Comparative Analysis of Expected Return and Portfolio Risk in Formation Optimal Portfolio Using the Black Litterman Method and APT (Arbritage Pricing Theory) on the 2019-2021 DOW Jones Stock Index
Analisis Perbandingan Expected Return dan Risiko Portofolio dalam Pembentukan Portofolio Optimal Menggunakan Metode Black Litterman Dan APT (Arbritage Pricing Theory) pada Indeks Saham DOW Jones 2019-2021
DOI:
https://doi.org/10.21070/ups.3743Keywords:
Expected Return,, Portfolio Risk, , Optimal Portfolio, Black litterman, APTAbstract
In this modern era, investing is the most popular activity in capital market activities. Many industries and companies use the capital markets industry as a medium to absorb investment and strengthen their financial position. This research was carried out with the aim of being able to identify differences in expected return and portfolio risk in the two methods, namely black litterman and apt (arbitrage pricing theory). The type of research is quantitative. The results that can be identified are 1) there are differences in the results of measuring expected return and portfolio risk in forming an optimal portfolio using the black litterman and apt (arbitrage pricing theory) methods. 2) The difference in the optimal portfolio shares formed was measured over 3 years, namely 2019-2021. Black litterman obtained optimal portfolio results of 14 companies, while the arbitrage pricing theory method only obtained optimal portfolio results of 12 companies.
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