MULTIOBJECTIVE STOCK PORTFOLIO OPTIMIZATION USING SINE COSINE ALGORITHM WITH BUY- IN THRESHOLD AND CARDINALITY CONSTRAINTS

MULTIOBJECTIVE STOCK PORTFOLIO OPTIMIZATION USING SINE COSINE ALGORITHM WITH BUY- IN THRESHOLD AND CARDINALITY CONSTRAINTS

A stock portfolio is a collection of various types of shares owned by a person or investor. In investing, return and risk are the two main bases for an investor to choose to invest or not in the stock portfolio. Therefore the arrangement of the stock portfolio must be done selectively. In this final...

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Main Author: KABAN (NIM: 10114081), RISPANDANTA
Format: Final Project
Language:Indonesia
Online Access:https://digilib.itb.ac.id/gdl/view/30541
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Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:30541
spelling id-itb.:305412018-09-17T10:06:37ZMULTIOBJECTIVE STOCK PORTFOLIO OPTIMIZATION USING SINE COSINE ALGORITHM WITH BUY- IN THRESHOLD AND CARDINALITY CONSTRAINTS KABAN (NIM: 10114081), RISPANDANTA Indonesia Final Project INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/30541 A stock portfolio is a collection of various types of shares owned by a person or investor. In investing, return and risk are the two main bases for an investor to choose to invest or not in the stock portfolio. Therefore the arrangement of the stock portfolio must be done selectively. In this final project, the portfolio was made using a simple Markowitz model. In addition, the arrangement of portfolios with buy-in threshold and cardinality constraints will be reviewed as well. These problems will be viewed through a multi-objective perspective. To solve multi-objective problems, we use weighted sum method and epsilon constraints so that the problem becomes a single objective problem. Then the problem will be changed to a problem without constraints. Thus the problem can be solved using the sine cosine algorithm (SCA) method. 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 stock portfolio is a collection of various types of shares owned by a person or investor. In investing, return and risk are the two main bases for an investor to choose to invest or not in the stock portfolio. Therefore the arrangement of the stock portfolio must be done selectively. In this final project, the portfolio was made using a simple Markowitz model. In addition, the arrangement of portfolios with buy-in threshold and cardinality constraints will be reviewed as well. These problems will be viewed through a multi-objective perspective. To solve multi-objective problems, we use weighted sum method and epsilon constraints so that the problem becomes a single objective problem. Then the problem will be changed to a problem without constraints. Thus the problem can be solved using the sine cosine algorithm (SCA) method.
format Final Project
author KABAN (NIM: 10114081), RISPANDANTA
spellingShingle KABAN (NIM: 10114081), RISPANDANTA
MULTIOBJECTIVE STOCK PORTFOLIO OPTIMIZATION USING SINE COSINE ALGORITHM WITH BUY- IN THRESHOLD AND CARDINALITY CONSTRAINTS
author_facet KABAN (NIM: 10114081), RISPANDANTA
author_sort KABAN (NIM: 10114081), RISPANDANTA
title MULTIOBJECTIVE STOCK PORTFOLIO OPTIMIZATION USING SINE COSINE ALGORITHM WITH BUY- IN THRESHOLD AND CARDINALITY CONSTRAINTS
title_short MULTIOBJECTIVE STOCK PORTFOLIO OPTIMIZATION USING SINE COSINE ALGORITHM WITH BUY- IN THRESHOLD AND CARDINALITY CONSTRAINTS
title_full MULTIOBJECTIVE STOCK PORTFOLIO OPTIMIZATION USING SINE COSINE ALGORITHM WITH BUY- IN THRESHOLD AND CARDINALITY CONSTRAINTS
title_fullStr MULTIOBJECTIVE STOCK PORTFOLIO OPTIMIZATION USING SINE COSINE ALGORITHM WITH BUY- IN THRESHOLD AND CARDINALITY CONSTRAINTS
title_full_unstemmed MULTIOBJECTIVE STOCK PORTFOLIO OPTIMIZATION USING SINE COSINE ALGORITHM WITH BUY- IN THRESHOLD AND CARDINALITY CONSTRAINTS
title_sort multiobjective stock portfolio optimization using sine cosine algorithm with buy- in threshold and cardinality constraints
url https://digilib.itb.ac.id/gdl/view/30541
_version_ 1821995780994498560

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