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Pengoptimalan Risiko dan Return dalam Pemilihan Portofolio Saham Menggunakan Fuzzy Multi Objective Linear Programming
ABSTRAK
Masalah pemilihan saham dalam portofolio saham merupakan suatu
tantangan bagi para investor. Pada skripsi ini, digunakan beberapa metode yang
dikombinasikan untuk pemilihan portofolio, seperti analisis cluster dan analytical
hierarchy proccess (AHP) untuk memberikan peringkat pada aset-aset yang
dipilih dan fuzzy multi objective linear programming. Faktor-faktor penting dalam
bidang investasi saham seperti relative strength index (RSI), coefficient of
variation (CV), earning yield (EY), dan price to earning growth (PEG) ratio juga
digunakan disamping faktor utama dari permasalahan ini yaitu risiko dan return.
Fuzzy multi objective linear programming digunakan untuk mencari nilai optimal
dari ketujuh fungsi tujuan, yaitu risiko, return, price to earning growth (PEG)
ratio, coefficient of variation (CV), earning yield (EY), relative strength index
(RSI), dan nilai bobot AHP. FMOLP mentransformasikan permasalahan multi
objective ke dalam bentuk single objective dengan menggunakan pendekatan
adaptif berbobot berdasarkan nilai bobot yang telah dihitung dengan
menggunakan AHP. Hasil dari permasalahan kemudian dibandingkan berdasarkan
rasio risiko/return (CV) yang paling rendah.
Kata kunci: pemilihan portofolio saham, analisis cluster, analytic hierarchy
proccess, fuzzy multi objective linear programming.xix
ABSTRACT
The problem of stock selection in a stock portfolio is a challenge for
investor. In this paper, several combined methods are used for portfolio selection,
such as cluster analysis and analytical hierarchy process (AHP) to rank selected
assets and fuzzy multi objective linear programming (FMOLP). Important factor
of stock investment such as relative strength index (RSI), coefficient of variation
(CV), earning yield (EY), and price to earning growth (PEG) ratio are also used in
addition to the main factors of this problem; risk and return. Fuzzy multi objective
linear programming is used to find the optimal value of the seven objective
functions; risk, return, price to earning growth (PEG) ratio, relative strength index
(RSI), coefficient of variation (CV), earning yield (EY), and AHP weighted score.
FMOLP transforms the multi objective problems to a single objective by using a
weighted adaptive approach based on the weight score that have been calculated
using AHP. The results of the problem are then compared based on the lowest
risk/return (CV) ratio.
Keywords: stock portfolio selection, cluster analysis, analytic hierarchy proccess,
fuzzy multi objective linear programming.
2193A19III | 2193 A 19-ii | Perpustakaan FSM Undip (Referensi) | Tersedia |
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