Optimasi Portofolio Saham Menggunakan Metode Nadir Compromise Programming Dan Lexicographic Goal Programming

Yusrima, Anisa (2021) Optimasi Portofolio Saham Menggunakan Metode Nadir Compromise Programming Dan Lexicographic Goal Programming. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Investasi atas aset finansial yang banyak diminati oleh masyarakat adalah bentuk saham karena memberikan prospek jangka panjang. Permasalahan dalam berinvestasi saham adalah adanya risiko yang tinggi karena sifatnya yang dinamis dan fluktuatif, sehingga dibutuhkan portofolio saham untuk meminimalkan risiko dan memaksimalkan return. Metode optimasi portofolio saham yang digunakan adalah Nadir Compromise Programming dan Lexicographic Goal Programming, kedua metode dapat diterapkan pada permasalahan multi-objektif. Penelitian ini membahas optimasi portofolio saham menggunakan Nadir Compromise Programming dan Lexicographic Goal Programming dengan permasalahan multiobjektif yaitu mengoptimumkan risiko, memaksimalakan expected return, dan meminimalkan modal investasi. Hasil penelitian menunjukkan bahwa portofolio menggunakan Lexicographic Goal Programming diperoleh risiko portofolio optimal sebesar 1, expected return maksimal sebesar -0.0028, dan modal investasi minimal sebesar 6138.0021. Sedangkan hasil portofolio menggunakan Lexicographic Goal Programming diperoleh nilai risiko portofolio optimal sebesar 1, expected return maksimal sebesar 0.00015, dan modal investasi minimal sebesar 9767.9080.
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Investments in financial assets that are in great demand by the public are in the form of stocks because they provide long-term prospects. The problem in investing in stocks is that there is a high risk because of its dynamic and fluctuating nature, so a stock portfolio is needed to minimize risk and maximize returns. The stock portfolio optimization methods used are Nadir Compromise Programming and Lexicographic Goal Programming, both methods can be applied to multi-objective problems. This study discusses stock portfolio optimization using Nadir Compromise Programming and Lexicographic Goal Programming with multi-objective problems, namely optimizing risk, maximizing expected return, and minimizing investment capital. The results showed that the portfolio using Lexicographic Goal Programming obtained an optimal portfolio risk of 1, a maximum expected return of -0.0028, and a minimum investment capital of 6138.0021. While the results of the portfolio using Lexicographic Goal Programming obtained an optimal portfolio risk value of 1, a maximum expected return of 0.00015, and a minimum investment capital of 9767.9080.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	Lexicographic Goal Programming, Nadir Compromise Programming, Optimasi portofolio, Portfolio optimization.
Subjects:	T Technology > T Technology (General) > T57.6 Operations research--Mathematics. Goal programming
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User:	Anisa Yusrima
Date Deposited:	23 Aug 2021 12:42
Last Modified:	23 Aug 2021 12:42
URI:	http://repository.its.ac.id/id/eprint/89837

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