Compromise Programming Untuk Pemilihan Portofolio

Ciptaningrum, Putri (2010) Compromise Programming Untuk Pemilihan Portofolio. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Portofolio merupakan gabungan atas sekumpulan asset yang dimiliki oleh investor. Dengan memiliki beberapa asset, resiko dapat dikurangi. Pada tugas akhir ini asset yang digunakan berupa saham, terdiri dari 5 saham perusahaan yaitu PT Gudang Garam, lndofood Sukses, Kalbe Farma tbk, Ultra Jaya Milk, dan JAPFA tbk, sehingga portofolio yang dapat dibentuk dari kombinasi 5 saham tersebut sebanyak 26 portofolio. Dalam model optimasi pemilihan portofolio terdapat 2 .fungsi obyektif yang harus dipertimbangkan investor, yaitu memaksimalkan nilai expected return portofolio dan meminimalkan nilai resiko portofolio. Pada tugas akhir ini, digunakan compromise programming untuk menyelesaikan permasalahan multi-objective pada model optimasi portofolio, dengan meminima/kan penyimpangan antara .fungsi obyektif dengan nilai ideal .fungsi obyektif Penyelesaian dengan menggunakan compromise programming akan mendapatkan proporsi dana yang harus diinvestasikan pada masing-masing saham. Pada tugas akhir ini juga didapatkan 5 portofolio efisien. Portofolio efisien didapatkan dengan cara membandingkan portofolio yang mempunyai ni/ai resiko yang hampir sama, kemudian dicari portofolio yang memberikan nilai expected return yang terbesar atau dari portofolio yang mempunyai nilai expected return yang hampir sama, dicari portofolio yang memberikan nilai resiko terkecil
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A portfolio is a combination of a collection of assets owned by an investor. By having several assets, risk can be reduced. In this final project, the assets used are stocks, consisting of 5 company stocks, namely PT Gudang Garam, Indofood Sukses, Kalbe Farma tbk, Ultra Jaya Milk, and JAPFA tbk, so that the portfolio that can be formed from the combination of these 5 stocks is 26 portfolios. In the portfolio selection optimization model, there are 2 objective functions that investors must consider, namely maximizing the value of the portfolio's expected return and minimizing the value of the portfolio's risk. In this final project, compromise programming is used to solve multi-objective problems in the portfolio optimization model, by minimizing the deviation between the objective function and the ideal value of the objective function. Solving using compromise programming will obtain the proportion of funds that must be invested in each stock. In this final project, 5 efficient portfolios are also obtained. Efficient portfolios are obtained by comparing portfolios that have almost the same risk value, then looking for the portfolio that provides the largest expected return value or from portfolios that have almost the same expected return value, looking for the portfolio that provides the smallest risk value

Item Type:	Thesis (Other)
Additional Information:	RSMa 332.6 Cip c-1 2010 (weding)
Uncontrolled Keywords:	Compromise Programming, Pemilihan Portofolio, Multi-Objective Programming; Compromise programming, Portfolio Selection, Multi-Objective Programming
Subjects:	Q Science > QA Mathematics > QA76.6 Computer programming.
Divisions:	Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User:	EKO BUDI RAHARJO
Date Deposited:	18 Sep 2025 07:14
Last Modified:	18 Sep 2025 07:14
URI:	http://repository.its.ac.id/id/eprint/128301

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