文章基本信息

标题：OPTIMISASI MULTIOBJEKTIF UNTUK PEMBENTUKAN PORTOFOLIO
本地全文：下载
作者：Abdul Hoyyi ; Dwi Ispriyanti
期刊名称：MEDIA STATISTIKA
印刷版ISSN：1979-3693
电子版ISSN：2477-0647
出版年度：2015
卷号：8
期号：1
页码：31-39
DOI：10.14710/medstat.8.1.31-39
语种：English
出版社：MEDIA STATISTIKA
摘要：Investing in asset such as stock; besides generate profit (return), it is also deal with a risk of loss, so that portofolio diversification is needed to reduce the risk. In the establishment of stock portofolio, the investors seeking to maximize the expected return of investment with a certain level of risk that still can be accepted. Portofolios that can achieve the above objectives called optimal portofolios. The application of multiobjective optimization on the establishment of the optimal portofolio is to maximize the return and minimize the risk at the same time. The aim of this research is to analize the proportion of each stock in order to form an optimal portofolio and to analyze the level of benefits and risks of the portofolio which is formed in accordance with the preferences of investors. The data used are monthly stock data of ASII, TLKM, SMGR, LPKR and BBNI. The optimal portofolio for risk seeker investors is a portofolio that used coefficient k =0,01, namely by investing in SMGR whilst the optimal portofolio for risk indifference investors is a portfolia which has coefficient 1 ≤ k ≤ 100 namely by investing in ASII, TLKM, SMGR, LPKR, and BBNI. Whereas, the optimal portofolio for risk averse investors is a portfolio which has coefficient k =1000 that is by investing in ASII, TLKM, SMGR, LPKR, and BBNI. Key w ords : Portofolio, Multi Objective Optimization
其他摘要：Investing in asset such as stock; besides generate profit (return), it is also deal with a risk of loss, so that portofolio diversification is needed to reduce the risk. In the establishment of stock portofolio, the investors seeking to maximize the expected return of investment with a certain level of risk that still can be accepted. Portofolios that can achieve the above objectives called optimal portofolios. The application of multiobjective optimization on the establishment of the optimal portofolio is to maximize the return and minimize the risk at the same time. The aim of this research is to analize the proportion of each stock in order to form an optimal portofolio and to analyze the level of benefits and risks of the portofolio which is formed in accordance with the preferences of investors. The data used are monthly stock data of ASII, TLKM, SMGR, LPKR and BBNI. The optimal portofolio for risk seeker investors is a portofolio that used coefficient k =0,01, namely by investing in SMGR whilst the optimal portofolio for risk indifference investors is a portfolia which has coefficient 1 ≤ k ≤ 100 namely by investing in ASII, TLKM, SMGR, LPKR, and BBNI. Whereas, the optimal portofolio for risk averse investors is a portfolio which has coefficient k =1000 that is by investing in ASII, TLKM, SMGR, LPKR, and BBNI. Key w ords : Portofolio, Multi Objective Optimization