Jurnal Ilmiah Manajemen dan Ilmu Sosial : Co-Management
Vol. 1 No. 2 (2019): Jurnal Ilmiah Manajemen dan Ilmu Sosial : Co-Management

Return Portofolio Optimal Menggunakan Single View Black-litterman Model dengan Pendekatan ARIMA (Autoregressive Integrated Moving Average)

Adri Arisena (Institut Manajemen Koperasi Indonesia)
Sugiyanto Ikhsan (Institut Manajemen Koperasi Indonesia)

Article Info

Publish Date
23 Dec 2019

Abstract

At this time stock investment is one investment option. To obtain optimal profits a stock portfolio is needed. A portfolio is a combination of several shares. To form a portfolio, a model is needed to achieve an optimal portfolio. This research uses Single View Black-Litterman Model with ARIMA (Autoregressive Integrated Moving Average) approach. The selected shares are PT. Jasa Marga (JSMR), PT. Unilever Indonesia (UNVR), and PT. Waskita Karya (WSKT).

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Journal Info
Jurnal Ilmiah Manajemen dan Ilmu Sosial : Co-Management
Website

Abbrev

co-management

Publisher

Universitas Koperasi Indonesia

Subject

Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

Description

Jurnal Ilmiah Manajemen dan Ilmu Sosial : Co-Management - e-ISSN: 2686-5874 (online), p-ISSN: 2655-4941 (print) is an open access and peer-reviewed journal published by Department of Management, Indonesian Cooperative Institute, Indonesia. This Journal published twice a year (July and December). The ...