Optimum Portfolio Analysis of Black-Litterman Model in The Indonesian Stock Exchange on Consumer Goods Industrial Sector


  • Meilina Pudjiani School of Business IPB University
  • Yusman Syaukat Faculty of Economic and Management IPB University
  • Tony Irawan Faculty of Economic and Management IPB University




optimum portfolio, Black-Litterman model, stock exchange, consumer good industries


The aim of the research was to identify the allocation of optimum portfolio formation in consumer goods sector at Indonesian Stock Exchange from 2014 to 2018 by using Black-Litterman model. This quantitative research used secondary data on stock prices of the consumer goods sector on the Indonesian Stock Exchange from January 2014 to December 2018 which was obtained from Yahoo Finance and the Indonesia Stock Exchange. Four stocks formed the optimum portfolio of consumer goods sector identified by using Black-Litterman model. Those are stocks of PT Indofood CBP Sukses Makmur Tbk, PT Kimia Farma Tbk, PT Indofarma Tbk, PT Indofarma Tbk, and PT HM Sampoerna Tbk. The results show that stock with the biggest proportion was ICBP’s with proportion of 68,5379%. Meanwhile the smallest proportion was INAF’s, which is 3,0277%. The mean return was calculated from this proportion, resulting in 3,678% while the risk value was 1,471%.


Plum Analytics

Author Biographies

Meilina Pudjiani, School of Business IPB University

Student School of Business IPB University, Master of Business Management

Yusman Syaukat, Faculty of Economic and Management IPB University

Lecturer Faculty of Economics and Management, Department of Resource and Environmental Economy, IPB University

Tony Irawan, Faculty of Economic and Management IPB University

Lecturer Faculty of Economics and Management, Department of Economic Science, IPB University


Arisena, A., Noviyanti, L., & Zanbar, S. A. (2018). Portfolio return using Black-litterman single view model with ARMA-GARCH and Treynor Black model. Journal of Physics: Conference Series, 974(1), 12–23.

Arulraj, M., Pvs, M., & Karthika, R. (2012). Global Portfolio Optimization for BSE Sensex using the Enhanced Black-Litterman Model. Procedia engineering, 38, 2987–2997.

Da Silva, A. S., Lee, W., & Pornrojnangkool, B. (2009). The Black--Litterman model for active portfolio management. The Journal of Portfolio Management, 35(2), 61–71.

Ganikhodjaev, N., & Bayram, K. (2016). The Black-Litterman model in central bank practice: Study for Turkish central bank. Malaysian Journal of Mathematical Sciences, 10(S), 193–203.

Idzorek, T. (2007). A step by step guide to the Black-Litterman model: Incorporating user-specified confidence levels. In S. Satchell (Ed.). Forecasting Expected Returns in the Financial (pp.17-38).Elsevier.

Jogiyanto, H. (2013). Teori Portofolio dan Analisis Investasi Edisi Kelima. Yogyakarta, ID: BPEF.

Laporan Keuangan Indonesia. (2015). Laporan Tahunan Bank Indonesia Tahun 2015. Retrieved July 5th 2019 from https://www.bi.go.id/id/publikasi/laporan-tahunan/bi/Pages/LKTBI-2015.aspx

Laporan Keuangan Indonesia. (2018). Laporan Tahunan Bank Indonesia Tahun 2018. Retrieved July 5th 2019 from https://www.bi.go.id/id/publikasi/laporan-tahunan/bi/Pages/LKTBI-2018.aspx

Litterman, B. (2003). Global Equilibrium Expected Returns in Modern Investment Management: An Equilibrium Approach (pp. 55–75). New Jersey, USA: Wiley.

Mahrivandi, R., Noviyanti, L., & Setyanto, G. R. (2017). Black-Litterman model on non-normal stock return (Case study four banks at LQ-45 stock index). AIP Conference Proceedings, 1827(1), 20013.

Mankert, C. (2010). The Black-Litterman Model- mathematical and behavioral finance approaches towards its use in practice (Doctoral thesis). Royal Institute of Technology, Stockholm (SE).

Menchi, M. (2016). Black Litterman for non-normal markets: focus on view’s confidence level and performance (Masters's thesis). Luiss Guido Carli University, Rome (IT).

Meucci, A. (2006). Beyond Black-Litterman in practice: A five-step recipe to input views on non-normal markets. Risk Journal, 19, 87–92.

Mishra, A. K., Pisipati, S., & Vyas, I. (2011). An equilibrium approach for tactical asset allocation: Assessing Black-Litterman model to Indian stock market. Journal of Economics and International Finance, 3(10), 553–563.

Ramli, A. (2010). Risk dan return saham perusahaan industri barang konsumsi di bursa efek Indonesia. Jurnal Aplikasi Manajemen, 8(4), 1090–1097.

Salomons, A. (2007). The black-litterman model hype or improvement? (Master's thesis). University of Groningen.

Satchell, S., & Scowcroft, A. (2000). A demystification of the Black--Litterman model: Managing quantitative and traditional portfolio construction. Journal of Asset Management, 1(2), 138–150.

Subekti, R. (2009). Keunikan Model Black Litterman dalam Pembentukan Portofolio. Prosiding Seminar Nasional Matematika Jurusan Matematika UNY. Yogyakarta.

Tandelilin, E. (2010). Portofolio dan Investasi: Teori dan aplikasi Edisi Pertama. Yogyakarta, ID: Kanisius.

Walters, J. (2014). The Black-Litterman model in detail. SSRN. http://dx.doi.org/10.2139/ssrn.1314585

Zabarankin, M., Pavlikov, K., & Uryasev, S. (2013). Capital asset pricing model (CAPM) with drawdown measure. European Journal of Operational Research, 234(2), 508–517.



Abstract 535  .
PDF downloaded 357  .