Journal of Applied Islamic Economics and Finance
Vol 1 No 2 (2021): Journal of Applied Islamic Economics and Finance (February 2021)

Analisis Pembentukan Portofolio Optimal dan Penentuan Nilai Risiko pada Saham Syariah

Ajeng Defi Aprilia (Program Studi D4 Keuangan Syariah, Politeknik Negeri Bandung)
Ade Ali Nurdin (Jurusan Akuntansi, Politeknik Negeri Bandung)
Muhamad Umar Mai (Jurusan Akuntansi, Politeknik Negeri Bandung)

Article Info

Publish Date
28 Feb 2021

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.

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Journal Info
Journal of Applied Islamic Economics and Finance
Website

Abbrev

jaief

Publisher

Politeknik Negeri Bandung

Subject

Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

Description

Journal of Applied Islamic Economics and Finance is a journal published by the Accounting Department of Politeknik Negeri Bandung, Indonesia. JAIEF (e-ISSN: 2746-6213) is published thrice a year (October, February, and June). As the name implies, this journal brings two major themes, namely Islamic ...