PENGGUNAAN ALGORITMA GENETIKA UNTUK PEMILIHAN PORTFOLIO SAHAM DALAM MODEL MARKOWITZ
DOI:
https://doi.org/10.9744/informatika.6.2.pp.%20105-109Keywords:
markowitz, portofolio theory, genetic algorithm.Abstract
Modern portfolio theory is based on asumption that investor can choose his proportion asset in portfolio, so they can minimize the risk and maximize the return. This paper presents the use of genetic algorithm (GA) to optimize the choice of share portfolio in markowitz model by representing the efficient set portfolio. GA represent the efficient set using undirect representation to avoid infeasible solution and penalty function. From the implementation, it can be concluded that GA is one of methods which is able to obtain optimum point from portfolio. Abstract in Bahasa Indonesia : Teori portofolio modern mendasarkan teorinya pada asumsi bahwa investor bertindak secara rasional dengan memilih proporsi asetnya dalam sebuah portofolio sedemikian rupa sehingga dapat meminimalkan resiko dan memaksimalkan return. Dalam paper ini penulis mencoba menyajikan penggunaan algoritma genetika (Genetic Algorithm/GA) untuk optimasi pemilihan portofolio saham dalam model markowitz dengan cara merepresentasikannya sebagai kumpulan portofolio yang efisien (the efficient set portofolio). GA merepresentasikan kumpulan yang effisien ini dengan menggunakan representasi tidak langsung untuk menghindari solusi yang tidak feasible dan fungsi penalti. Dari hasil yang telah diimplementasikan dapat disimpulkan bahwa GA dapat digunakan sebagai salah satu metode yang cukup berhasil dalam menemukan titik optimum dari sebuah portofolio. Kata kunci: markowitz, teori portofolio, algoritma genetika.Downloads
Published
2006-02-23
How to Cite
Rostianingsih, S., & Taufiq N., W. (2006). PENGGUNAAN ALGORITMA GENETIKA UNTUK PEMILIHAN PORTFOLIO SAHAM DALAM MODEL MARKOWITZ. Jurnal Informatika, 6(2), pp. 105–109. https://doi.org/10.9744/informatika.6.2.pp. 105-109
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