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All Journal Equilibrium Logika : Jurnal Penelitian Universitas Kuningan Al-Amwal : Jurnal Ekonomi dan Perbankan Syari\'ah Jurnal Akuntansi dan Pajak Widya Cipta : Jurnal Sekretari dan Manajemen Perspektif : Jurnal Ekonomi dan Manajemen Universitas Bina Sarana Informatika IJBE (Integrated Journal of Business and Economics) Indonesian Journal of Strategic Management Jurnal Riset Keuangan dan Akuntansi (JRKA) ABDIMAS SILIWANGI JURISMA: Jurnal Riset Bisnis & Manajemen JIKA: Jurnal Ilmu Keuangan dan Perbankan Indonesian Journal Of Business And Economics JESI (Jurnal Ekonomi Syariah Indonesia) AKURASI: Jurnal Riset Akuntansi dan Keuangan EconBank : Journal Economics and Banking International Journal of Economics, Business and Accounting Research (IJEBAR) Jurnal Manajemen dan Bisnis Baja (JUMANIS BAJA) Reswara: Jurnal Pengabdian Kepada Masyarakat BERNAS: Jurnal Pengabdian Kepada Masyarakat Bisnis Net : Jurnal Ekonomi dan Bisnis Jurnal Riset Ilmu Ekonomi Jurnal Abdimas Bina Bangsa Asian Management and Business Review Journal Of Human And Education (JAHE) Jurnal Manajemen dan Kewirausahaan International Journal Administration, Business & Organization Worksheet : Jurnal Akuntansi Eastasouth Journal of Positive Community Services Jurnal Bisnis dan Manajemen West Science E-Prosiding Seminar Nasional Manajemen dan Akuntansi STIE Semarang (SENMAS) Bhinneka Tunggal Ika: Jurnal Pengabdian Kepada Masyarakat Jurnal Kajian Ekonomi dan Perbankan Syariah Akurasi Widya Cipta : Jurnal Sekretari dan Manajemen
Yasir Maulana
Universitas Kuningan
Religion Agriculture, Biological Sciences & Forestry Arts Humanities Computer Science & IT Decision Sciences, Operations Research & Management Dentistry Economics, Econometrics & Finance Education Engineering Environmental Science Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Library & Information Science Mathematics Neuroscience Nursing Public Health Social Sciences Veterinary Other

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Journal : Worksheet : Jurnal Akuntansi

 1 
Analisis Portofolio Saham dengan Model Black Litterman-CAPM Lesmana, Arief Surya; Maulana, Yasir
Worksheet : Jurnal Akuntansi Vol 4, No 2 (2025)
Publisher : UNIVERSITAS DHARMAWANGSA

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46576/wjs.v4i2.6275

Abstract

Dalam menghadapi fenomena perubahan kondisi pasar, investor perlu membentuk portofolio yang berbeda agar menghasilkan return dan risiko yang optimal. Tujuan dari penelitian ini adalah untuk membentuk portofolio optimal pada kondisi pasar modal Indonesia yang berbeda. Proksi untuk indeks pasar adalah IHSG dan proksi untuk aset bebas risiko adalah Tingkat suku bunga Sertifikat Bank Indonesia. Sampel dalam penelitian ini adalah 20 perusahaan yang dipilih secara purposive berdasarkan  kapitalisasi pasarnya. Pembentukan portofolio optimal dilakukan melalui model Black Litterman-CAPM. Portofolio optimal terdiri dari 5 saham, yaitu PT Telkom Indonesia (Persero) Tbk sebesar 43,47%, PT Elang Mahkota Teknologi Tbk sebesar 21,22%, PT Bank Central Asia Tbk sebesar 14,29%, PT Mayora Indah Tbk sebesar 12,59%, dan PT Chandra Asri Pacific Tbk sebesar 8,43% dengan return portofolio sebesar 8,05% dan risiko 2,65%. Sedangkan untuk menghadapi kondisi bearish, portofolio optimal terdiri dari 6 saham, yaitu PT Telkom Indonesia (Persero) Tbk sebesar 43,13%, PT Elang Mahkota Teknologi Tbk sebesar 21,25%, PT. United Tractors Tbk sebesar 16,68%, PT Bank Central Asia Tbk sebesar 13,59%, PT Mayora Indah Tbk sebesar 4,17%, dan PT Charoen Pokphand Indonesia Tbk sebesar 1,18% dengan return portofolio sebesar 8,01% dan risiko 5,20%
ANALISIS BIBLIOMETRIK INTEGRASI FAKTOR KEBERLANJUTAN DALAM MODEL FAMA-FRENCH Maulana, Yasir
Worksheet : Jurnal Akuntansi Vol 5, No 1 (2025)
Publisher : UNIVERSITAS DHARMAWANGSA

