Toward the Black–Litterman with Shariah-compliant asset pricing model: a case study on the Indonesian stock market during the COVID-19 pandemic

• المؤلفون الرئيسيون: Subekti, Retno, Abdurakhman, Abdurakhman, Rosadi, Dedi
• التنسيق: Other NonPeerReviewed
• اللغة: English
• منشور في: International Journal of Islamic and Middle Eastern Finance and Management 2022
• الموضوعات: Statistics
• الوصول للمادة أونلاين: 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

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...