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All Journal JURNAL EKONOMI DAN KEBIJAKAN PEMBANGUNAN Jurnal Manajemen dan Agribisnis Signifikan : Jurnal Ilmu Ekonomi Jurnal Ekonomi Journal The Winners Indonesian Journal of Business and Entrepreneurship (IJBE) Journal of Indonesian Economy and Business Jurnal Aplikasi Bisnis dan Manajemen (JABM) E-Journal MIX : Jurnal Ilmiah Manajemen Jurnal Ekonomi & Kebijakan Publik Jurnal Manajemen Indonesia Journal of Economic, Bussines and Accounting (COSTING) Al-Muzara'ah AFEBI Economic and Finance Review JIMFE (Jurnal Ilmiah Manajemen Fakultas Ekonomi) Jurnal Proaksi International Journal of Zakat (IJAZ) Business Review and Case Studies JEMSI (Jurnal Ekonomi, Manajemen, dan Akuntansi) Indonesian Journal of Multidisciplinary Science International Journal of Cyber and IT Service Management (IJCITSM) Journal of Indonesian Economy and Business Eduvest - Journal of Universal Studies Journal of Contemporary Administration and Management (ADMAN) Jurnal Ekonomi dan Pembangunan Indonesia Jurnal Komplikasi Anestesi
Tony Irawan
Department Of Economics, Faculty Of Economics And Management, Bogor Agricultural University
Religion Aerospace Engineering Agriculture, Biological Sciences & Forestry Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Engineering Environmental Science Health Professions Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Library & Information Science Mathematics Medicine & Pharmacology Neuroscience Public Health Social Sciences Other

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Journal : Journal The Winners

 1 
Optimum Portfolio Analysis of Black-Litterman Model in The Indonesian Stock Exchange on Consumer Goods Industrial Sector Pudjiani, Meilina; Syaukat, Yusman; Irawan, Tony
Journal the Winners: Economics, Business, Management, and Information System Journal Vol 21, No 1 (2020): The Winners (In Press)
Publisher : Bina Nusantara University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21512/tw.v21i1.5954

Abstract

The purpose of this research was to identify the allocation of optimum portfolio formation in consumer goods sector at Indonesian Stock Exchange from 2014 to 2018 by using Black-Litterman model. This quantitative research used secondary data on stock prices of the consumer goods sector on the Indonesian Stock Exchange from January 2014 to December 2018 which was obtained from Yahoo Finance and the Indonesia Stock Exchange. Four stocks formed the optimum portfolio of consumer goods sector identified by using Black-Litterman model. Those are stocks of PT Indofood CBP Sukses Makmur Tbk, PT Kimia Farma Tbk, PT Indofarma Tbk, PT Indofarma Tbk, and PT HM Sampoerna Tbk. The results show that stock with the biggest proportion was ICBP’s with proportion of 68,5379%. Meanwhile the smallest proportion was INAF’s, which is 3,0277%. The mean return was calculated from this proportion, resulting in 3,678% while the risk value was 1,471%.
Optimum Portfolio Analysis of Black-Litterman Model in The Indonesian Stock Exchange on Consumer Goods Industrial Sector Meilina Pudjiani; Yusman Syaukat; Tony Irawan
The Winners Vol. 21 No. 1 (2020): The Winners
Publisher : Bina Nusantara University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21512/tw.v21i1.5954

Abstract

The aim of the research was to identify the allocation of optimum portfolio formation in consumer goods sector at Indonesian Stock Exchange from 2014 to 2018 by using Black-Litterman model. This quantitative research used secondary data on stock prices of the consumer goods sector on the Indonesian Stock Exchange from January 2014 to December 2018 which was obtained from Yahoo Finance and the Indonesia Stock Exchange. Four stocks formed the optimum portfolio of consumer goods sector identified by using Black-Litterman model. Those are stocks of PT Indofood CBP Sukses Makmur Tbk, PT Kimia Farma Tbk, PT Indofarma Tbk, PT Indofarma Tbk, and PT HM Sampoerna Tbk. The results show that stock with the biggest proportion was ICBP’s with proportion of 68,5379%. Meanwhile the smallest proportion was INAF’s, which is 3,0277%. The mean return was calculated from this proportion, resulting in 3,678% while the risk value was 1,471%.
Co-Authors Abdullah, Feriansyah Abrar Setiawan Achsani, Noer Azham Adler Haymans Manurung Afrianto, Andri Ahmad Cahyo Nugroho Ahmad Rifai Ajeng Ayu Sabriani Alla Asmara Anny Ratnawati Anny Ratnawati Arief Anshory Yusuf Aruddy Aziz, Lukmanul Hakim Dadang Wahyu Juniarwoko Debby Anggraeni Dedi Budiman Hakim Deviyantini Deviyantini Deviyantini, Deviyantini Djayanti Sari Djoni Hartono Dominicus Savio Priyarsono DS Priyarsono Eka Khaerandy Oktafianto Erliza Noor Faisal Azmi Feriansyah Abdullah Feriansyah, Feriansyah Futu Faturay Hakim, Dedi Budiman Hartoyo Hendri Setiadi Hendro Sasongko Hermanto Siregar Herry Suhardiyanto Hesti Werdaningtyas Indrawan, Dikky Irfan Syauqi Beik Isro'iyatul Mubarokah Isro’iyatul Mubarokah Jamhari Jamhari Juniarwoko, Dadang Wahyu Khoirul Marzuki Kusumadewi, Tiara Lukytawati Anggraeni M. Abdul Rahman Maemonah, Maemonah Meilina Pudjiani Moch. Hadi Santoso Muhammad Fauzan Fadhlani Muhammad Firdaus Mulya Syafnur Mursalin, Destrianto Noer Azham Achsani Noviyanti, Fuzi Nugraha, Dwi Tjahya Nur Maghfirah Nur Muflihatun Azizah Pudjiani, Meilina Raden Dikky Indrawan Rahmawati, Mega Tri Ranti Wiliasih Ray Agung Sucika Pratama Ready Prima Dudesy Reffi Marizka Dewi Risya Maulida Septiana Salman Fajri Salman Fajri Santoso, Moch. Hadi Saraswati, Raras Aisyah Sidiq Suryo Nugroho Solihati, Garin Pratiwi Soni Rita Purba Sri Retno Wahyu Nugraheni Sudadi Sugema, Iman Tamami, Ahmad Jihan Tony Trias Andati Trias Andati Trias Andati Vina Eka Andriyani Wanda Kharisa Ristyanti Wita Juwita Ermawati Yusman Syaukat