Analysis of Constant Correlation Optimal Portfolio Model (Case Study in Jakarta Islamic Index) Irni Yunita
Telkom University
Padjadjaran University
Abstract
The purpose of this study is to performed and analyze the optimal portfolio by using Constant Correlation Model. The sample of this research is all securities in Jakarta Islamic Index Period 2018. This research is using time series data from 2013 to 2018. The results shows that the optimal portfolio selection is consist of 2 securities : TPIA (52.93%) and BPRT (46.07%). The monthly return of Portfolio is 5.7 %, above the individual return and the risk of portfolio is 0.106%, below the individual risk. The portfolio performance index is positive and above the market. The value of Sharpe Index is 0.0435, Treynor Index is 1.5819 and Jensen Index is 0.0529.
Keywords: Optimal Portfolio Selection, Constant Correlation Model, Portfolio Performance, Jakarta Islamic Index
