Jambura Journal of Mathematics
Vol 5, No 1: February 2023

Optimasi Portofolio Saham Syariah Menggunakan Model Indeks Tunggal dan VaR Berbasis GUI Matlab

Lindrawati Abdjul (Universitas Negeri Gorontalo)
Resmawan Resmawan (Universitas Negeri Gorontalo)
Agusyarif Rezka Nuha (Universitas Negeri Gorontalo)
Nurwan Nurwan (Universitas Negeri Gorontalo)
Djihad Wungguli (Universitas Negeri Gorontalo)
La Ode Nashar (Universitas Negeri Gorontalo)

Article Info

Publish Date
06 Mar 2023


Sharia-based investment is an investment by the community to obtain profits in accordance with Islamic principles and law. This study aims to calculate the optimal portfolio return value using the Single Index Model, calculate risk with VaR (Value at Risk), and then implement it with Matlab’s GUI (Graphical User Interface). The data used is closing stock price data on the JII (Jakarta Islamic Index) using 30 stocks for two consecutive years. Furthermore, these stocks are selected which have a positive average return value. The study results show that 14 stocks are candidates for optimal portfolios with positive return values, namely: ACES, ADRO, ANTM, BRPT, BTPS, CTRA, EXCL, INCO, MDKA, MNCN, SCMA, TPIA, UNTR, and WIKA. Then the optimal portfolio of the 14 stocks is determined using the Single Index Model considering the ERB (Excess Return to Beta) value ≥ cut-off point value (C*). Based on the value, 4 shares were obtained that belong to the optimal portfolio, namely: MDKA, BRPT, BTPS, and ANTM. Furthermore, VaR calculations are performed on the 4 optimal portfolios to obtain optimum VaR consistency values with 500 repetitions. The VaR calculation results with a 95% confidence level show that the average VaR result is in the range of -0.14704 to -0.3420 so that when investors invest in 4 optimal stocks, the losses experienced by investors are no more than 34%.

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Journal Info







Jambura Journal of Mathematics (JJoM) is a peer-reviewed journal published by Department of Mathematics, State University of Gorontalo. This journal is available in print and online and highly respects the publication ethic and avoids any type of plagiarism. JJoM is intended as a communication forum ...