OPTIMIZING STOCK PORTFOLIO PROBLEM IN MARKOWITZ MODEL USING MODIFIED BAT ALGORITHM (MBA)

• Main Author: Sajid, Muhammad
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/74572
• Institution: Institut Teknologi Bandung

Investment is the act of allocating wealth or capital with the aim of obtaining future profits. Stocks are one of the investment instruments in the financial sector that are popular due to their potential to provide higher returns compared to other investment instruments. However, when investing, investors are faced with two main considerations, namely returns and risks. The primary objective of portfolio formation is to reduce risk through diversification. In portfolio formation, investors seek to maximize the expected return with a tolerable level of risk or to find a portfolio with the lowest risk that generates a specific level of return. Such portfolios with these characteristics are known as efficient portfolios. An optimal portfolio is an efficient portfolio selected by an investor, reflecting the best combination of expected return and risk. Therefore, this final project discusses the formation of an optimal stock portfolio by optimizing the Markowitz model using Modified Bat Algorithm (MBA). Additionally, a risk analysis of the portfolio is conducted using the Value at Risk (VaR) method. Secondary data for this final project is obtained from time series and cross-sectional data with a ten-year timeframe taken from Yahoo Finance and information on stocks listed on the Indonesia Stock Exchange (IDX) until June 19, 2023 can be accessed on the britama.com website. The results of this final project consist of four parts, namely the identification of five potential stocks that have the opportunity to be candidates in an optimal portfolio, the allocation of proportions for each candidate stock in the optimal portfolio generated through the optimization of the Markowitz model using MBA, the expected return rates and risk levels faced by investors with risk averse, risk neutral, and risk seeker preferences, as well as the expected profits and VaR for each optimal portfolio.