Optimasi Portofolio Menggunakan Metode Mean-Variance dengan L1-Regularization Saham Jakarta Islamic Index (JII)

Abstract

The capital market, including Sharia-based indices such as the Jakarta Islamic Index (JII), offers investment opportunities but also carries inherent risks due to price fluctuations and market conditions. This study aims to analyze the application of the Mean-Variance method with L1-Regularization in constructing an optimal portfolio of JII stocks and to compare its performance with the traditional Mean-Variance method without regularization. The data consist of historical closing prices of selected stocks, with portfolio weights optimized to minimize risk under the constraints of total weights summing to one and a minimum expected return. Portfolio performance is evaluated using the Sharpe Ratio. The findings reveal that applying L1-Regularization enhances portfolio performance, achieving a Sharpe Ratio of 0.70 compared to 0.39 for the non-regularized method, indicating greater efficiency and stability for investment strategies in the Sharia capital market.