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All Journal Jurnal Online Mahasiswa (JOM) Bidang Matematika dan Ilmu Pengetahuan Alam
Rolan PanePENGGUNAAN PEMBOBOTAN MODEL BLACK-LITTERMAN DALAM MENENTUKAN VALUE AT RISK PADA PORTOF
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Mathematics

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PENGGUNAAN PEMBOBOTAN MODEL BLACK-LITTERMAN DALAM MENENTUKAN VALUE AT RISK PADA PORTOFOLIO INVESTASI Eka Swastika AP; Johannes Kho; Rolan PanePENGGUNAAN PEMBOBOTAN MODEL BLACK-LITTERMAN DALAM MENENTUKAN VALUE AT RISK PADA PORTOF
Jurnal Online Mahasiswa (JOM) Bidang Matematika dan Ilmu Pengetahuan Alam Vol 1, No 2 (2014): Wisuda Oktober 2014
Publisher : Jurnal Online Mahasiswa (JOM) Bidang Matematika dan Ilmu Pengetahuan Alam

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Abstract

This paper discusses the use of the Black-Litterman weighting in determining the value at risk in the investment portfolio. Black-Litterman model obtained through sampling theory approach is used to determine the weight of each portfolio asset. Based on theweight of assets of the Black-Litterman obtained standard deviation Black-Litterman portfolio is used in the calculation of Value at Risk in the Black-Litterman portfolio.
Co-Authors Eka Swastika AP Johannes Kho