Return Portofolio Optimal Menggunakan Single View Black-litterman Model dengan Pendekatan ARIMA (Autoregressive Integrated Moving Average)

Authors

  • Adri Arisena Institut Manajemen Koperasi Indonesia
  • Sugiyanto Ikhsan Institut Manajemen Koperasi Indonesia

DOI:

https://doi.org/10.32670/comanagement.v2i2.119

Keywords:

Stocks, Portofolios, ARIMA, Black-litterman

Abstract

At this time stock investment is one investment option. To obtain optimal profits a stock portfolio is needed.

A portfolio is a combination of several shares. To form a portfolio, a model is needed to achieve an optimal portfolio. This research uses Single View Black-Litterman Model with ARIMA (Autoregressive Integrated Moving Average) approach. The selected shares are PT. Jasa Marga (JSMR), PT. Unilever Indonesia (UNVR), and PT. Waskita Karya (WSKT).

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Published

2019-12-23

Issue

Vol. 1 No. 2 (2019): Jurnal Ilmiah Manajemen dan Ilmu Sosial : Co-Management

Section

Articles