印尼朝觐基金管理的最佳投资方案

Dina Fitrisia Septiarini, Imron Mawardi, Nisful Laila, Indra Gunawan, Jihan Irbah Nadiah
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引用次数: 0

摘要

朝觐基金管理机构(Badan Pengelola Keuangan Haji [BPKH])是负责管理印度尼西亚朝觐基金的机构。通过投资机制,印尼朝觐基金管理机构的收益价值可以减轻未来朝觐者在支付朝觐组织费用(Biaya Penyelanggaran Ibadah Haji [BPIH])方面的负担。本研究考察了两种情况下的最优投资组合构建组合,即不使用监管限制和使用政府监管限制。采用马科维茨方法的线性规划方法的结果表明,在不使用监管限制的情况下,投资分配形成了一个最佳投资组合,在中等情况下实现了夏普最大化。同样,基于监管的投资配置也形成了具有相同目标的投资组合,即夏普比率最大化。这符合 BPKH 的投资特点,即考虑可接受的收益和风险水平,以及 BPKH 的风险状况,即中低风险。这项研究预计将对 BPKH 有所帮助,特别是在编制投资组合以产生最佳效益价值和创造朝觐融资的可持续性方面。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Best Investment Scenario for Hajj Fund Management in Indonesia
The Hajj Fund Management Agency (Badan Pengelola Keuangan Haji [BPKH]) is an institution responsible for managing Hajj funds in Indonesia. Through the investment mechanism, the BPKH’s benefit value can reduce the burden of prospective pilgrims in covering the cost of organizing the Hajj pilgrimage (Biaya Penyelanggaran Ibadah Haji [BPIH]). This study examined the combination of optimal portfolio construction in two situations, namely, without using regulatory restrictions and with government regulatory restrictions. The results of a linear programming approach with the Markowitz method revealed that investment allocation without regulatory restrictions forms an optimal portfolio to maximize Sharpe with a moderate scenario. Likewise, investment allocation based on regulations forms a portfolio with the same goal, namely maximizing the Sharpe ratio. This is in accordance with BPKH’s investment characteristics, which consider acceptable levels of return and risk, as well as BPKH’s risk profile, namely low to moderate. This research is expected to be useful for BPKH, especially in compiling investment portfolios to produce the optimal value of benefits and create sustainability in Hajj finance.
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