Stock and Structured Warrant Portfolio Optimization Using Black-Litterman Model and Binomial Method

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dc.contributor.authorJayadi, Cornelius Francis
dc.contributor.authorSumarti, Novriana
dc.coverage.issue2cs
dc.coverage.volume29cs
dc.date.accessioned2024-01-11T09:48:05Z
dc.date.available2024-01-11T09:48:05Z
dc.date.issued2023-12-31cs
dc.description.abstractIn recent years, the number of Indonesian investors has rapidly increased during the COVID-19 pandemic which happened all around the world. There have been a massive number of influencers in social media who were promoting investment. Although stocks and warrants are interesting choices, mutual funds still become the main ones for beginners. Therefore, this research focuses on the development of a stock portfolio model using the Black-Litterman method which involves the investor’s views towards the stock returns. The research refers to one of the largest equity funds in Indonesia, that is Sucorinvest Equity Fund, by using the top ten of its stocks that are majority in the fund (as of April 28, 2023). Furthermore, this research also constructs a structured warrant portfolio, but it is separated from the initially constructed stock portfolio. Structured warrants could be an appropriate choice for low-budget investors. It was newly introduced in Indonesia in September 2022 so it is interesting to be observed. Based on the results and the implemented assumptions, the return obtained from the stock portfolio is superior to the observed fund’s return. Meanwhile, call structured warrant portfolio using the existing product in the market yields a negative return, because the exercise price and warrant offered price were too high. Thus, structured warrants could be considered overpriced at the moment, so the chance of obtaining profit is extremely small. Due to its similar properties to call and put options, we propose the warrant pricing and use it in simulations, so in the future, structured warrants may become an attractive instrument for the investors.en
dc.formattextcs
dc.format.extent220-228cs
dc.format.mimetypeapplication/pdfen
dc.identifier.citationMendel. 2023 vol. 29, č. 2, s. 220-228. ISSN 1803-3814cs
dc.identifier.doi10.13164/mendel.2023.2.220en
dc.identifier.issn2571-3701
dc.identifier.issn1803-3814
dc.identifier.urihttps://hdl.handle.net/11012/244249
dc.language.isoencs
dc.publisherInstitute of Automation and Computer Science, Brno University of Technologycs
dc.relation.ispartofMendelcs
dc.relation.urihttps://mendel-journal.org/index.php/mendel/article/view/257cs
dc.rightsCreative Commons Attribution-NonCommercial-ShareAlike 4.0 International licenseen
dc.rights.accessopenAccessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/4.0en
dc.subjectBlack-Littermanen
dc.subjectStocks Portfolioen
dc.subjectMutual Fundsen
dc.subjectStructured Warranten
dc.subjectCall and Puten
dc.subjectOption Pricingen
dc.titleStock and Structured Warrant Portfolio Optimization Using Black-Litterman Model and Binomial Methoden
dc.type.driverarticleen
dc.type.statusPeer-revieweden
dc.type.versionpublishedVersionen
eprints.affiliatedInstitution.facultyFakulta strojního inženýrstvícs
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Vol. 29, No. 2