Comparison of CAPM Portfolio Optimization and Black Litterman Model on LQ45 Index Companies
Corresponding Author(s) : Wiwit Hariyanto
Prosiding International Conference on Sustainable Innovation (ICoSI),
Vol. 3 No. 2 (2023)
Abstract
Introduction – Before making investment decisions, investors need proper analysis in making investment decisions. In order to reduce investment risk, investors can form a diversified portfolio of their investments. The formation of a stock portfolio can be determined using the Capital Asset Pricing Model (CAPM). Purpose – This study aims to determine the difference in the expected return portfolio value between the CAPM model and the Black Litterman model as a determinant of investment decision making. This research uses a quantitative research approach. Methodology/Approach – The population and sample are 35 stocks that are consistently included in the LQ-45 Index for the 2017-2018 period. To determine whether or not there is a difference between the expected return value of the CAPM model stock portfolio and the expected return value of the Black Litterman model stock portfolio, the testing of the hypothesis using the Independent T-Test test. Where the calculation of the hypothesis uses the help of the PASW Statistic 18 program. Finding – Based on the calculation of the data, the results of this study are obtained that there are 18 stocks included in the CAPM portfolio and 12 stocks included in the Black Litterman portfolio. Based on the hypothesis test using the Paired Sample T-test, it shows that there is a difference in the Expected Return portfolio between the CAPM and Black Litterman methods when the portfolio is optimal. Originality/ Value/ Implication – The object of research uses the LQ45 stock index which is listed on the Indonesia Stock Exchange. The LQ45 index is one of the indexes in Indonesia that is used to rank stocks to become the 45 best and most actively traded stocks
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