Optimizing Financing Sharia Bank Through the Formation of Optimal Portfolio with Single Index Model
Abstract
This study was conducted to determine the optimal portfolio combination and its proportion for Sharia bank financing which is divided into several contracts (murabahah, mudharabah, musyarakah, ijarah, dan qardh). This research is quantitative because it involves a number of mathematical calculation techniques to determine the optimal portfolio composition with Single Index Model (SIM) as its method of analysis. The SIM enables precise calculation of the composition of each asset (financing) by identifying the value of Excess Return to Beta (ERB) as well as the cut-off point based on the acquisition of equivalent rate of profit sharing for each financing. The result of data processing shows that the biggest financing composition is istishna financing (46.7%), murabahah financing (23.1%), musyarakah financing (19.98%), mudharabah (6.4%), Qardh (2.37%) and ijarah (1.5%). The portfolio return was 357.42 percent with portfolio risk of 3.91 percent. This proves that the establishment of an optimal portfolio can not only increase the profitability of Sharia banks but also reduce the existing level of risk, so that Sharia bank profits can also increase along with the assets of the Sharia bank itself.
Keywords: optimal portfolio, single index model (SIM)
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