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Business Index 27 Stock Portfolio Optimization Using the Black Litterman Model Accompanied by Value At Risk Calculation: Bahasa Indonesia

Optimasi Portofolio Saham Indeks Bisnis 27 Menggunakan Model Black Litterman Disertai Perhitungan Value At Risk: Bahasa Indonesia

Jurnal Matematika, Statistika dan Komputasi · Vol. 21 No. 1 (2024) · pp. 136–146

DOI
10.20956/j.v21i1.36306
ISSN
2614-8811, 1858-1382
Published
2024-09-15
Publisher
Department of Mathematics, Hasanuddin University
Language
en
License
creativecommons.org/licenses/by/4.0

Abstract

English

An investment can provide a profit with a certain level of risk for an investor both now and in the future. This indicates that investments are important in both financial and asset management. Finance investments can be made on several stocks or portfolios. To profit from an investment, you need a tool to optimize profit and risk, which is a portfolio. This research uses the Black Litterman Model in portfolio optimization along with Value at Risk (VaR) calculations to determine the risk of each stock. The data used is close price data on the Business Index 27 for the period January-December 2023. Next, selected 9 shares in the formation of an optimal portfolio namely, AKRA, AMRT, ASII, BBCA, BBNI, BBRI, INKP, KLBF and TLKM. Based on the calculations, the rate of profit achieved on the portfolio is 5.48% with a risk of 0.40%. Then use the Historical Method and the Monte Carlo Simulation Method to calculate the VaR using nine optimal stocks, with a 95% confidence rate. In the Monte Carlo simulation, 300 repetitions of VaR calculations are performed. Different results on both methods are due to different approaches to risk calculation

Bahasa Indonesia

Investasi dapat memberikan keuntungan disertai tingkat risiko tertentu bagi seorang investor baik saat ini maupun di masa depan. Hal ini menandakan bahwa investasi merupakan hal penting dalam pengelolaan keuangan maupun aset. Investasi dalam keuangan dapat dilakukan pada beberapa saham atau portofolio. Untuk memperoleh keuntungan pada investasi diperlukan suatu alat untuk mengoptimalkan keuntungan serta risiko, yaitu portofolio. Penelitian ini menggunakan Model Black Litterman dalam mengoptimalkan portofolio disertai perhitungan Value at Risk (VaR) untuk menentukan risiko masing-masing saham. Data yang digunakan merupakan data close price pada Indeks Bisnis 27 periode Januari-Desember 2023. Selanjutnya, dipilih 9 saham dalam pembentukan portofolio optimal yaitu, AKRA, AMRT, ASII, BBCA, BBNI, BBRI, INKP, KLBF dan TLKM. Berdasarkan hasil perhitungan, tingkat keuntungan yang didapatkan pada portofolio tersebut yaitu sebesar 5.48% dengan risiko sebesar 0.40%. Selanjutnya digunakan Metode Historis dan Metode Simulasi Monte Carlo untuk menghitung VaR menggunakan 9 saham optimal, dengan tingkat kepercayaan 95%. Dalam Simulasi Monte Carlo, dilakukan 300 kali pengulangan perhitungan VaR. Hasil yang berbeda pada kedua metode tersebut disebabkan oleh pendekatan yang berbeda dalam menghitung risiko.

