The Best Investment Scenario for Hajj Fund Management in Indonesia

Dina Fitrisia Septiarini; Imron Mawardi; Nisful Laila; Indra Gunawan; Jihan Irbah Nadiah

doi:10.33102/jmifr.552

Authors

Dina Fitrisia Septiarini Faculty of Economics and Business, Airlangga University, Surabaya, East Java 60115, Indonesia https://orcid.org/0000-0001-5486-1971
Imron Mawardi Faculty of Economics and Business, Airlangga University, Surabaya, East Java 60115, Indonesia
Nisful Laila Faculty of Economics and Business, Airlangga University, Surabaya, East Java 60115, Indonesia
Indra Gunawan Indonesian International Islamic University (IIIU), Depok, West Java 16416, Indonesia
Jihan Irbah Nadiah Faculty of Economics and Business, Airlangga University, Surabaya, East Java 60115, Indonesia https://orcid.org/0000-0003-4771-6439

DOI:

https://doi.org/10.33102/jmifr.552

Keywords:

Optimal portfolio, Return, Investment risk, Benefit value, Hajj fund

Abstract

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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