Comparison of Two Optimization Models in Assessing LQ-45 Index Optimal Portfolio Performance

Abstract

Investment in essence is the placement of funds at this time in the hope of gaining profits in the future. It is necessary for investors to divide funds into several types of investments to reduce the risk borne by choosing an analysis model as a basis for decisions to decide. This study uses two model analysis approaches, namely Markowitz Mode and Black Litterman Model. This research was conducted on the LQ-45 Index on the Stock Exchange from February 2015 to Jauari 2018. The sample selection technique used was purposive sampling technique and obtained 36 observations with a total observation of 108. The analysis technique used was the Wilcoxon Ranks Test. The results of the study show that the Markowitz Model has a better advantage compared to the Black-Litterman Model. This causes no short sales in the Markowitz Model, whereas in the Black-Litterman Model shows the view of investors who are subjective in analyzing portfolio performance, namely the results of analysis that cannot explain with certainty. Therefore, there is a need for consideration for investors to be able to combine the results of the analysis with the conditions that occur at this time.

Keywords: Markowitz Model, Black Litterman Model, LQ-45 Index

DOI: 10.7176/RJFA/10-12-05

Publication date:June 30^th 2019