PORTFOLIO INVESTMENT ANALYSIS ON THE BASIS OF THE BLACK-LITTERMAN MODEL

The works of Markowitz, Tobin, Sharp in the field of portfolio investment theory are awarded the Nobel Prize in economics. The popularity of these models is explained by their mathematical simplicity and logical harmony. But these models require accurate knowledge of the statistical features of assets and use assumptions about ideal market behavior. A large number of questions immediately arise on how to evaluate the input parameters of these models in the practical use of these models. In the Black-Litterman model, an attempt is made to combine the theory of equilibrium in the capital market with the subjective opinions of analysts regarding the expected return on assets and their relationship to each other. The Black-Litterman model makes it possible to combine the theory of market equilibrium and the subjective opinions of investors about asset behavior in the market. The result is a diversified portfolio with a subjective opinion on the situation. This model is a new word in portfolio theory, which is relatively complex and focused on professionals. Due to the Bayesian approach, it is formed a new, more realistic mixed estimate of expected returns, taking into account the opinions of expert analysts. In Western literature, the Black-Litterman model is recognized as an important and powerful tool in the process of portfolio investment management. In particular, the work discusses in detail the issues of collecting, analyzing and preparing expert opinions. The ability to take into account the expert assessments is the main advantage of this model over all others

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Analysis of Portfolio Expected Returns as a Material Consideration for Investors in Choosing Investments in the Pandemic Period (Formation of Optimal Portfolios Using the Black Litterman Model on Hang Seng Stocks for the 2017-2019 Period)

Academia Open ◽

10.21070/acopen.5.2021.2149 ◽

2021 ◽

Vol 5 ◽

Author(s):

Wiji Rahayu ◽

Wiwit Hariyanto

Keyword(s):

Capital Market ◽

Stock Price ◽

Expected Returns ◽

Expected Return ◽

Model Method ◽

Stock Portfolios ◽

Company Limited ◽

Available Information ◽

Stock Investments ◽

World Development

. This study attempts to find out how a method of Black Litterman in the formation of stock portfolios. This research was conducted on the basis of increasing the number of investors' funds in the capital market for certain stocks, showing that it increases positive sentiment on stock investments compared to other investments. The Black Litterman Model method is one of the options that can be used in the formation of portfolio. The Black Litterman model method is a method that formulates the existence of an element of return equilibrium and investor views in an investment. By using the Black Litterman Model, investors can take advantage of all available information as the basis for forming a maximum portfolio. The object of this research is Hang Seng (HSI) stock price data for the period 2017 – 2019. The research sample is 35 companies. The results of this study resulted in 10 stocks included in the Black Litterman model portfolio with the expected return on the portfolio (which consisted of 10 stocks with the Black Litterman model) of 0.062387. Where the highest proportion of returns given by Shenzhou International Group Holdings Limited (SEHK: 2313) is 23% and the expected return is 0.017933. While the lowest level is occupied by New World Development Company Limited (SEHK: 17) with a proportion of 1% and an expected return of 0.000687.

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LQ45 Share Return Determinants In Indonesia

International Journal of Scientific Research and Management ◽

10.18535/ijsrm/v7i12.em05 ◽

2020 ◽

Vol 8 (12) ◽

pp. 2049-2057

Author(s):

Rahmawan Darsyah ◽

Hari Sukarno ◽

Elok Sri Utami

Keyword(s):

Total Asset ◽

Expected Returns ◽

Dividend Yield ◽

Return On Assets ◽

Current Ratio ◽

Expected Return ◽

Dividend Payout ◽

The Future ◽

Asset Turnover ◽

Equity Ratio

Return is the result obtained from investment. Returns can be in the form of realized returns that have occurred or expected returns that have not occurred but are expected to occur in the future. Return realization (realized return) is the return that has occurred. Realized return is calculated based on historical data. Return realization is important because it is used as a measure of the company's performance. This return history is also useful as a basis for determining the expected return and risk in the future. Expected return is the return expected by investors in the future. In contrast to realized returns which have already occurred, expected returns have not yet occurred. The performance measurement was also carried out at the LQ45 company. In general, this study aims to synthesize whether the current ratio, equity ratio, dividend payout ratio, dividend yield, earnings per share, price book value, return on assets and total asset turnover are partially determinants of stock return variability. The population in this study were non-banking companies included in the LQ45 according to a circular number: Peng-00028 / BEI.OPP / 01-2018 dated January 25, 2018. Non-bank companies were chosen because the types of products produced were not in the form of services. Hypothesis testing uses multiple linear regression analysis test tools. After analyzing the data, several conclusions can be drawn, namely: only the current ratio, equity ratio, dividend payout ratio, dividend yield, return on assets and total asset turnover partially determine stock returns

