PORTFOLIO STOCK OPTIMIZATION USING SINE COSINE ALGORITHM
Stock portfolio optimization is the process of getting the proportion of shares that must be purchased by considering the return and the risk desired by the investor. In this Final Project, the optimiza for a gtionlobal optimum solution, mix nonlinear programming problem, and stock portfolio prob...
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| Format: | Final Project |
| Language: | Indonesia |
| Subjects: | |
| Online Access: | https://digilib.itb.ac.id/gdl/view/32380 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Stock portfolio optimization is the process of getting the proportion of shares that
must be purchased by considering the return and the risk desired by the investor.
In this Final Project, the optimiza for a gtionlobal optimum solution, mix nonlinear
programming problem, and stock portfolio problem use the A Sine Cosine Algorithm
(SCA) method. The problem of optimization of stock portfolio is the issue of
Minrisk1, Buy-In Threshold, Buy-In Threshold-Cardinality, and roundlot. The SCA
method is tested by simulating to find the optimal solution for all optimization
subject. Based on the results of simulations and comparisons with other methods
that have done the same thing, the SCA method is good to use for small and
simple dimension problems because the time of the solution is fast. Furthermore,
SCA Method is used for stock portfolio optimization gets the most optimal share
proportion solution which is used to calculate portfolio risk. The target return is
made various so that it knows the risk for each target return. The risk obtained is
plotted based on return which corresponds to efficient frontier to prove the financial
rules high risk high return. |
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