PORTFOLIO OPTIMIZATION USING INVASIVE WEED OPTIMIZATION METHOD
A portfolio is a collection of investment assets. An investor certainly wants a portfolio that can provide a large return with the smallest possible risk, thus portfolio optimization applied. In this final project, portfolio optimization is done using the Markowitz model by adding constraints that a...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/28353 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | A portfolio is a collection of investment assets. An investor certainly wants a portfolio that can provide a large return with the smallest possible risk, thus portfolio optimization applied. In this final project, portfolio optimization is done using the Markowitz model by adding constraints that are closer to the real case. These constraints include buy-in threshold, cardinality, and roundlot. The problem of portfolio optimization with these three constraints is a non-linear optimization problem involving integers and real numbers. This problem is known as Mixed Integer Nonlinear Programming (MINLP). The method used in this final project is the Invasive Weed Optimization (IWO) method. This method will be modified to solve the MINLP problems. Then the modified IWO method is used to complete the optimization of the stock portfolio. The efficient frontier for each result will also be built in this final project. <br />
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