PORTFOLIO OPTIMIZATION OF ASABRI AND JIWASRAYA USING ADAPTIVE SPIRAL OPTIMIZATION ALGORITHM

In early 2020, ASABRI and JIWASRAYA, government insurance and service company, experienced financial losses in their stock investments. This final project will discuss optimal value of return and risk of ASABRI and JIWASRAYA portfolio using Markowitz Portfolio Model Mean-Variance which was developed...

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Bibliographic Details
Main Author: Prima Reza, Mazi
Format: Final Project
Language:Indonesia
Online Access:https://digilib.itb.ac.id/gdl/view/50079
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Institution: Institut Teknologi Bandung
Language: Indonesia
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Summary:In early 2020, ASABRI and JIWASRAYA, government insurance and service company, experienced financial losses in their stock investments. This final project will discuss optimal value of return and risk of ASABRI and JIWASRAYA portfolio using Markowitz Portfolio Model Mean-Variance which was developed by Markowitz in 1952. For the single-objective optimization problem, three constraints are used to find the optimal value. The three constraints are (1) buy-in threshold, this constraint is used to limit the minimum value of each stock proportion, (2) cardinality, this constraint is used to choose K out of N stocks to buy, and (3) roundlot, this constraint is used to discussed the portfolio optimization using lot system. In a single-objective optimization problem, there will be only one objective function, either to minimize risk with target return that is already determined or to maximize return with target risk that is already determined. For the multi-objective portfolio optimization problem, there will be multiple objective functions. In this case, the return and risk value will be optimized once at a time using the sum-weighted method. There are 21 weights to build pareto front graph of return against sigma, where sigma is the square-root of risk. Pareto front shows that to get a higher return, the investor will get a higher risk as well. In addition, the Indonesia Stock Exchange index, IDX 30, will be optimized using a multi-objective portfolio problem with cardinality constraint. ????=14 and ????=9 was chosen due to the comparison to ASABRI and JIWASRAYA portfolio. This portfolio optimization problem will be calculated using adaptive spiral optimization algorithm (ASOA), a development of spiral optimization algorithm (SOA). ASOA is SOA with a self-adaptive structure that adjusts the parameter spiral radius and spiral angle value. There are three versions of ASOA. To evaluate the performance of these versions, five benchmark functions, MINLP problem, and portfolio problem is used.