ANALYSIS OPTIMIZATION OF INVESTMENT PORTFOLIO BADAN PENGELOLA KEUANGAN HAJI (BPKH)

• Main Author: Hayatul, Yulia
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/75394
• Institution: Institut Teknologi Bandung

The Hajj Financial Management Agency (BPKH) is responsible for handling Indonesian Hajj financial investments in accordance with Islamic principles of prudence, transparency, responsibility, and safety. This study aims to define how BPKH investment’s function and evaluate the performance of BPKH investment assets in order to attain the highest possible returns. Using five shariah-compliant investment assets, including historical data from 2018 to 2022. The objective is to discover the optimal weight condition that maximizes Sharpe return for risk adjusted return. This research combines a quantitative approach with descriptive method. The analysis technique utilized in this study is the result of a Microsoft Excel-solved optimal portfolio equation. The data imply that the current BPKH investment scenario is undesirable. Markowitz provides superior returns if the weight of each asset is adjusted to the level of return and portfolio risk using an efficient frontier strategy in the production of BPKH portfolio optimization based on the outcomes of Sharia-compliant asset analysis with a current portfolio theory approach.