Toward the Black–Litterman with Shariah-compliant asset pricing model: a case study on the Indonesian stock market during the COVID-19 pandemic
Purpose – This research aims to demonstrate portfolio modeling, which leads to Sharia compliance in encountering crises because of COVID-19. The authors proposed modifying the Black–Litterman (BL) model adapted to the Sharia principle. The implementation of BL on Shariah-compliant stock data with...
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| Main Authors: | , , |
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| Format: | Other NonPeerReviewed |
| Language: | English |
| Published: |
International Journal of Islamic and Middle Eastern Finance and Management
2022
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/284013/1/126.Toward-the-BlackLitterman-with-Shariahcompliant-asset-pricing-model-a-case-study-on-the-Indonesian-stock-market-during-the-COVID19-pandemicInternational-Journal-of-Islamic-and-Middle-Eastern-Finance-and-Management.pdf https://repository.ugm.ac.id/284013/ https://www.emerald.com/insight/content/doi/10.1108/IMEFM-12-2020-0633/full/html |
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| Institution: | Universitas Gadjah Mada |
| Language: | English |