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CONSTITUTIONALISM AND AMENDMENTS TO THE BASIC LAW OF THE RUSSIAN FEDERATION 2020: POLITICAL ANALYSIS

Central Russian Journal of Social Sciences ◽

10.22394/2071-2367-2020-15-6-103-118 ◽

2020 ◽

Vol 15 (6) ◽

pp. 103-118

Author(s):

O.A. SIDENKO ◽

◽

D.V. SOSUNOV ◽

Keyword(s):

Russian Language ◽

Constitutional Amendments ◽

Expert Opinions ◽

Political Analysis ◽

Basic Law ◽

Expert Assessments ◽

The Russian Federation ◽

Existence Of Value ◽

Transitional Constitutionalism ◽

The Impact

The purpose of the article is to reveal the contradictions of the Russian transitional constitutionalism of the 2020 model as perceived by experts. It is achieved by presenting a palette of experts' views on the phenomenon of constitutionalism, expert assessments of the impact of the 2020 constitutional reform on constitutional principles, the distance between citizens and authorities, as well as expert opinions on the existence of value consolidation between the state and civil society in modern Russia. It is extremely important that the constitutional amendments, contributing to adaptation to changing realities, remain within the framework of the system of constitutionalism. There is no relevant developed methodology for political and legal assessment in the Russian-language scientific literature. The research group, having resorted to an expert survey, proposed their own version. The results obtained indicate not only the importance of value connotations in the perception of constitutionalism by experts, the weakening of all groups of constitutional principles (negative assessments prevail over positive ones), the manipulative nature of the process, but also a potential increase in the distance between the governors and the governed. Nevertheless, the threshold values that could indicate the interpretation of constitutional novels by experts as leading to going beyond the framework of constitutionalism are not identified. Since the project is pilot and generalizations are based on expert estimates, the conclusions are debatable.

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The Price of Predictability: Estimating Inconsistency Premiums in Social Interactions

Personality and Social Psychology Bulletin ◽

10.1177/0146167221998533 ◽

2021 ◽

pp. 014616722199853

Author(s):

Judith Gerten ◽

Michael K. Zürn ◽

Sascha Topolinski

Keyword(s):

Risk Premium ◽

Psychological Research ◽

Expected Value ◽

Decision Makers ◽

Expected Returns ◽

Expected Return ◽

Total N ◽

Financial Decision ◽

Variance Risk ◽

Risky Option

For financial decision-making, people trade off the expected value (return) and the variance (risk) of an option, preferring higher returns to lower ones and lower risks to higher ones. To make decision-makers indifferent between a risky and risk-free option, the expected value of the risky option must exceed the value of the risk-free option by a certain amount—the risk premium. Previous psychological research suggests that similar to risk aversion, people dislike inconsistency in an interaction partner’s behavior. In eight experiments (total N = 2,412) we pitted this inconsistency aversion against the expected returns from interacting with an inconsistent partner. We identified the additional expected return of interacting with an inconsistent partner that must be granted to make decision-makers prefer a more profitable, but inconsistent partner to a consistent, but less profitable one. We locate this inconsistency premium at around 31% of the expected value of the risk-free option.

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Grading Investment Diversification Options in Presence of Non-Historical Financial Information

Mathematics ◽

10.3390/math9060692 ◽

2021 ◽

Vol 9 (6) ◽

pp. 692

Author(s):

Clara Calvo ◽

Carlos Ivorra ◽

Vicente Liern ◽

Blanca Pérez-Gladish

Keyword(s):

Risk Measure ◽

Statistical Information ◽

Expected Returns ◽

Financial Assets ◽

Expected Return ◽

Additional Information ◽

Subjective Risk ◽

The Impact ◽

Statistical Risk ◽

Reduction Index

Modern portfolio theory deals with the problem of selecting a portfolio of financial assets such that the expected return is maximized for a given level of risk. The forecast of the expected individual assets’ returns and risk is usually based on their historical returns. In this work, we consider a situation in which the investor has non-historical additional information that is used for the forecast of the expected returns. This implies that there is no obvious statistical risk measure any more, and it poses the problem of selecting an adequate set of diversification constraints to mitigate the risk of the selected portfolio without losing the value of the non-statistical information owned by the investor. To address this problem, we introduce an indicator, the historical reduction index, measuring the expected reduction of the expected return due to a given set of diversification constraints. We show that it can be used to grade the impact of each possible set of diversification constraints. Hence, the investor can choose from this gradation, the set better fitting his subjective risk-aversion level.

