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Investment is an activity that is closely related to the optimization, either to <br /> <br /> <br /> <br /> <br /> minimize risk or maximize return. One of the best ways for this optimization <br /> <br /> <br /> <br /> <br />...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/19776 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Investment is an activity that is closely related to the optimization, either to <br />
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minimize risk or maximize return. One of the best ways for this optimization <br />
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problems is to determine the proportion of each asset investments. In practice <br />
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there is condition when the limitations proportions for each asset is exist, this <br />
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constraint is called a buy-in threshold. The author uses the method of optimization <br />
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spiral by Tamura and Yasuda (2011) and flower pollination algorithm (FPA) by <br />
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Yang et al. (2013) for this multimodal problems. Spiral optimization method is <br />
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specifically converted into a deterministic method using Sobol sequences. As a <br />
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result, the both metaheuristic methods work favorably in finding solution to <br />
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optimization problem. |
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