Keywords

Collaboration network of the authors

26 authors · 81 co-authorship links

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  • Universitas Halu Oleo
  • Affiliation unknown
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Co-authorOrganisationJoint articles
R. ResmawanAffiliation unknown4
Novianita AchmadAffiliation unknown2
Resmawan ResmawanAffiliation unknown2
Nur Safitri AbdulAffiliation unknown2
La Ode NasharAffiliation unknown2
Sri Lestari MahmudAffiliation unknown2
Nazrilla Hasan LaitaAffiliation unknown2
Sri Adiningsi B. UsmanAffiliation unknown1
Dewi Rahmawaty IsaAffiliation unknown1
Isran R. OliiAffiliation unknown1
Gusti Arviana RahmanUniversitas Halu Oleo1
Syarif AbdullahAffiliation unknown1
Sri Istiyarti Uswatun ChasanahAffiliation unknown1
Nina ValentikaAffiliation unknown1
Ismail DjakariaAffiliation unknown1
Muhammad Rezky Friesta PayuAffiliation unknown1
Amanda AdityaningrumAffiliation unknown1
Sri Indriani LadjaliAffiliation unknown1
Herlina JusufAffiliation unknown1
Rusniwati S. ImranAffiliation unknown1
Franky Alfrits OrohAffiliation unknown1
Muftih Alwi AliuAffiliation unknown1
Fahrezal ZubediAffiliation unknown1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.unhas.ac.id/index.php/jmsk/oai, first harvested 5 Nov 2026, last seen 5 Nov 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en">Business Index 27 Stock Portfolio Optimization Using the Black Litterman Model Accompanied by Value At Risk Calculation: Bahasa Indonesia</dc:title>
	<dc:title xml:lang="id">Optimasi Portofolio Saham Indeks Bisnis 27 Menggunakan Model Black Litterman Disertai Perhitungan Value At Risk: Bahasa Indonesia</dc:title>
	<dc:creator xml:lang="en">Rahmadi, Melasarah Deswita</dc:creator>
	<dc:creator xml:lang="en">Yahya, Lailany </dc:creator>
	<dc:creator xml:lang="en">Nuha, Agusyarif Rezka </dc:creator>
	<dc:subject xml:lang="en">Investment</dc:subject>
	<dc:subject xml:lang="en">Indeks Bisnis 27</dc:subject>
	<dc:subject xml:lang="en"> Black Litterman Model</dc:subject>
	<dc:subject xml:lang="en">Value at Risk</dc:subject>
	<dc:description xml:lang="en">An investment can provide a profit with a certain level of risk for an investor both now and in the future. This indicates that investments are important in both financial and asset management. Finance investments can be made on several stocks or portfolios. To profit from an investment, you need a tool to optimize profit and risk, which is a portfolio. This research uses the Black Litterman Model in portfolio optimization along with Value at Risk (VaR) calculations to determine the risk of each stock. The data used is close price data on the Business Index 27 for the period January-December 2023. Next, selected 9 shares in the formation of an optimal portfolio namely, AKRA, AMRT, ASII, BBCA, BBNI, BBRI, INKP, KLBF and TLKM. Based on the calculations, the rate of profit achieved on the portfolio is 5.48% with a risk of 0.40%. Then use the Historical Method and the Monte Carlo Simulation Method to calculate the VaR using nine optimal stocks, with a 95% confidence rate. In the Monte Carlo simulation, 300 repetitions of VaR calculations are performed. Different results on both methods are due to different approaches to risk calculation</dc:description>
	<dc:description xml:lang="id">Investasi dapat memberikan keuntungan disertai tingkat risiko tertentu bagi seorang investor baik saat ini maupun di masa depan. Hal ini menandakan bahwa investasi merupakan hal penting dalam pengelolaan keuangan maupun aset. Investasi dalam keuangan dapat dilakukan pada beberapa saham atau portofolio. Untuk memperoleh keuntungan pada investasi diperlukan suatu alat untuk mengoptimalkan keuntungan serta risiko, yaitu portofolio. Penelitian ini menggunakan Model Black Litterman dalam mengoptimalkan portofolio disertai perhitungan Value at Risk (VaR) untuk menentukan risiko masing-masing saham. Data yang digunakan merupakan data close price pada Indeks Bisnis 27 periode Januari-Desember 2023. Selanjutnya, dipilih 9 saham dalam pembentukan portofolio optimal yaitu, AKRA, AMRT, ASII, BBCA, BBNI, BBRI, INKP, KLBF dan TLKM. Berdasarkan hasil perhitungan, tingkat keuntungan yang didapatkan pada portofolio tersebut yaitu sebesar 5.48% dengan risiko sebesar 0.40%. Selanjutnya digunakan Metode Historis dan Metode Simulasi Monte Carlo untuk menghitung VaR menggunakan 9 saham optimal, dengan tingkat kepercayaan 95%. Dalam Simulasi Monte Carlo, dilakukan 300 kali pengulangan perhitungan VaR. Hasil yang berbeda pada kedua metode tersebut disebabkan oleh pendekatan yang berbeda dalam menghitung risiko.</dc:description>
	<dc:publisher xml:lang="en">Department of Mathematics, Hasanuddin University</dc:publisher>
	<dc:date>2024-09-15</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
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	<dc:identifier>https://journal.unhas.ac.id/index.php/jmsk/article/view/36306</dc:identifier>
	<dc:identifier>10.20956/j.v21i1.36306</dc:identifier>
	<dc:source xml:lang="en">Jurnal Matematika, Statistika dan Komputasi; Vol. 21 No. 1 (2024): SEPTEMBER 2024; 136-146</dc:source>
	<dc:source>2614-8811</dc:source>
	<dc:source>1858-1382</dc:source>
	<dc:language>en</dc:language>
	<dc:relation>https://journal.unhas.ac.id/index.php/jmsk/article/view/36306/12004</dc:relation>
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	<dc:rights xml:lang="en">Copyright (c) 2024 Jurnal Matematika, Statistika dan Komputasi</dc:rights>
	<dc:rights xml:lang="en">https://creativecommons.org/licenses/by/4.0</dc:rights>
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