PORTFOLIO OPTIMIZATION USING INVASIVE WEED OPTIMIZATION METHOD

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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Main Author: MAGADALENA GULTOM (NIM:10114065), JULI
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
id id-itb.:28353
spelling id-itb.:283532018-09-12T09:10:18ZPORTFOLIO OPTIMIZATION USING INVASIVE WEED OPTIMIZATION METHOD MAGADALENA GULTOM (NIM:10114065), JULI Indonesia Final Project INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/28353 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 /> <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 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 /> <br />
format Final Project
author MAGADALENA GULTOM (NIM:10114065), JULI
spellingShingle MAGADALENA GULTOM (NIM:10114065), JULI
PORTFOLIO OPTIMIZATION USING INVASIVE WEED OPTIMIZATION METHOD
author_facet MAGADALENA GULTOM (NIM:10114065), JULI
author_sort MAGADALENA GULTOM (NIM:10114065), JULI
title PORTFOLIO OPTIMIZATION USING INVASIVE WEED OPTIMIZATION METHOD
title_short PORTFOLIO OPTIMIZATION USING INVASIVE WEED OPTIMIZATION METHOD
title_full PORTFOLIO OPTIMIZATION USING INVASIVE WEED OPTIMIZATION METHOD
title_fullStr PORTFOLIO OPTIMIZATION USING INVASIVE WEED OPTIMIZATION METHOD
title_full_unstemmed PORTFOLIO OPTIMIZATION USING INVASIVE WEED OPTIMIZATION METHOD
title_sort portfolio optimization using invasive weed optimization method
url https://digilib.itb.ac.id/gdl/view/28353
_version_ 1821995046197526528

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