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All Journal Jurnal Saintika Unpam : Jurnal Sains dan Matematika Unpam Jurnal Statistika dan Matematika (Statmat) Journal of Mathematics Education and Science
Sri Istiyarti Uswatun Chasanah
Universitas Islam Negeri Sunan Kalijaga
Chemistry Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Mathematics Physics Other

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ANALISIS PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM-SAHAM JAKARTA ISLAMIC INDEX (JII) PADA MASA PANDEMI COVID-19 Sri Istiyarti Uswatun Chasanah; Syarif Abdullah; Nina Valentika; Usfita Kiftiyani; Agusyarif Rezka Nuha
JURNAL SAINTIKA UNPAM Vol 3, No 1 (2020)
Publisher : Program Studi Matematika FMIPA Universitas Pamulang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32493/jsmu.v3i1.5649

Abstract

Investment is the wealth of one or more assets in the hope of future benefits. Things to consider in investing are profit and risk. So investors need to diversify their investments, which means investors need to form a portfolio through the selection of several assets so that risk can be minimized without reducing expected profits. The COVID-19 pandemic period had a big impact on the economy, especially for investors in making optimal portfolio formation. This study aims to determine the optimal portfolio formation during the co-19 pandemic using the Single Index Model. The data used are data of consistent shares included in the Jakarta Islamic Index (JII) shares over the past two years. Furthermore, these stocks are chosen which have an average return that is higher than the profits obtained if investors save their money in the bank. The results showed six JII companies included in the candidate for optimal portfolio formation. After the analysis, two shares were produced, namely BRPT with a proportion of 63.8043% and EXCL 36.1957%. The proportion is expected to provide a profit of 1.57% per week and a risk of 6.06% per week. With the proportions obtained, an investment simulation was then carried out during the COVID-19 pandemic. The results of the simulation obtained a gain of 0.0771504% every week. These results are below the risk-free return of assets (SBIS) during the COVID-19-19 pandemic with an average profit of 0.087445% per week. It was concluded that optimal portfolio formation with the Single Index Model did not provide optimal benefits during the COVID-19 pandemic.
ALGORITMA MEMBANGKITKAN PROSES POISSON MAJEMUK DENGAN KOMPONEN PROSES POISSON NONHOMOGEN FUNGSI LINEAR DAN KOMPONEN BERDISTRIBUSI EKSPONENSIAL Syarif Abdullah; Sidik Susilo; Shofiatul Ula; Aswata Aswata; Nina Valentika; Sri Istiyarti Uswatun Chasanah
STATMAT : JURNAL STATISTIKA DAN MATEMATIKA Vol 2, No 1 (2020)
Publisher : Math Program, Math and Science faculty, Pamulang University

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (509.135 KB) | DOI: 10.32493/sm.v2i1.4224

Abstract

Proses Poisson majemuk merupakan salah satu pengembangan dari salah satu proses stokastik. Proses ini merupakan suatu model untuk mengilustrasikan suatu fenomena nyata yang terjadi yangmana memiliki unsur ketidakpastian. Proses ini memiliki dua komponen utama, yaitu komponen frekuensi yang memiliki proses Poisson,  dan komponen seferitas yang memiliki distribusi i.i.d (independent and identically distributed). Penelitian ini membahas tentang pembuatan algiritma untuk membangkitkan proses Poisson majemuk dengan komponen proses poisson nonhomogen berupa fungsi linear dan komponen berdistribusi eksponensial. Metode yang digunakan adalah dengan metode acceptance-rejections dengan teknik thinning process. Hasil penelitian telah didapatkan algoritma  membangkitkan proses Poisson majemuk beserta simulasinya. Algoritma-algoritma tersebut dapat digunakan untuk simulasi analisis komputasi pada berbagai bidang ilmu.
Implementasi Model Indeks Tunggal dalam Pembentukan Portofolio Optimal pada Saham Syariah MES BUMN 17 Periode New Normal Syarif Abdullah; Miftahul Huda; Sri Istiyarti Uswatun Chasanah; Himmatul Mursyidah; Fajri Ikhsan; Sidik Susilo; Alfian Firmansyah; Rizqi Fauzi; Kevin Dion Valen Boy
Journal of Mathematics Education and Science Vol. 5 No. 2 (2022): Journal of Mathematics Education and Science
Publisher : Universitas Nahdlatul Ulama Sunan Giri Bojonegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32665/james.v5i2.563

