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

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