Analysis of determining optimal portfolio in BPKH’s portfolios using Tangency Portfolio model
نویسندگان
چکیده
Purpose – This study aims to analyze the actual portfolio of BPKH from hajj fund investment and examine optimization for based on PP No.5 Tahun 2018.Methodology The data used in this was quarterly form price coupon Sukuk instruments equivalent yield rate Sharia deposits. uses Markowitz Diversification method with Tangency Portfolio model as a determine optimal portfolio. Findings result showed that BPKH’s portfolios 2018 2019 can’t be determined efficient Meanwhile, 2020 2021 are included but not an has composition follows: 30% deposits, 5,60% SBSN, 64,40% SDHI.Implication finding can recommend allocate most SDHI than SBSN because high risk still deposits worth maximum regulation 2018. needs diversify wider such Lembaga Tabung Haji (LTH) done Malaysia.Originality contributes evaluate whether first third years since operation after or not. Furthermore, provides combination scenario
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ژورنال
عنوان ژورنال: Jurnal Ekonomi & Keuangan Islam
سال: 2023
ISSN: ['2088-9968', '2614-6908']
DOI: https://doi.org/10.20885/jeki.vol9.iss2.art3