OPTIMALISASI PORTOFOLIO MODEL BLACK-LITTERMAN DAN CAPITAL ASSET PRICING MODEL OPTIMIZATION PORTFOLIO BLACK LITTERMAN MODEL AND CAPITAL ASSET PRICING MODEL

• Main Authors: , RIZKA NUR ASFARINA, , Prof. Drs. Suryo Guritno, M.Stats., Ph.D
• 格式: Theses and Dissertations NonPeerReviewed
• 出版: [Yogyakarta] : Universitas Gadjah Mada 2013
• 主題: ETD
• 在線閱讀: https://repository.ugm.ac.id/124114/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=64233
• 機構: Universitas Gadjah Mada

Stock is one instrument that is often used in investment . Rate of return (return ) of stock and amount of risk borne by the investor is a thing to watch . To optimize returns and minimize the risk of a stock portfolio can be formed . It is assumed that a single stock and portfolio returns are normally distributed . Return is calculated from the daily closing price for each asset listed in the stock exchange LQ - 45 index . Portfolio weights with the Black- Litterman model give optimal portfolio yield . Preceded by the formation of portfolio theory by Markowitz mean - variancenya in the '50s . Furthermore sprung on portfolio theory like CAPM and Single index models . Until the late 90s appeared portfolio model , known as the Black - Litterman Model by Fischer Black and Robert Litterman . Return formula Black - Litterman Model can be traced through various approaches . In addition to the Bayes approach , the Black - Litterman formula described by Mankert (2003 ) through the sampling theory approach . As the simulation will return the value of the observed 4 shares of LQ45 is AALI , JSMR , INDF , PGAS will set up a portfolio that is expected to provide optimal benefits to using the Black - Litterman .