LQ45 Stock Portfolio Selection using Black-Litterman Model in Pandemic Time Covid-19


  • Siska Yosmar Department of Mathematics, Universitas Bengkulu, Indonesia
  • S Damayanti Department of Mathematics, Universitas Bengkulu, Indonesia
  • S Febrika Department of Mathematics, Universitas Bengkulu, Indonesia




black-litterman model, expected return, portfolio, risk


The world was shocked by the emergence of a virus that spread very quickly to several countries including Indonesia at the end of 2019. This virus infection is called Corona Virus Disease 2019 (Covid-19). The outbreak of Covid-19 not only threatens human lives but also disrupts various economic, financial, and business activities, especially in Indonesia. A stock portfolio is a collection of financial assets in a unit that is held or created by an investor, investment company, or financial institution. The Black-Litterman model of the stock portfolio is a portfolio model that involves the CAPM equilibrium return and investor views. The purpose of this study is to determine the stock portfolio with the Black-Litterman model using company data listed in the LQ45 stock index from January 2020 to June 2020. Four of the twenty-nine LQ45 stocks were selected as assets in the stock portfolio. The stock portfolio containing the four stocks, namely ICBP, KLBF, MNCN, and TLKM with the Black-Litterman model resulted in an expected return of 2.07% and a risk of 2.82%.


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How to Cite

Yosmar, S. ., Damayanti, S., & Febrika, S. (2021). LQ45 Stock Portfolio Selection using Black-Litterman Model in Pandemic Time Covid-19. Indonesian Journal of Statistics and Its Applications, 5(2), 343–354. https://doi.org/10.29244/ijsa.v5i2p343-354