OPTIMALISASI PORTOFOLIO MODEL BLACK-LITTERMAN DAN CAPITAL ASSET PRICING MODEL OPTIMIZATION PORTFOLIO BLACK LITTERMAN MODEL AND CAPITAL ASSET PRICING MODEL
Stock is one instrument that is often used in investment . Rate of return (return ) of stock and amount of risk borne by the investor is a thing to watch . To optimize returns and minimize the risk of a stock portfolio can be formed . It is assumed that a single stock and portfolio returns are norma...
| Main Authors: | , |
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| 格式: | Thesis |
| 出版: |
[Yogyakarta] : Universitas Gadjah Mada
2013
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| 主題: |
| _version_ | 1826047160793169920 |
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| author | , RIZKA NUR ASFARINA , Prof. Drs. Suryo Guritno, M.Stats., Ph.D |
| author_facet | , RIZKA NUR ASFARINA , Prof. Drs. Suryo Guritno, M.Stats., Ph.D |
| author_sort | , RIZKA NUR ASFARINA |
| collection | UGM |
| description | Stock is one instrument that is often used in investment . Rate of return
(return ) of stock and amount of risk borne by the investor is a thing to watch . To
optimize returns and minimize the risk of a stock portfolio can be formed . It is
assumed that a single stock and portfolio returns are normally distributed .
Return is calculated from the daily closing price for each asset listed in the stock
exchange LQ - 45 index . Portfolio weights with the Black- Litterman model give
optimal portfolio yield .
Preceded by the formation of portfolio theory by Markowitz mean -
variancenya in the '50s . Furthermore sprung on portfolio theory like CAPM and
Single index models . Until the late 90s appeared portfolio model , known as the
Black - Litterman Model by Fischer Black and Robert Litterman . Return formula
Black - Litterman Model can be traced through various approaches . In addition
to the Bayes approach , the Black - Litterman formula described by Mankert
(2003 ) through the sampling theory approach . As the simulation will return the
value of the observed 4 shares of LQ45 is AALI , JSMR , INDF , PGAS will set up
a portfolio that is expected to provide optimal benefits to using the Black -
Litterman . |
| first_indexed | 2024-03-13T23:05:59Z |
| format | Thesis |
| id | oai:generic.eprints.org:124114 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T23:05:59Z |
| publishDate | 2013 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:1241142016-03-04T08:42:31Z https://repository.ugm.ac.id/124114/ OPTIMALISASI PORTOFOLIO MODEL BLACK-LITTERMAN DAN CAPITAL ASSET PRICING MODEL OPTIMIZATION PORTFOLIO BLACK LITTERMAN MODEL AND CAPITAL ASSET PRICING MODEL , RIZKA NUR ASFARINA , Prof. Drs. Suryo Guritno, M.Stats., Ph.D ETD Stock is one instrument that is often used in investment . Rate of return (return ) of stock and amount of risk borne by the investor is a thing to watch . To optimize returns and minimize the risk of a stock portfolio can be formed . It is assumed that a single stock and portfolio returns are normally distributed . Return is calculated from the daily closing price for each asset listed in the stock exchange LQ - 45 index . Portfolio weights with the Black- Litterman model give optimal portfolio yield . Preceded by the formation of portfolio theory by Markowitz mean - variancenya in the '50s . Furthermore sprung on portfolio theory like CAPM and Single index models . Until the late 90s appeared portfolio model , known as the Black - Litterman Model by Fischer Black and Robert Litterman . Return formula Black - Litterman Model can be traced through various approaches . In addition to the Bayes approach , the Black - Litterman formula described by Mankert (2003 ) through the sampling theory approach . As the simulation will return the value of the observed 4 shares of LQ45 is AALI , JSMR , INDF , PGAS will set up a portfolio that is expected to provide optimal benefits to using the Black - Litterman . [Yogyakarta] : Universitas Gadjah Mada 2013 Thesis NonPeerReviewed , RIZKA NUR ASFARINA and , Prof. Drs. Suryo Guritno, M.Stats., Ph.D (2013) OPTIMALISASI PORTOFOLIO MODEL BLACK-LITTERMAN DAN CAPITAL ASSET PRICING MODEL OPTIMIZATION PORTFOLIO BLACK LITTERMAN MODEL AND CAPITAL ASSET PRICING MODEL. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=64233 |
| spellingShingle | ETD , RIZKA NUR ASFARINA , Prof. Drs. Suryo Guritno, M.Stats., Ph.D OPTIMALISASI PORTOFOLIO MODEL BLACK-LITTERMAN DAN CAPITAL ASSET PRICING MODEL OPTIMIZATION PORTFOLIO BLACK LITTERMAN MODEL AND CAPITAL ASSET PRICING MODEL |
| title | OPTIMALISASI PORTOFOLIO MODEL BLACK-LITTERMAN DAN CAPITAL ASSET PRICING MODEL OPTIMIZATION PORTFOLIO BLACK LITTERMAN MODEL AND CAPITAL ASSET PRICING MODEL |
| title_full | OPTIMALISASI PORTOFOLIO MODEL BLACK-LITTERMAN DAN CAPITAL ASSET PRICING MODEL OPTIMIZATION PORTFOLIO BLACK LITTERMAN MODEL AND CAPITAL ASSET PRICING MODEL |
| title_fullStr | OPTIMALISASI PORTOFOLIO MODEL BLACK-LITTERMAN DAN CAPITAL ASSET PRICING MODEL OPTIMIZATION PORTFOLIO BLACK LITTERMAN MODEL AND CAPITAL ASSET PRICING MODEL |
| title_full_unstemmed | OPTIMALISASI PORTOFOLIO MODEL BLACK-LITTERMAN DAN CAPITAL ASSET PRICING MODEL OPTIMIZATION PORTFOLIO BLACK LITTERMAN MODEL AND CAPITAL ASSET PRICING MODEL |
| title_short | OPTIMALISASI PORTOFOLIO MODEL BLACK-LITTERMAN DAN CAPITAL ASSET PRICING MODEL OPTIMIZATION PORTFOLIO BLACK LITTERMAN MODEL AND CAPITAL ASSET PRICING MODEL |
| title_sort | optimalisasi portofolio model black litterman dan capital asset pricing model optimization portfolio black litterman model and capital asset pricing model |
| topic | ETD |
| work_keys_str_mv | AT rizkanurasfarina optimalisasiportofoliomodelblacklittermandancapitalassetpricingmodeloptimizationportfolioblacklittermanmodelandcapitalassetpricingmodel AT profdrssuryoguritnomstatsphd optimalisasiportofoliomodelblacklittermandancapitalassetpricingmodeloptimizationportfolioblacklittermanmodelandcapitalassetpricingmodel |