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All Journal Indonesian Journal of Statistics and Its Applications
S Febrika
Department of Mathematics, Universitas Bengkulu, Indonesia
Computer Science & IT Mathematics Other

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LQ45 Stock Portfolio Selection using Black-Litterman Model in Pandemic Time Covid-19 Siska Yosmar; S Damayanti; S Febrika
Indonesian Journal of Statistics and Applications Vol 5 No 2 (2021)
Publisher : Departemen Statistika, IPB University dengan Forum Perguruan Tinggi Statistika (FORSTAT)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/ijsa.v5i2p343-354

Abstract

The world was shocked by the emergence of a virus that spread very quickly to several countries including Indonesia at the end of 2019. This virus infection is called Corona Virus Disease 2019 (Covid-19). The outbreak of Covid-19 not only threatens human lives but also disrupts various economic, financial, and business activities, especially in Indonesia. A stock portfolio is a collection of financial assets in a unit that is held or created by an investor, investment company, or financial institution. The Black-Litterman model of the stock portfolio is a portfolio model that involves the CAPM equilibrium return and investor views. The purpose of this study is to determine the stock portfolio with the Black-Litterman model using company data listed in the LQ45 stock index from January 2020 to June 2020. Four of the twenty-nine LQ45 stocks were selected as assets in the stock portfolio. The stock portfolio containing the four stocks, namely ICBP, KLBF, MNCN, and TLKM with the Black-Litterman model resulted in an expected return of 2.07% and a risk of 2.82%.
Co-Authors S Damayanti Siska Yosmar