International Journal of Business, Economics, and Social Development
Vol. 5 No. 1 (2024)

Investment Portfolio Optimization Using Black-Litterman Model in Smart Carbon Economy Transition

Kahar, Ramadhina Hardiva (Unknown)
Riaman, Riaman (Unknown)
Sukono, Sukono (Unknown)



Article Info

Publish Date
29 Feb 2024

Abstract

An optimal investment portfolio needs to be formed before an investor invests because it can help investors determine which financial instruments are suitable to choose in order to get the maximum return or profit and the minimum level of risk. In the current situation, where there is an economic transition to a smart carbon economy or low carbon economy, it is necessary to form the optimal portfolio of stocks to facilitate investors in making investments. The purpose of this study is to form the optimal investment portfolio using the Black-Litterman model in a smart carbon economy. The data used is stock data from 24 companies listed on the LQ45 Low Carbon Leaders index for the period 2022-2023. Based on the research results, the Black-Litterman model generates the optimal portfolio with a 0.1% expected return. Thus, the optimal portfolio results with the Black-Litterman model are estimated to generate a profit of 0.1% for smart carbon stock data listed on the LQ45 Low Carbon Leaders index for the 2022-2023 period.

Copyrights © 2024






Journal Info

Abbrev

ijbesd

Publisher

Subject

Humanities Economics, Econometrics & Finance Education Languange, Linguistic, Communication & Media Social Sciences

Description

International Journal of Business, Economics and Social Development (IJBESD) is published 4 (four) times a year and is the flagship journal of the Research Collaboration Community (RCC). It is the aim of IJBESD to present papers which cover the theory, practice, history or methodology of Business, ...