Page 162 - Contributed Paper Session (CPS) - Volume 8

CPS2225 Retno Subekti et al.
www.yahoofinance.com, namely WIKA, TLKM, SMGR, SMRA, UNVR, UNTR and
SSMS with their respectively sector and its summary statistics.
Table 1. Description Data
No. Stock Description Average Std dev skewness
return return
1 WIKA construction -0,0015 0,041063 0,068558
2 UNTR heavy equipment
products 0,003025 0,034093 0,098283
3 UNVR consumer goods 0,00654 0,048661 -0,23986
4 TLKM telecommunication
network and
service provider -0,00109 0,040671 0,666554
5 SMGR cement producer 0,006251 0,030345 0,14745
6 SMRA real estate
development
company -0,00263 0,047904 0,389205
7 SMSS palm oil company 0,000342 0,045838 -0,48442
8 JKSX market portfolio -0,0015 0,041063 0,068558
Based on summary statistics in Table 1, we select 3 stocks such as UNTR,
UNVR and SMGR which are have positive return and more than 0,1 % return
on average.
In order to apply the BLM we need to prepare with all components such
as views, market return and free risk return to build the CAPM. We propose an
updated view to gain more profitable result rather than fix views.
In this preliminary research we focus on simple time series method such
as Moving average. We then experiment with all assets and calculate the profit
in two periods a head. As an illustration, we investigate a weekly report value
of portfolio. Regarding with BL formula, the views is built from MA (2) until MA
(6) and we describe in fig. 2.

Weight BL-1

5

0
MA2 MA3 MA4 MA5 MA6
-5

UNTR UNVR SMGR

Figure 2. Weight BL initial.
The bar chart illustrated the weight in one period, in this first investment,
the allocation for UNTR is negative, it means, we did not set the portfolio

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