OPTIMISASI PORTOFOLIO SAHAM DENGAN KENDALA KARDINALITAS DAN ROUNDLOT MENGGUNAKAN ARTIFICIAL BEE COLONY

Zahrin Noor Aprilia, - and Fitriani Agustina, - and Dewi Rachmatin, - (2025) OPTIMISASI PORTOFOLIO SAHAM DENGAN KENDALA KARDINALITAS DAN ROUNDLOT MENGGUNAKAN ARTIFICIAL BEE COLONY. S1 thesis, Universitas Pendidikan Indonesia.

Abstract

Optimisasi portofolio saham merupakan aspek krusial dalam pengambilan keputusan investasi guna memperoleh imbal hasil optimal dengan tingkat risiko yang terkendali. Saat berinvestasi, investor sering dihadapkan pada keterbatasan pasar modal, seperti kendala jumlah saham yang dapat dipilih (kardinalitas) dan sistem pembelian minimum dalam satuan lot (roundlot), yang tidak dapat diabaikan untuk menghasilkan solusi portofolio yang implementatif di Bursa Efek Indonesia. Penelitian ini mengkaji penerapan algoritma Artificial Bee Colony dalam menyelesaikan masalah optimisasi portofolio dengan mempertimbangkan kedua kendala tersebut. Algoritma Artificial Bee Colony, yang diperkenalkan oleh Karaboga (2005), dipilih karena memiliki struktur yang sederhana, jumlah parameter yang sedikit, mudah diimplementasikan, serta telah terbukti lebih efektif dibandingkan algoritma berbasis populasi lainnya seperti GA, PSO, ACO, dan DE (Chen, 2015). Studi kasus dilakukan pada indeks saham IDX30 selama periode Februari hingga April 2025. Parameter algoritma seperti ukuran populasi, batas stagnasi (limit), dan jumlah iterasi maksimum dianalisis untuk mengamati pengaruhnya terhadap hasil optimisasi. Efektivitas algoritma diukur berdasarkan nilai fungsi objektif (kombinasi risiko dan imbal hasil) serta kemampuannya dalam menghasilkan solusi yang memenuhi semua kendala. Hasil penelitian menunjukkan bahwa algoritma Artificial Bee Colony mampu menghasilkan portofolio optimal yang dapat diterapkan dalam konteks investasi di pasar modal Indonesia. Stock portfolio optimization is a crucial aspect of investment decision-making to achieve optimal returns with controlled risk levels. In practice, investors often face capital market constraints, such as limits on the number of stocks that can be selected (cardinality) and the minimum purchase system in lot units (roundlot), which cannot be ignored to produce implementable portfolio solutions on the Indonesia Stock Exchange. This study examines the application of the Artificial Bee Colony algorithm to solve the portfolio optimization problem considering these two constraints. The Artificial Bee Colony algorithm, introduced by Karaboga (2005), was chosen due to its simple concept, few in parameters, ease for implementation, and more effective than some other population-based algorithms such as GA, PSO, ACO, and DE (Chen, 2015). A case study was conducted on the IDX30 stock index during the period from February to April 2025. Algorithm parameters such as population size, stagnation limit, and maximum iteration count were analyzed to observe their impact on optimization results. The algorithm’s effectiveness was measured based on the objective function value (a combination of risk and return) and its ability to produce solutions that satisfy all constraints. The results indicate that the Artificial Bee Colony algorithm can generate optimal portfolios applicable in the context of investment in the Indonesian capital market.

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Item Type:	Thesis (S1)
Additional Information:	ID SINTA Dosen Pembimbing: Fitriani Agustina: 5981275 Dewi Rachmatin: 5975775
Uncontrolled Keywords:	Optimisasi Portofolio, Kendala Kardinalitas, Kendala Roundlot, Artificial Bee Colony, IDX30. Portfolio Optimization, Cardinality Constraint, Roundlot Constraint, Artificial Bee Colony, IDX30
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HG Finance Q Science > QA Mathematics
Divisions:	Fakultas Pendidikan Matematika dan Ilmu Pengetahuan Alam > Program Studi Matematika - S1 > Program Studi Matematika (non kependidikan)
Depositing User:	Zahrin Noor Aprilia
Date Deposited:	29 Jul 2025 03:22
Last Modified:	29 Jul 2025 03:22
URI:	http://repository.upi.edu/id/eprint/134809

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