ANALYSIS OF STOCK PORTFOLIO OPTIMIZATION ON JAKARTA ISLAMIC INDEX USING SIMULATED ANNEALING AND GENETIC ALGORITHM METHOD
There are more cases that are occurring from various fields that still need solutions to solve these problems. Physicists have discovered a new system in the world of physics to answer these problems called a complex system. Complex systems are a system that studies how to solve complex cases usi...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/49456 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | There are more cases that are occurring from various fields that still need solutions
to solve these problems. Physicists have discovered a new system in the world of
physics to answer these problems called a complex system. Complex systems are a
system that studies how to solve complex cases using theories that have been
studied in physics. Complex systems are divided into three: econophysics,
sociophysics, and urban physics. Problems in the real world can occur in various
fields, one of which is economics, so econophysics is used. Econophysics is a
science that is based on physical theories to solve cases in the economic world. In
the economic world, stock price is categorized as a complex system. This is because
the stock price cannot be predicted because its value can go up and down
immediately so it needs to be analyzed using a new approach. Stock prices needs to
be predicted in order to be able to invest. Investment is an activity of investing
capital in a particular asset that aims to generate large profits with minimum risk.
To achieve these objectives in investing, it is necessary to create a stock portfolio.
The stock portfolio contains a collection of assets to be invested with their
respective weights. The proportion of each share that will be invested requires a
solution using the approach of the econophysical method, the simulated annealing
(SA) method and the genetic algorithm (GA). Both of these methods are methods
that can calculate the optimization of a function to be compared which one is better.
The index that will be analyzed is the Jakarta islamic index (JII). The data taken is
the stock price for 6 years, which is from 1st January 2014 to 31st December 2019.
The results that are obtained are the simulated annealing method which has a faster
performance and produces greater fitness compared to the GA method of 0,875. |
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