Keywords:-

Keywords: Portfolio, Mean-Semivariance, JII Equity.

Article Content:-

Abstract

Indonesians are increasingly drawn to sharia-compliant stock investments. Investors ought to strive to enhance their profits to effectivelyattenuate existing risks. The difficulties faced by investors can be reduced through careful portfolio construction. The mean-semivariance method acts as an advanced portfolio optimization technique that bypasses distribution assumptions and is proficientat creating portfolios marked by minimal risk. Prior to entering the realm of investment, it is essential for investors to assess the performance of their portfolios. This study employs the Sharpe Index as an insightful gauge for performance evaluation. The analysis will focus on five stocks that have consistently been included in the Jakarta Islamic Index (JII) over the last decade, namely: ADRO, AKRA, ICBP, KLBF, TLKM, UNTR, and UNVR. Drawing from stock returns between November 17, 2022, and November 17,2023, the ideal risk-minimized portfolio is formulated using two stocks: AKRA, with a weight of 24.23%, and ICBP, with a weight of 75.77%. This carefully curated composition results in an expected return of 0.00035 and a risk measure of 0.0000748. In addition, the Sharpe index of 0.02295 indicates that the constructed portfolio showcases commendable performance, establishing it as a judicious option for investors seeking reliable investment assets

References:-

References

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Sitanggang, R., ., T., & Fakhriyana, D. (2025). Portfolio Formation Using the Mean-Semi-Variance Method on Jakarta Islamic Index (JII). International Journal Of Mathematics And Computer Research, 13(4), 5067-5072. https://doi.org/10.47191/ijmcr/v13i4.06