Journal of Mathematics UNP
Vol 10, No 1 (2025): Journal Of Mathematics UNP

Optimasi Portofolio Saham IDX30 Menggunakan Model Black Litterman

Gusti, Syafta Elita (Unknown)
Agustina, Dina (Unknown)

Article Info

Publish Date
31 Mar 2025

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.

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Journal Info
Journal of Mathematics UNP
Website

Abbrev

mat

Publisher

Universitas Negeri Padang

Subject

Computer Science & IT Decision Sciences, Operations Research & Management Mathematics

Description

Journal of Mathematics UNP is a journal to publish article from student researches in UNP Mathematics study program, and we also kindly accept other article from outside of our study program related to Mathematics: consists of publication in Algebra, Analysis, Combinatoric, Geometry, Differential ...