OPTIMASI PORTOFOLIO DENGAN KENDALA BUY-IN THRESHOLD, CARDINALITY, DAN ROUNDLOT MENGGUNAKAN METODE CUCKOO SEARCH
This thesis deals with the issue of potofolio optimization problem with constraints (1) buy-in threshold, is a constraint that gives the non zero lower bound for each aset, (2) cardinality, is a constraint that circumscribes the number of assets included in portofolio, and (3) roundlot, is a constra...
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| Format: | Theses |
| Language: | Indonesia |
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| Online Access: | https://digilib.itb.ac.id/gdl/view/33922 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | This thesis deals with the issue of potofolio optimization problem with constraints (1) buy-in threshold, is a constraint that gives the non zero lower bound for each aset, (2) cardinality, is a constraint that circumscribes the number of assets included in portofolio, and (3) roundlot, is a constraint that requires buying asset in lot size. The portofolio model that used is Markowitz’s model that includes risk minimization and return maximization problem.
Potofolio optimization problems with these three constraints formulated as two type, that are: (1) problem that just includes continous (real) variabels and (2) problem that includes integer variabels. Problem (1) is solved by using Cuckoo Search algorithm, but problem (2) is solved by doing a modification for Cuckoo Search algorithm such that the modified Cuckoo Search algorithm ables to solved Mix integer Nonlinear Programming problem. |
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