PEMBENTUKAN PORTOFOLIO SAHAM OPTIMAL DENGAN MEAN ABSOLUTE DEVIATION PADA DATA SAHAM JAKARTA ISLAMIC INDEX

In 2017 to 2020 the Jakarta Islamic Index (JII) showed a positive trend and was quite stable compared LQ45 index. The selection of JII stock index in this study is intended obtain maximum profits. Investors are expected create series portfolios get profit. One ways identify stocks for portfolio formation use factor analysis. Factor analysis used summarize large number variables into new, smaller factors. This new called portfolio. Mean Absolute Deviation (MAD) method an optimal as well improvement on Markowitz terms non-linear (quadratic) mathematical models. MAD mean absolute value deviation between realized return return. optimization technique simplex method. Optimizing objective function by constraining set constraints done forming table. Based processing using method, investment weight each that make up first 30% CPIN shares; 29.23% JPFA's 10.77% shares SMGR; UNVR. Meanwhile, constituent second ACES 10% ERAA's INCO's PGAS 0% WIKA shares. results performance evaluation show 2 better than 1, looking at Sharpe 0.0135629 1 -0.0281177.