ACADSTAFF UGM
| Title | : | The efficiency frontier of markowitz and black-litterman model: A case study on the shariah-compliant stock in Jakarta Islamic Index |
| Author | : |
RETNO SUBEKTI (1) Dr. Abdurakhman (2) Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc. (3) |
| Date | : | 8 2022 |
| Keyword | : | Portfolio, Black-Litterman, Efficiency Frontier Portfolio, Black-Litterman, Efficiency Frontier |
| Abstract | : | 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 (MV) from Markowitz and Black Litterman. We apply it to shariah-compliant stocks from the Jakarta Islamic Index (JII). The result shows that the EF of Black Litterman is in a better position with the lowest risk compared to the MV model |
| Group of Knowledge | : | |
| Level | : | Internasional |
| Status | : |
Published
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