Optimasi Portofolio Saham IDX30 Menggunakan Model Black Litterman

Syafta Gusti - Universitas Negeri Padang
Dina Agustina - Universitas Negeri Padang

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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DOI: http://dx.doi.org/10.24036/unpjomath.v10i1.17120