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46576/wjs.v5i1.7725

Abstract

The Fama-French model has long served as a fundamental framework for explaining variations in stock returns through market risk, firm size, and book-to-market ratio factors, later expanded to include profitability and investment components. However, the growing urgency of sustainability issues in the global financial system calls for the adaptation of asset pricing models to reflect environmental, social, and governance (ESG) dimensions. This study aims to map the scientific development of sustainability integration within the Fama–French model using a bibliometric approach. Data were collected from the Scopus database using the keywords “Fama–French” and “Sustainability/ESG” for the 2000–2024 publication period. The analysis was conducted using VOSviewer and Biblioshiny to identify publication trends, author collaboration, influential journals, and thematic clusters. The findings indicate a significant increase in publications since 2016, with dominant themes including sustainable asset pricing, ESG performance, and risk-adjusted returns. Integrating ESG factors enhances the multifactor model by incorporating non-financial risk dimensions that influence long-term returns. This study contributes to strengthening the body of knowledge in sustainable finance and provides direction for future research on developing asset pricing models that are more inclusive, resilient, and responsive to global sustainability challenges.
Co-Authors A.A. Ketut Agung Cahyawan W Adzimatinur, Fauziyah Agustin, Afni Alifia Alfiana Andini Nurhaeni Anggi Yuliani Ani Rakhmanita Arief Surya Lesmana Ayus Ahmad Yusuf Ayus Ahmad Yusuf Ayus ahmad Yusuf Aziz, Muhhammad Nur Bunga Azzarri Christine Riani Elisabeth Dadang Suhardi Dede Djuniardi DENI SETIAWAN Desi Sriwahyuni Disman Disman, Disman Dodi Elda Mesyani Erlan Darmawan Erwina Kartika Devi Euis Euis Fauziyah Adzimatinur Fildzah Karamina Putri, Siti Harjadi, Dikdik Harun, Muhammad Fiqri Herdiansyah, Muhamad Ferdi Herma Wiharno Herma Wiharno Heru Budianto Hidayat, Yusuf Murtadlo In Min Iqbal Arraniri Irma Tsuraya Choirinnida Irwan Moridu ISKANDAR Iskandar Iskandar Jahidah, Nurul Siti Kartikasari, Dea Komarudin*, Munir Nur Komarudin, Munir Nur Lia Kurniasih Lies Diana Damayanti Lisa Lismawati Marliani, Ana Marlina Agustia Maya Sari Maya Sari Meilaniy, Windy Dwi Meilany, Windy Dwi Mirza Abdi Khairusy Muhammad Musyfiq Muflih Munir Nur Komarudin Munir Nur Komarudin Novi Satria Pradja Nugraha Nugraha Nugraha Nugraha Nurhumaira, Nadhifa Nurul Siti Jahidah Nurul Siti Jahidah Oding Syafrudin Pitriani Pitriani PUJI LESTARI Puspo Dewi Dirgantari Rahmantya, Yanneri Elfa Kiswara Rahmawati , Aulia Nur Ratih Hurriyati Rifa Siti Nurfajriyah Rina Masruroh RIO ANDRIYAT KRISDIAWAN Rismawati, Dede Robi Awaluddin Santikawati, Lita Siti Fildzah Karamina Putri Supriatna, Odang Syafrudin, Oding Wachjuni Wachjuni Wely Hadi Gunawan Yuliani, Anggi