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All Journal Journal of Mathematics UNP
Gusti, Syafta Elita
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Computer Science & IT Decision Sciences, Operations Research & Management Mathematics

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Optimasi Portofolio Saham IDX30 Menggunakan Model Black Litterman Gusti, Syafta Elita; Agustina, Dina
Journal of Mathematics UNP Vol 10, No 1 (2025): Journal Of Mathematics UNP
Publisher : UNIVERSITAS NEGERI PADANG

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24036/unpjomath.v10i1.17120

Abstract

An investment that reflects great interest in the community is stocks. Investors are advised to invest their funds in several stocks to reduce the risk of loss. This can be done by forming an optimal portfolio. One way to get the optimal portfolio is by applying the Black Litterman (BL) model. The BL model is used to optimize stock portfolios by combining market information with investor views. Market information is obtained using the Capital Asset Pricing Model (CAPM). Meanwhile, the time series method is used for investor views. This study uses the daily closing price of IDX30 stocks in the period January 2023-July 2024. The results of the study obtained optimal portfolio weights, namely INDF shares of 0.464220, and BBCA shares of 0.387546.
Co-Authors Dina Agustina, Dina