Article Per Year (5 Year)
p-Index From 2021 - 2026
0.61
P-Index
This Author published in this journals
All Journal Unisda Journal of Mathematics and Computer Science (UJMC) Journal of Islamic Monetary Economics and Finance Kaunia: Integration and Interconnection of Islam and Science Journal
Abdul Aziz
Department of Statistics, Jenderal Soedirman University, Indonesia
Religion Biochemistry, Genetics & Molecular Biology Chemistry Computer Science & IT Economics, Econometrics & Finance Education Mathematics Physics

Published : 3 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 3 Documents
Search

 1 
Best-Beta CAPM (BCAPM) Optimal Portfolio Performance Using EROV, Sortino, and M2 Methods Abdul Aziz; Mohammad Farhan Qudratullah
Kaunia: Integration and Interconnection Islam and Science Journal Vol. 17 No. 1 (2021)
Publisher : Fakultas Sains dan Teknologi UIN Sunan Kalijaga

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14421/kaunia.3041

Abstract

This study discusses the optimal portfolio performance analysis using Best-Beta CAPM (BCAPM) with methods EROV, Sortino, and M2 were applied to stocks sharia incorporated the Jakarta Islamic Index (JII) in the period from October 1, 2014 – August 31, 2017. The results obtained from this study C portfolio showed an optimal portfolio. The proportion of each stock included in the optimal portfolio is stock UNTR (95.27%) and AKRA (4.73%) with a rate of return expected from optimal portfolio is 1.39%, while the risk of an optimal portfolio of 0.066%. Result of consistency test between the performance of stock portfolio with Kendall’s tau test showed that that those methods was consistent in assessing the performance of stocks portfolio.
Optimizing Islamic Portfolio Formation Using Mathematical and Shariah Approaches Abdul Aziz; 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.
Analisis Hubungan Indeks Ketahanan Pangan dan Presentase Kemiskinan di Jawa Tengah dengan Korelasi Kendall Tau Novita Eka Chandra; Melda Juliza; Abdul Aziz; Ari Wardayani
UJMC (Unisda Journal of Mathematics and Computer Science) Vol. 12 No. 1 (2026): Unisda Journal of Mathematics and Computer Science
Publisher : Mathematics Department, Faculty of Sciences and Technology Unisda Lamongan

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.52166/ujmc.v12i1.13623

Abstract

Food security and poverty are two important economic indicators that are interrelated and are a primary focus of the Sustainable Development Goals (SDGs). This study aims to analyze the strength and direction of the relationship between the Food Security Index (IKP) and the percentage of district/city poverty in Central Java Province from 2022 to 2025. The data used do not meet the assumption of a normal distribution and have several identical values (ties), so the analysis method used is the Kendall Tau correlation. The results show a significant negative relationship between the IKP and the percentage of poverty in Central Java. These results indicate that the IKP at the district/city level plays a role in reducing the percentage of poverty.
Co-Authors Abdurakhman Abdurakhman Ari Wardayani, Ari Melda Juliza Mohammad Farhan Qudratullah Novita Eka Chandra