OPTIMIZATION OF MULTI-OBJECTIVE STOCK PORTFOLIO USING INVASIVE WEED OPTIMIZATION

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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Main Author: OCTAVIA (NIM: 10114089), DEASY
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
id id-itb.:26431
spelling id-itb.:264312018-09-14T13:49:12ZOPTIMIZATION OF MULTI-OBJECTIVE STOCK PORTFOLIO USING INVASIVE WEED OPTIMIZATION OCTAVIA (NIM: 10114089), DEASY Indonesia Final Project INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/26431 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 /> <br /> text
institution Institut Teknologi Bandung
building Institut Teknologi Bandung Library
continent Asia
country Indonesia
Indonesia
content_provider Institut Teknologi Bandung
collection Digital ITB
language Indonesia
description 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 /> <br />
format Final Project
author OCTAVIA (NIM: 10114089), DEASY
spellingShingle OCTAVIA (NIM: 10114089), DEASY
OPTIMIZATION OF MULTI-OBJECTIVE STOCK PORTFOLIO USING INVASIVE WEED OPTIMIZATION
author_facet OCTAVIA (NIM: 10114089), DEASY
author_sort OCTAVIA (NIM: 10114089), DEASY
title OPTIMIZATION OF MULTI-OBJECTIVE STOCK PORTFOLIO USING INVASIVE WEED OPTIMIZATION
title_short OPTIMIZATION OF MULTI-OBJECTIVE STOCK PORTFOLIO USING INVASIVE WEED OPTIMIZATION
title_full OPTIMIZATION OF MULTI-OBJECTIVE STOCK PORTFOLIO USING INVASIVE WEED OPTIMIZATION
title_fullStr OPTIMIZATION OF MULTI-OBJECTIVE STOCK PORTFOLIO USING INVASIVE WEED OPTIMIZATION
title_full_unstemmed OPTIMIZATION OF MULTI-OBJECTIVE STOCK PORTFOLIO USING INVASIVE WEED OPTIMIZATION
title_sort optimization of multi-objective stock portfolio using invasive weed optimization
url https://digilib.itb.ac.id/gdl/view/26431
_version_ 1822921895199113216

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