OPTIMIZATION OF PORTFOLIO FOR MEAN VARIANCE RISK MEASURE WITH MULTI OBJECTIVE APPROACH USING ANT COLONY METHOD
The two most important things in portfolio optimization are minimizing risk and maximizing return. Of course, it would be more interesting if the return and risks can be optimized simultaneously, this problem is known as multi-objective portfolio problem. The optimization model that is often used...
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| Format: | Theses |
| Language: | Indonesia |
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| Online Access: | https://digilib.itb.ac.id/gdl/view/32152 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | The two most important things in portfolio optimization are minimizing risk and
maximizing return. Of course, it would be more interesting if the return and risks
can be optimized simultaneously, this problem is known as multi-objective
portfolio problem. The optimization model that is often used to solve this portfolio
optimization problem is the mean-variance. This model is made on the mean and
variance approach. Constraints that often arise are buy-in threshold, cardinality, and
roundlot. The method used for the problem of portfolio optimization in this thesis
is by using Ant Colony method by conducting Rastrigin, Grewank, and
Rosenbrock. Furthermore, the Ant Colony method is used for single objective
optimization. Then for a multi-objective approach using data 50 Hang Seng stocks
and 45 shares of LQ45. The multi objective optimization result also displays the
front pareto for each taking K = 5,10,15 shares of available n- stock. The tool used
for this Ant Colony method is MATLAB2015a. |
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