Analisis Risk Asset Portfolio Berbasis Reward To Variability Pada Saham Syariah Di Indonesia Menggunakan Nonlinear Programming

This research seeks to analyze the development of syariah stock optimization method using Nonlinear Programming in order to provide an optimal portfolio as a reference in improving the quality of syariah capital market in Indonesia. The research design used is descriptive qualitative by presenting a...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autor principal:	Noor Saif Muhammad Mussafi
Formato:	article
Lenguaje:	EN
Publicado:	Department of Mathematics, UIN Sunan Ampel Surabaya 2017
Materias:	Syariah stock; Quadratic proramming; Risk; Return; RVAL Mathematics QA1-939
Acceso en línea:	https://doaj.org/article/240c7fc22b4246b59a7eeb7d37356b5e
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:240c7fc22b4246b59a7eeb7d37356b5e
record_format	dspace
spelling	oai:doaj.org-article:240c7fc22b4246b59a7eeb7d37356b5e2021-12-02T15:31:56ZAnalisis Risk Asset Portfolio Berbasis Reward To Variability Pada Saham Syariah Di Indonesia Menggunakan Nonlinear Programming2527-31592527-316710.15642/mantik.2017.3.2.57-64https://doaj.org/article/240c7fc22b4246b59a7eeb7d37356b5e2017-10-01T00:00:00Zhttp://jurnalsaintek.uinsby.ac.id/index.php/mantik/article/view/164https://doaj.org/toc/2527-3159https://doaj.org/toc/2527-3167This research seeks to analyze the development of syariah stock optimization method using Nonlinear Programming in order to provide an optimal portfolio as a reference in improving the quality of syariah capital market in Indonesia. The research design used is descriptive qualitative by presenting a Shariah stock history data within a certain period that is analyzed and modeled for later sought solving. The data in this research is the stock price information syariah incorporated in the Jakarta Islamic Index (JII). Selected data with Reward to Variability (RVAL) were then analyzed using theories in financial mathematics and developed using quadratic programming. The result of this research is systematic step formulation to maximize profit level and minimize risk level of syariah share investment incorporated in JII in January 2015-December 2016 time domain. This research also concludes that by this method can be known the proportion of funds that can be invested in five best issuers. In the sample taken, for the expected profit level of 5.5% to 7.5%, then an investor is advised to embed its shares consecutively to AKRA, ICBP, PTPP, TLKM and WSKT on average of 29.74% ; 13.42%; 18.14%; 29.58%; And 9.1% with risk between 0.028301593% to 0.029386615%.Noor Saif Muhammad MussafiDepartment of Mathematics, UIN Sunan Ampel SurabayaarticleSyariah stock; Quadratic proramming; Risk; Return; RVALMathematicsQA1-939ENMantik: Jurnal Matematika, Vol 3, Iss 2, Pp 57-64 (2017)
institution	DOAJ
collection	DOAJ
language	EN
topic	Syariah stock; Quadratic proramming; Risk; Return; RVAL Mathematics QA1-939
spellingShingle	Syariah stock; Quadratic proramming; Risk; Return; RVAL Mathematics QA1-939 Noor Saif Muhammad Mussafi Analisis Risk Asset Portfolio Berbasis Reward To Variability Pada Saham Syariah Di Indonesia Menggunakan Nonlinear Programming
description	This research seeks to analyze the development of syariah stock optimization method using Nonlinear Programming in order to provide an optimal portfolio as a reference in improving the quality of syariah capital market in Indonesia. The research design used is descriptive qualitative by presenting a Shariah stock history data within a certain period that is analyzed and modeled for later sought solving. The data in this research is the stock price information syariah incorporated in the Jakarta Islamic Index (JII). Selected data with Reward to Variability (RVAL) were then analyzed using theories in financial mathematics and developed using quadratic programming. The result of this research is systematic step formulation to maximize profit level and minimize risk level of syariah share investment incorporated in JII in January 2015-December 2016 time domain. This research also concludes that by this method can be known the proportion of funds that can be invested in five best issuers. In the sample taken, for the expected profit level of 5.5% to 7.5%, then an investor is advised to embed its shares consecutively to AKRA, ICBP, PTPP, TLKM and WSKT on average of 29.74% ; 13.42%; 18.14%; 29.58%; And 9.1% with risk between 0.028301593% to 0.029386615%.
format	article
author	Noor Saif Muhammad Mussafi
author_facet	Noor Saif Muhammad Mussafi
author_sort	Noor Saif Muhammad Mussafi
title	Analisis Risk Asset Portfolio Berbasis Reward To Variability Pada Saham Syariah Di Indonesia Menggunakan Nonlinear Programming
title_short	Analisis Risk Asset Portfolio Berbasis Reward To Variability Pada Saham Syariah Di Indonesia Menggunakan Nonlinear Programming
title_full	Analisis Risk Asset Portfolio Berbasis Reward To Variability Pada Saham Syariah Di Indonesia Menggunakan Nonlinear Programming
title_fullStr	Analisis Risk Asset Portfolio Berbasis Reward To Variability Pada Saham Syariah Di Indonesia Menggunakan Nonlinear Programming
title_full_unstemmed	Analisis Risk Asset Portfolio Berbasis Reward To Variability Pada Saham Syariah Di Indonesia Menggunakan Nonlinear Programming
title_sort	analisis risk asset portfolio berbasis reward to variability pada saham syariah di indonesia menggunakan nonlinear programming
publisher	Department of Mathematics, UIN Sunan Ampel Surabaya
publishDate	2017
url	https://doaj.org/article/240c7fc22b4246b59a7eeb7d37356b5e
work_keys_str_mv	AT noorsaifmuhammadmussafi analisisriskassetportfolioberbasisrewardtovariabilitypadasahamsyariahdiindonesiamenggunakannonlinearprogramming
_version_	1718387133198106624

Analisis Risk Asset Portfolio Berbasis Reward To Variability Pada Saham Syariah Di Indonesia Menggunakan Nonlinear Programming

Ejemplares similares