Abstract

Pasar modal merupakan salah satu wadah dalam berinvestasi saham. Pilihan indeks saham dalam pasar modal di Indonesia dapat dilihat pada Bursa Efek Indonesia (BEI), dimana beberapa diantaranya memiliki prinsip syariah. Salah satu indeks saham yang memiliki prinsip tersebut adalah MES BUMN 17. Pada masa new normal tidak bisa dipungkiri bahwa dalam berinvestasi akan ada kemungkinan dalam mendapatkan imbal hasil dan risiko yang tidak terduga. Tujuan dalam penelitian ini adalah membentuk portofolio yang optimal pada 17 saham yang tergabung dalam MES BUMN 17 pada masa new normal. Penelitian ini menggunakan Single Index Model. Data yang digunakan pada penelitian ini yaitu pada periode new normal, yakni pada periode Desember 2020 s.d November 2021. Hasil penelitiaan didapatkan bahwa pada periode new normal, pada saham MES BUMN 17, memberikan keuntungan yang optimal. Dari 17 saham yang terdapat pada MES BUMN 17, didapatkan 3 saham yaitu saham BRIS (Bank Syariah Indonesia Tbk.) dengan proporsi portofolio 67.093%, saham PTBA (Bukit Asam Tbk.) dengan proporsi portofolio 21.481% dan saham IPCC (Indonesia Kendaraan Terminal Tbk.) dengan proporsi portofolio 11.426%. Expected return portofolio optimal dan risiko portofolio optimal masing-masing sebesar 0.82% dan 0.35% per minggu. Artinya dalam skenario portofolio optimal yang diperoleh dalam analisis ini masih memberikan keuntungan bagi para investor pada periode new normal.
PEMBENTUKAN PORTOFOLIO OPTIMAL PADA INDEKS SAHAM SYARIAH TERBARU DI PASAR MODAL INDONESIA - IDX SHARIA GROWTH (IDXSHAGROW) Himmatul Mursyidah; Syarif Abdullah; Sri Istiyarti Uswatun Chasanah; Miftahul Huda; Fajri Ikhsan; Sidik Susilo
STATMAT : JURNAL STATISTIKA DAN MATEMATIKA Vol 5, No 1 (2023)
Publisher : Math Program, Math and Science faculty, Pamulang University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32493/sm.v5i1.29733

Abstract

Seeing the needs of capital market industry players, the Indonesia Stock Exchange (IDX) developed an Islamic stock index. The newest type of sharia stock index launched by the IDX is IDX Sharia Growth (IDXSHAGROW). Stock investment requires a strategy to obtain maximum returns with minimal risk, one of which is diversification in portfolio formation. This study aims to form an optimal portfolio on the latest Islamic stock index on the Indonesian capital market, namely IDX Sharia Growth (IDXSHAGROW). The model used is the single index diversification model. The data used is for the period December 1, 2021 to. November 30, 2022 with weekly frequency. The results showed that the 30 shares that are members of IDXSHAGROW have 14 candidate shares. Furthermore, by making a cut-off, 11 stocks were included in the optimal portfolio with each proportion, namely MAPI 25.67%, KLBF 22.04%, AKRA 13.28%, UNTR 12.16%, MPMX 8, 3%, BRMS 4.4%, INCO 3.6%, LPPF 2.93%, ELSA 2.59%, AGII 2.54% and MYOR 2.48%. The optimal portfolio expected return value is 0.0017568 with a variance value of 0.00245 and a standard deviation of 0.04954 at weekly frequency. From the analysis of optimal portfolio formation in this study, the results were quite profitable for investors. This can be seen from the expected return value of the portfolio which is higher than the market value with each risk.
SUKUK TABUNGAN SEBAGAI RETURN ASET BEBAS RISIKO PADA MODEL INDEKS TUNGGAL DALAM PEMBENTUKAN PORTOFOLIO OPTIMAL SAHAM JAKARTA ISLAMIC INDEX Sri Istiyarti Uswatun Chasanah
STATMAT : JURNAL STATISTIKA DAN MATEMATIKA Vol 5, No 1 (2023)
Publisher : Math Program, Math and Science faculty, Pamulang University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32493/sm.v5i1.29734

Abstract

Sukuk (sharia bonds) are a profitable investment because they can provide higher returns compared to deposits. In addition, sukuk can also make investors feel safe with very low risk, and can even be considered a risk-free rate. This study uses the value of savings sukuk as a risk-free ratet (R_f) which is used to form a stock portfolio with the Single Index Model. The stocks used in this study are stocks that are included in the Jakarta Islamic Index (JII) for three periods. Based on data on the research range, namely June 1 2020-May 31 2021, a combination of stock proportions in the formation of an optimal portfolio is obtained using the Single Index Model as follows ANTM 38%, JPFA 31%, UNTR 23%, INCO 4% and TKIM 3%. From these proportions, a profit of 0.0188 and a risk of 0.0729 are obtained every week.
Co-Authors Agusyarif Rezka Nuha Alfian Firmansyah Aswata Aswata Fajri Ikhsan Himmatul Mursyidah Kevin Dion Valen Boy Miftahul Huda Nina Valentika Nina Valentika Rizqi Fauzi Shofiatul Ula Sidik Susilo Syarif Abdullah Usfita Kiftiyani