Sains Matematika dan Statistika Jurnal Sejarah dan Budaya Indonesian Journal of Artificial Intelligence and Data Mining Islamic Management: Jurnal Manajemen Pendidikan Islam FIKRAH Jurnal Aplikasi Statistika & Komputasi Statistik Fajar Historia: Jurnal Ilmu Sejarah dan Pendidikan Journal of Islamic Monetary Economics and Finance Diakronika Handep: Jurnal Sejarah dan Budaya Euler : Jurnal Ilmiah Matematika, Sains dan Teknologi COMSERVA: Jurnal Penelitian dan Pengabdian Masyarakat Journal of Artificial Intelligence and Digital Business West Science Interdisciplinary Studies International Review of Humanities Studies West Science Interdisciplinary Studies Jurnal Sejarah Indonesia Fikrah : Jurnal Pendidikan Agama Islam
Abdurakhman Abdurakhman
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Arts Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Engineering Environmental Science Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Library & Information Science Mathematics Social Sciences

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Optimizing Islamic Portfolio Formation Using Mathematical and Shariah Approaches Aziz, Abdul; Abdurakhman, Abdurakhman
Journal of Islamic Monetary Economics and Finance Vol. 12 No. 1 (2026)
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21098/jimf.v12i1.2300

Abstract

This paper introduces the Best Sharia-based Capital Asset Pricing Model (BSCAPM), a mathematical modification of the BCAPM model integrating Islamic finance principles. The study focuses on optimizing the beta in the model, incorporating factors aligned with Islamic principles, such as zakat and purification, while excluding short selling. Using data from the Jakarta Islamic Index (JII) from June 2020 to May 2024, the BSCAPM portfolio outperforms the BCAPM portfolio in terms of the Sharpe ratio. The results suggest that BSCAPM could serve as an effective alternative for modeling in Islamic investments, providing Muslim investors with a Shariah-compliant, optimal portfolio formation model. The research contributes to the underexplored domain of portfolio selection modeling in the Islamic sector, enriching references on asset pricing of Shariah portfolios, particularly in the Indonesian Shariah stock market.
Co-Authors Abd Rahman Abdul Aziz Abdul Hoyyi Akmal Akmal Andarir, Andarir Arafah, A Latif Arung Dedi Rosadi Di Asih I Maruddani Di Asih I Maruddani Dwi Mulyatari Efferia, Vallen Emy Siswanah Epha Diana Supandi Febbrizal, Febbrizal Fitri Amanah Gubu, La Haghia, Raisye Soleh Hermansah Hermansah, Hermansah Herni Utami Heru Susetyo Hilimi, Nurindah Indah Manfaati Nur Indi Febriana Suhriani Indradewa, Rhian Ira Apriyanti Israr, Israr Kurohman, M Taofik La Gubu Linda Sunarti Loliyana, Nilan M. Nasor, M. Mahabah, Intan Nasirin, Anas Anwar Nugroho, Tito Tri Nur Hidayah Prihatini, Farida Rahmadhani, Suri Rahman, Syahidah Sumayyah Samosir, Jelita Santosa, Ayi Budi Sihotang, Geisha Siswantari Siswantari, Siswantari Siti Patimah Soraya Soraya Sugiarto, Gabriela Tangkilisan, Yuda B Warisno, A wildan Insan Fauzi Yeni Kurniawati, Yeni Yon Machmudi Zuhdi, Susanto