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All Journal Journal of Applied Islamic Economics and Finance
Ajeng Defi Aprilia
Program Studi D4 Keuangan Syariah, Politeknik Negeri Bandung
Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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Journal : Journal of Applied Islamic Economics and Finance

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Analisis Pembentukan Portofolio Optimal dan Penentuan Nilai Risiko pada Saham Syariah Ajeng Defi Aprilia; Ade Ali Nurdin; Muhamad Umar Mai
Journal of Applied Islamic Economics and Finance Vol 1 No 2 (2021): Journal of Applied Islamic Economics and Finance (February 2021)
Publisher : Jurusan Akuntansi Politeknik Negeri Bandung

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (519.915 KB) | DOI: 10.35313/jaief.v1i2.2480

Abstract

The purpose of this research is to determine the optimal portfolio formation in Islamic stocks on the Jakarta Islamic Index (JII) which is listed on the Indonesia Stock Exchange with a single model. Then measure the risk value that may occur and be accepted by investors using the Value at Risk (VaR) method with the Exponentially Weighted Moving Average (EWMA) approach. By using the Single Index Model, 5 stocks are selected and form an optimal portfolio, namely ASII, ICBP, TLKM, UNTR and UNVR.
Co-Authors Mochamad Umar Mai Nurdin, Ade Ali