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A Computation Methods for Analysis on the Effect of Stock Market and its Application

Advanced Materials Research ◽

10.4028/www.scientific.net/amr.1078.444 ◽

2014 ◽

Vol 1078 ◽

pp. 444-447

Author(s):

Zhan Xin Ma ◽

En Yang Zhao ◽

Xi Ming Lv ◽

Zhi Min Ma

Keyword(s):

Stock Market ◽

Capital Market ◽

Turnover Rate ◽

Market Value ◽

Chinese Economy ◽

Data Envelopment ◽

Chinese Stock Market ◽

Return On Assets ◽

Generalized Data Envelopment Analysis ◽

New Policies

As a barometer of the macroeconomic of a country and an important part of the capital market, stock market has attracted increasing and highlighted attention. As is well-known, Chinese stock market is known as 'policy market', however, the issue about whether the stock market is really influenced by these policies is always an important and hot topic. In this paper, by using generalized data envelopment analysis, an analysis on the effect of the new policies carried out in May 2012 is provided based on closing price, Tobin Q, circulation market value, turnover rate, and return on assets. Based on the above results, it can show the effect of stock market policies on Chinese Economy.

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ANALISIS PORTOFOLIO SEBAGAI DASAR PENGAMBILAN KEPUTUSAN INVESTASI SAHAM YANG TERDAFTAR DI BEI

IQTISHODUNA ◽

10.18860/iq.v0i0.2282 ◽

2013 ◽

Author(s):

Sri Yati

Keyword(s):

Stock Market ◽

Stock Returns ◽

Analytical Method ◽

Stock Exchange ◽

Investment Decisions ◽

Portfolio Analysis ◽

Rate Of Return ◽

Expected Returns ◽

Risk Level ◽

Expected Return

This study aims to analyze rate of return and risk as the tools to form the portfolio analysis on 15 the most actives stocks listed in Indonesian Stock Exchange. Descriptive analytical method is used to describe the correlation between three variables: stock returns, expected returns of stock market, and beta in order to measure the risk of stocks to help the investors in making the investment decisions. The research materials are 15 the most actives stocks listed in Indonesian Stock Exchange during 2008-2009. The results show that PT. Astra International Tbk. has the highest average expected return of individual stock (Ri) of 308,3355685, while PT. Perusahaan Gas Negara Tbk. has the lowest of -477,0827847. The average expected return of stock market (Rm) is 0,00247163. PT. Astra International Tbk. has the highest systematic risk level of 20229,14205, while the lowest of -147,5793279 is PT. Kalbe Farma Tbk. Furthermore, the results also indicate that there are 9 stocks can be combined to form optimal portfolio because they have positive expected returns.

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ANALISIS PENGARUH EVA, ROA DAN ROE TERHADAP RETURN SAHAM PADA PERUSAHAAN MANUFAKTUR DI BURSA EFEK JAKARTA TAHUN 2006-2008

JURNAL AKUNTANSI DAN PAJAK ◽

10.29040/jap.v14i02.72 ◽

2014 ◽

Vol 14 (02) ◽

Author(s):

Wikan Budi Utami

Keyword(s):

