{"title":"用black-litterman模型优化看涨和看跌条件下的股票组合","authors":"Herma Wiharno, Arief Surya Lesmana, Yasir Maulana, Dede Djuniardi, M. Komarudin","doi":"10.9744/jmk.25.2.92-104","DOIUrl":null,"url":null,"abstract":"Bullish and bearish phenomena characterize the development of the capital market. Therefore, this study aimed to identify and analyze bullish and bearish conditions in the Indonesian capital market to formulate an optimal portfolio. The sample consisted of 20 selected companies based on their substantial market capitali- zation. The results showed that from January 2011 to December 2020, the capital market experienced 77 bullish and 43 bearish months. The transition probability from bullish to bearish and bearish to bullish state was 15.67% and 56.14%. Furthermore, employing the Markov-switching model for determining market conditions and using the Black-Litterman model for portfolio construction proved advantageous for investors' financial forecasting techniques and their potential to generate valuable insights to create a well-informed portfolio.","PeriodicalId":31730,"journal":{"name":"Jurnal Manajemen Dan Kewirausahaan","volume":"1 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"STOCK PORTFOLIO OPTIMIZATION IN BULLISH AND BEARISH CONDITIONS USING THE BLACK-LITTERMAN MODEL\",\"authors\":\"Herma Wiharno, Arief Surya Lesmana, Yasir Maulana, Dede Djuniardi, M. Komarudin\",\"doi\":\"10.9744/jmk.25.2.92-104\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Bullish and bearish phenomena characterize the development of the capital market. Therefore, this study aimed to identify and analyze bullish and bearish conditions in the Indonesian capital market to formulate an optimal portfolio. The sample consisted of 20 selected companies based on their substantial market capitali- zation. The results showed that from January 2011 to December 2020, the capital market experienced 77 bullish and 43 bearish months. The transition probability from bullish to bearish and bearish to bullish state was 15.67% and 56.14%. Furthermore, employing the Markov-switching model for determining market conditions and using the Black-Litterman model for portfolio construction proved advantageous for investors' financial forecasting techniques and their potential to generate valuable insights to create a well-informed portfolio.\",\"PeriodicalId\":31730,\"journal\":{\"name\":\"Jurnal Manajemen Dan Kewirausahaan\",\"volume\":\"1 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-09-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Jurnal Manajemen Dan Kewirausahaan\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.9744/jmk.25.2.92-104\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Jurnal Manajemen Dan Kewirausahaan","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.9744/jmk.25.2.92-104","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
STOCK PORTFOLIO OPTIMIZATION IN BULLISH AND BEARISH CONDITIONS USING THE BLACK-LITTERMAN MODEL
Bullish and bearish phenomena characterize the development of the capital market. Therefore, this study aimed to identify and analyze bullish and bearish conditions in the Indonesian capital market to formulate an optimal portfolio. The sample consisted of 20 selected companies based on their substantial market capitali- zation. The results showed that from January 2011 to December 2020, the capital market experienced 77 bullish and 43 bearish months. The transition probability from bullish to bearish and bearish to bullish state was 15.67% and 56.14%. Furthermore, employing the Markov-switching model for determining market conditions and using the Black-Litterman model for portfolio construction proved advantageous for investors' financial forecasting techniques and their potential to generate valuable insights to create a well-informed portfolio.
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