DOI: https://doi.org/10.14710/j.gauss.12.4.487-498

PEMBENTUKAN PORTOFOLIO OPTIMAL DENGAN METODE MEDIAN VARIANCE PADA SAHAM JAKARTA ISLAMIC INDEX (JII) SEKTOR CONSUMER GOODS

*Muhamad Nabil Faadillah  -  Departemen Statistika, Fakultas Sains dan Matematika, Undip, Indonesia
Di Asih I Maruddani  -  Departemen Statistika, Fakultas Sains dan Matematika, Undip, Indonesia
Arief Rachman Hakim  -  Departemen Statistika, Fakultas Sains dan Matematika, Undip, Indonesia
Open Access Copyright 2024 Jurnal Gaussian under http://creativecommons.org/licenses/by-nc-sa/4.0.

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Abstract
Investment is an activity to place owned assets or funds in a product hoping that there will be profits in the future. This case study was conducted by calculating the optimal portfolio using the median variance and calculating Value at Risk (VaR) using the historical simulation method. Median Variance in portfolio optimization is more suitable to be used as an investment guide because the method is not fixated on the normality distribution of the data. The data used is the Jakarta Islamic Index (JII) daily stock price data for 1 year period, which start from April 23th 2021 until April 23th 2022. The stock price used in this research is the closing price data each day during the period. The return data is used to find the weight using Median Variance method so that an optimal portfolio is formed. it is known that the Value at Risk with a confidence level of 95% and the next 1-day time period is -0,024088232 or -2,41% by investing 1% of the funds into UNVR.JK shares., by 58 % to shares of ICBP.JK, by 57% to shares of INDF.JK, by 1% to shares of JPFA.JK, and the last -17% to KLBF.JK shares is 2.41%.

 

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Keywords: Investment; Portfolio; Jakarta Islamic Index; Median Variance; Historical Simulation

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