Capital Market ◽

Economic Value ◽

Value Added ◽

Economic Value Added ◽

Return On Assets ◽

Return On Equity ◽

Purposive Sampling

Tujuan dalam penelitian ini adalah untuk mengetahui pengaruh EVA, ROA dan ROE terhadap return pemegang saham.Sampel yang diambil dalam penelitian ini adalah perusahaan manufaktur yang terdaftar di Bursa Efek Jakarta (BEJ) yang tercantum dalam Indonesian Capital Market Directory dan internet dengan situs www.jsx.co.id sejak tahun 2006 sampai dengan 2008. Sampel penelitian ditentukan berdasarkan purposive sampling. Dalam penelitian ini uji asumsi klasik yang digunakan adalah: uji normalitas, uji Autokorelasi, uji Multikolinearitas, uji Heterokedastisitas, Uji Regresi (Uji f dan t).Pengujian hipotesis yang digunakan adalah uji f, uji t dan uji R2. Hasil uji F diperoleh nilai Fhitung sebesar 1,226 dengan tingkat signifikansi 0,317. Karena nilai signifikansi F lebih besar dari 0,05 maka disimpulkan tidak ada pengaruh simultan antara variabel Economic Value Added (EVA), Return on Assets (ROA), Return on Equity (ROE) terhadap Return Saham.Hasil uji t diperoleh variabel EVA memiliki tingkat signifikansi lebih dari 0,05 yaitu sebesar 0,100. Dengan tingkat signifikansi 0,100 yang lebih besar dari 0,05 disimpulkan bahwa secara parsial Economic Value Added (EVA) tidak berpengaruh terhadap Return Saham perusahaan. Variabel ROA memiliki tingkat signifikansi lebih besar dari 0,05 yaitu sebesar 0,789. Dengan tingkat signifikansi 0,789 lebih besar dari 0,05 disimpulkan bahwa secara parsial Return on Asset tidak berpengaruh terhadap Return Saham perusahaan. Variabel ROE memiliki tingkat signifikansi lebih dari 0,05 yaitu sebesar 0,689. Dengan tingkat signifikansi sebesar 0,689 yang lebih besar dari 0,05 disimpulkan bahwa secara parsial Return on Equity (ROE) tidak berpengaruh terhadap Return Saham perusahaanHasil uji koefisien determinasi diperoleh nilai R2 sebesar 0,109 atau 10,9%. Hal ini menunjukan bahwa 10,9% dari nilai variabel dependen yaitu Return Saham dapat dijelaskan oleh Economic Value Added (EVA), Return on Assets (ROA) dan Return on Equity (ROE) sedangkan sisa nilai variabel dependen yaitu sebesar 89,1% tidak dapat dijelaskan oleh persamaan regresi atau dipengaruhi oleh faktor lain yang tidak termasuk dalam model analisis.Hasil penelitian ini diharapkan dapat memberi masukan bagi investor dalam melakukan invetasi saham dengan tidak hanya melihat kondisi perusahaan melalui rasio keuangan, khususnya melalui rasio EVA, ROA dan ROE tapi dengan rasio lain sebagai penentu investasi.Kata kunci: Economic Value Added (EVA), Return on Assets (ROA), Return on Equity (ROE) dan Return Saham

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The Capital Market Response to The Announcement of The 2019-2024 Indonesia Onward Cabinet System

Jurnal Keuangan dan Bisnis ◽

10.32524/jkb.v19i2.292 ◽

2021 ◽

Vol 19 (2) ◽

Author(s):

Clara Trimawarningsih Saravia Jegarut ◽

Caecilia Wahyu Estining Rahayu ◽

Ima Kristina Yulita

Keyword(s):

Event Study ◽

Capital Market ◽

Signaling Theory ◽

T Test ◽

Market Response ◽

Positive Signal ◽

Estimation Model ◽

Expected Return ◽

Study Research ◽

Window Period

This research aims to examine capital market response to the 2019-2024 Indonesia Onward Cabinet System announced by President Jokowi. This event study research used market estimation model to estimate the expected return with an estimated period of 100 days and window period of seven days. There were 90 companies that are the member of Kompas Index 100 as the sample used in this research. T-test was used to analyze the data. The result shows that the announcement System of Indonesia Onward Cabinet 2019-2024 was responded positively and significantly by capital market. The result supports signaling theory in which the announcement of the 2019-2024 Indonesia Onward Cabinet System gave positive signal (influence) on capital market.

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PROFITABLITY AND LIQUIDITY ON CORPORATE VALUE THROUGH DIVIDEND POLICY AS INTERVENING VARIABEL: EMPIRICAL STUDY ON ISLAMIC CAPITAL MARKET

Buletin Studi Ekonomi ◽

10.24843/bse.2020.v25.i02.p05 ◽

2020 ◽

pp. 249

Author(s):

Sutrisno Sutrisno ◽

Bagus Panuntun

Keyword(s):

Regression Analysis ◽

Capital Market ◽

Firm Value ◽

Sampling Method ◽

Dividend Policy ◽

Corporate Value ◽

Return On Assets ◽

Current Ratio ◽

Observation Period

The purpose of this study is to examine the effect of profitability and liquidity on dividend policy and firm value. It also examines the role of dividend policy as an intervening variable between profitability and liquidity on firm value. Firm value is measured by Tobin's Q, dividend policy is measured by dividend payout ratio (DPR), profitability is measured by return on assets (ROA) and liquidity is measured by current ratio (CR). The population of this study is companies registered in List of Sharia Securities consisting of more than 300 companies. Samples were taken as many as 100 companies with a purposive sampling method. The observation period is 3 years (2016-2018). To test hypotheses using multiple regression analysis. The result shows that profitability is significant and positively effect on dividend policy, while liquidity does not affect on dividend policy. Profitability and dividend policy have a positive and significant effect on firm value, while liquidity has no effect on firm value. Another result of dividend policy is able to be as an intervening effect on profitability of firm value but not as an intervening liquidity relationship to firm value.

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