OPTIMIZATION OF MULTI-OBJECTIVE STOCK PORTFOLIO USING INVASIVE WEED OPTIMIZATION
This thesis discusses about stock portfolio optimization using mean-variance model by Markowitz. The constraints to contruct optimal portfolio in this tesis are buy-in threshold, a constraint to restrict the minimum proportion in portofolio, and cardinality, a contraint to restrict the assets includ...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/26431 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | This thesis discusses about stock portfolio optimization using mean-variance model by Markowitz. The constraints to contruct optimal portfolio in this tesis are buy-in threshold, a constraint to restrict the minimum proportion in portofolio, and cardinality, a contraint to restrict the assets included in portfolio. For the first step, this thesis will discuss about single-objective portfolio optimization with risk as the objective functtion with return be given and return as the objective function with risk be given. After that we will develop multi-objective stock portfolio optimization, make risk of portfolio as small as possible and return of portfolio as large as possible. Portfolio optimization problems will be solved using Invasive Weed Optimization develop by A.R. Mehrabian and C. Lucas in 2006. <br />
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