The efficiency frontier of markowitz and black-litterman model: A case study on the shariah-compliant stock in Jakarta Islamic Index

• Main Authors: Subekti, Retno, Abdurakhman, Abdurakhman, Rosadi, Dedi
• 格式: Other NonPeerReviewed
• 出版: AIP Conference Proceedings 2022
• 主題: Statistics
• 在線閱讀: https://repository.ugm.ac.id/284468/; https://pubs.aip.org/aip/acp/article-abstract/2575/1/070005/2830150/The-efficiency-frontier-of-markowitz-and-black?redirectedFrom=PDF

An efficient frontier (EF) is one of the important to portfolio construction. The EF is used to describe the highest expected return for a given level of risk or the lowest risk at a given level of return. This study aims to form the EF based on two models in the portfolio, such as a Mean-Variance (...