International Journal of Engineering and Management Research (IJEMR)
Year : 2017, Volume : 7, Issue : 5
First page : ( 31) Last page : ( 35)
Print ISSN : 2394-6962. Online ISSN : 2250-0758.

Performance Analysis of Optimal Portfolio of Sharia and Conventional Stocks Using Constant Correlation Model

Sari T. N.¹, Lesmana D. C.¹, Setiawaty B.¹

¹Department of Mathematics Bogor Agricultural University, INDONESIA

Online published on 8 December, 2017.

Abstract

Investment is a process of allocating money or asset expected to provide benefit for future consumption. Stock is chosen by the investors, because the stock is able to provide rate of return. Investing on the stock in Indonesia, in addition to invest on the conventional stocks, investors can also invest on the sharia stocks. Investors need to consider two things, before they make an investment: i.e. expected return and the risk. The risk can be minimized by conducting diversification formed by combining multiple assets into optimal portfolio. One of the models that can be used for the optimal portfolio formation is constant correlation model (CCM). Portfolio performance can be evaluated using Sharpe, Treynor and Jensen measures. This research aimed to form the optimal portfolios of sharia and conventional stocks based on CCM. The data used in this research to form optimal portfolio on sharia and conventional stocks is LQ45 index data in the periode of November 2015 to October 2016. The measurement results of portfolio performance indicated that the sharia stocks performance better than conventional stocks, with the expected return of 1.31% per week with the risk of 3.02% per week.

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Keywords

Constant correlation model, Investment, optimal portfolio.

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