Desimal: Jurnal Matematika
Vol. 6 No. 1 (2023): Desimal: Jurnal Matematika

The optimal portfolio of islamic stocks using the markowitz and black-litterman models

Azis, Irfani (Unknown)
Syazali, Muhamad (Unknown)
Manurung, Elise Nathalia (Unknown)



Article Info

Publish Date
30 Apr 2023

Abstract

The portfolio with the best combination of profit and risk or the investor's choice is called the optimal portfolio. The Black-Litterman and Markowitz models were used to determine the optimal portfolio during the covid-19 pandemic. Sharia stock data, that is consistent with the Jakarta Islamic Index for the 2019-2021 period, is used in this research. The stock combination of the Markowitz model is better than the Black-Litterman model. The expected value of the portfolio obtained is 0.0066, which is greater than the risk-free asset return of 0.0011 on the day of broadcast. The portfolio risk of the Markowitz model is smaller than the Black-Litterman model, which are 0.0010972 and 0.0013917, respectively. so it can be said that the Markowitz model is better than the Black-Litterman model in the formation of a Sharia stock portfolio during the covid-19 pandemic.

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Journal Info

Abbrev

desimal

Publisher

Subject

Education Mathematics Social Sciences

Description

Desimal: Jurnal Matematika, particularly focuses on the main issues in the development of the sciences of mathematics education, mathematics education, and applied mathematics. Desimal: Jurnal Matematika published three times a year, the period from January to April, May to Augustus, and September ...