Analisis Perbandingan Perhitungan Portofolio Optimal Pada Saham Syariah Dan Saham Konvensional Dengan Metode Value At Risk

Fitriani, Febby (2018) Analisis Perbandingan Perhitungan Portofolio Optimal Pada Saham Syariah Dan Saham Konvensional Dengan Metode Value At Risk. Other thesis, Universitas Islam Riau.

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Abstract

This study aims to see the difference between the level of risk of investing in Islamic stocks and conventional shares in terms of Value at Risk (VaR) calculation. Value at Risk (VaR) listed in the Jakarta Islamic Index and LQ 45 in the period 1 December 2016 to November 2017. The Object of research including consistent stock in the Jakarta Islamic Index and LQ45. The methods used in this research is a quantitative analysis to seek portofolio optimally as well as the accounts VaR and testing difference with test t free. Based on the results of data analysis it can be seen that the optimal portfolio of Islamic is 9 shares and conventional stocks is 8 shares. Islamic and conventional stocks that have been optimized have a smaller potential risk value than the potential risk of each share in VaR calculations. Basically between the potential optimal portfolio risk of Islamic stocks and the optimal portfolio of conventional stocks is different.

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