PENDEKATAN METODE MARKOWITZ UNTUK OPTIMALISASI PORTOFOLIO DENGAN RISIKO EXPECTED SHORTFALL (ES) PADA SAHAM SYARIAH DILENGKAPI GUI MATLAB

A portfolio is a combination of two or more securities as investment targets for a certain period of time with certain conditions. The Markowitz method is a method that emphasizes efforts to maximize return expectations and can minimize stock risk. One method that can be used to measure risk is Expected Shortfall (ES). ES is an expected measure of risk whose value is above Value-at-Risk (VaR). To make it easier to calculate optimal portfolios with the Markowitz method and risk analysis with ES, an application was made using the Matlab GUI. The data used in this study consisted of three JII stocks including CPIN, CTRA, and BSDE stocks. The results of the portfolio formation with the Markowitz method obtained an optimal portfolio, namely the combination of CPIN = 34.7% and BSDE = 65.3% stocks. At the 95% confidence level, the ES value of 0.206727 is greater than the VaR value (0.15512).

Analysis Investor Index Indonesia with Capital Asset Pricing Model (CAPM)

This study aimed to compare composition of the optimal portfolio of stocks, the proportion of funds in each of these stocks and calculate risk and return portfolio from Investor33 (INV33) Index and Jakarta Islamic Index (JII) in research period January 2016-December 2018. The method used in this research is a quantitative descriptive method. Sample in this study using purposive sampling were 24 stock from INV33 Index and 17 stock from JII Index. The results of the study were as follows : (1) The optimal portfolio of stocks by using capital asset pricing model from INV33 Index are CPIN (Charoen Pokphand Indonesia Tbk), ITMG (Indo Tambangraya Megah Tbk), BBCA (Bank Central Asia Tbk), UNTR (United Tractor Tbk), (TLKM) Telekomunikasi Indonesia (Persero) Tbk, ICBP (Indofood CBP Sukses Makmur Tbk), BBTN (Bank Tabungan Negara Persero Tbk and from JII Index are ADRO (Adaro Energy Tbk), ICBP (Indofood CBP Sukses Makmur Tbk), INCO (Vale Indonesia Tbk), INDF (Indofood Sukses Makmur Tbk), TLKM (Telekomunikasi Indonesia Persero Tbk), UNTR (United Tractor Tbk). (2) The composition of the proportion of funds in optimal portfolio formed by INV33 Index are BBCA (46,49%), CPIN (20,11%), ICBP (12,78%), ITMG (8,59%), UNTR (6,95%), TLKM (4,11%) and BBTN (0,97%) and from JII Index are ICBP (34,96%), ADRO (19,47%), UNTR (16,26%), INCO (10,88%), TLKM (10,43%) and INDF (8,00%). (3) The optimal portfolio of stocks return from INV33 Index was greater than stock portfolio return from JII Index and the optimal portfolio of stocks risk from INV33 Index was lower than stock portfolio risk from JII Index.

Optimal portfolio analysis of manufacturing entities in the Indonesia Sharia Stock Index

The purpose of this research is to determine the optimal portfolio for manufacturing entities listed on the Indonesian Sharia Stock Index based on a single index model test. The population of this research is manufacturing entities that have been listed in the Indonesian Sharia Stock Index on the Indonesia Stock Exchange for the Period 2019-2020. This study uses a purposive sampling technique using several criteria. Based on this technique, 31 entities meet the criteria. The results showed that the expected return was 5.65%, and the possible risk was 0.22% for 15 (fifteen) stocks included in the optimal portfolio category.

Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework

<p style='text-indent:20px;'>This paper studies the optimal portfolio selection for defined contribution (DC) pension fund with mispricing. We adopt the general hyperbolic absolute risk averse (HARA) utility to describe the risk performance of the pension fund managers. The financial market comprises a risk-free asset, a pair of mispriced stocks, and the market index. Using the dynamic programming approach, we construct the Hamilton-Jacobi-Bellman (HJB) equation and obtain the explicit expressions for optimal portfolio choices with two methods. Finally, numerical analysis is presented to illustrate the sensitivity of the optimal portfolios to parameters of the financial market and contribution process. <b>200</b> words.</p>

Analysis of LQ45 share portfolio on Quadrimester I during the Covid-19 pandemic

Investment is a way of getting profit by investing a certain amount of capital in certain assets. Investing in shares in LQ45 amid the Covid-19 pandemic is one way to benefit when many sectors are experiencing an economic downturn. The purpose of this study was to analyze the differences in the optimal portfolio of LQ45 stocks in the 2019 and 2020 quadrimester I. The samples of this study were companies listed in LQ45. This research method uses the treynor index and t-test. The results of this study are that there is a significant difference in the optimal portfolio using the treynor index model between quadrimester I 2019 and 2020 on LQ45 stocks, this is influenced by conditions amid the Covid-19 pandemic which affects all sectors. The highest optimal number of purchases in the month April 2020 is occupied by companies with the KLBF code, this is an advantage that the company gets during the Covid-19 pandemic. Future research is expected to be able to allocate investment funds optimally for each share to achieve optimal profits. The investor is expected to be able to estimate in advance the stocks that will be selected for their investment.

PENDEKATAN METODE MARKOWITZ UNTUK OPTIMALISASI PORTOFOLIO DENGAN RISIKO EXPECTED SHORTFALL (ES) PADA SAHAM SYARIAH DILENGKAPI GUI MATLAB

A portfolio is a combination of two or more securities as investment targets for a certain period of time with certain conditions. The Markowitz method is a method that emphasizes efforts to maximize return expectations and can minimize stock risk. One method that can be used to measure risk is Expected Shortfall (ES). ES is an expected measure of risk whose value is above Value-at-Risk (VaR). To make it easier to calculate optimal portfolios with the Markowitz method and risk analysis with ES, an application was made using the Matlab GUI. The data used in this study consisted of three JII stocks including CPIN, CTRA, and BSDE stocks. The results of the portfolio formation with the Markowitz method obtained an optimal portfolio, namely the combination of CPIN = 34.7% and BSDE = 65.3% stocks. At the 95% confidence level, the ES value of 0.206727 is greater than the VaR value (0.15512).

Comparison Of Sharia Performance And Conventional Mutual Funds In Forming Optimal Portfolio

This research aims to analyze the differences in the performance of Islamic stock mutual funds and conventional stock mutual funds in forming an optimal portfolio using the Sharpe and Treynor models. Purposive sampling was used in determining the data sample which was then analyzed using the descriptive method with a comparative study during the period January 2018 to December 2019. Hypothesis testing used a different test to determine the difference between the two using the SPSS Application Tool. The results showed that the calculation of the performance of stock mutual funds using the Sharpe method, both Islamic and conventional stock mutual funds, there was no significant difference. Likewise, the results of the calculation of the performance of stock mutual funds using the Treynor method show that there is no difference between the performance of Islamic stock mutual funds and conventional stock mutual funds. This is one proof of the development of the Islamic economy in Indonesia, especially in the capital market, so that Islamic mutual funds can compete with conventional mutual funds.

تحليل العائد والمخاطر لأسهم المحفظة الاستثمارية لعينة المصارف التجارية العراقية الخاصة للمدة 2015-2019

The importance of the research lies in revealing the ability of private Iraqi commercial banks to maximize bank returns by attracting investments in the Iraq Stock Exchange, and the aim of the research is to how to manage the investment portfolio of private Iraqi commercial banks in the Iraq Stock Exchange and in a manner that achieves the highest return and the least risk, in addition In order to know which of those banks has an optimal portfolio, the research assumed that there was an effect of forming an investment portfolio in maximizing the return and reducing the risks for the banks. Statistical methods such as the variance rate, standard deviation and (beta) coefficient were used in measuring the return and risk of stocks to analyze the data. In the fluctuation of the achieved return of shares and the achieved return of the market from one year to another within the period, as well as the change in risk for bank shares from one year to another and during the period and the researcher made some proposals in the form of recommendations to increase the effectiveness of these banks in their investments, the most important of which was how to manage the investment portfolio in banks and increase investment awareness The investors and the need to adhere to the instructions of the Iraq Stock Exchange, as well as work to attract harm Invest in order to increase circulation in the market.