Yogi Dharma Susanto, - and Fitriani Agustina, - and Lukman, - (2025) OPTIMISASI PORTOFOLIO SAHAM MODEL MARKOWITZ MENGGUNAKAN ALGORITMA ANT COLONY. S1 thesis, Universitas Pendidikan Indonesia.
Abstract
Investasi saham merupakan kegiatan penanaman modal dalam bentuk kepemilikan saham dengan tujuan memperoleh keuntungan dalam jangka waktu tertentu. Salah satu strategi yang dapat digunakan untuk memaksimalkan keuntungan sekaligus meminimalkan risiko adalah diversifikasi portofolio, yaitu pengalokasian aset ke dalam beberapa instrumen saham berdasarkan Teori Portofolio Markowitz. Penelitian ini bertujuan untuk membentuk portofolio optimal yang dapat dijadikan referensi bagi investor dalam pengambilan keputusan investasi. Data yang digunakan berasal dari indeks INFOBANK15 pada Periode 1 Juli 2024 - September 2024 dan Periode 2 Januari 2025 - Maret 2025. Dipilih dua periode untuk melihat pengaruh faktor eksternal terhadap hasil portofolio. Model optimasi dalam penelitian ini menggunakan Algoritma Ant Colony dengan pendekatan multiobjektif, serta mempertimbangkan kendala jumlah total bobot portofolio sebesar satu dan kendala buy-in threshold. Hasil penelitian menunjukkan bahwa algoritma ini mampu menghasilkan beberapa alternatif portofolio efisien pada Periode 1, yang masing-masing menunjukkan variasi imbal hasil dan risiko, di mana semakin tinggi tingkat imbal hasil yang diharapkan, semakin besar pula risiko yang harus dihadapi oleh investor. Stock i Stock investment is an activity of capital investment in the form of stock ownership with the aim of obtaining profits within a certain period of time. One strategy that can be used to maximize profits while minimizing risk is portfolio diversification, which is the allocation of assets into several stock instruments based on Markowitz's Portfolio Theory. This study aims to form an optimal portfolio that can be used as a reference for investors in making investment decisions. The data used comes from the INFOBANK15 index for the periods July 1, 2024, to September 2024, and January 2, 2025, to March 2025. Two periods were selected to observe the impact of external factors on portfolio performance. The optimization model in this study uses the Ant Colony Algorithm with a multi-objective approach, considering the constraint of a total portfolio weight of one and the buy-in threshold constraint. The results of the study indicate that this algorithm is capable of generating several efficient portfolio alternatives in Period 1, each showing variations in return and risk, where the higher the expected return, the greater the risk that investors must face.
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| Item Type: | Thesis (S1) |
|---|---|
| Additional Information: | ID Sinta Dosen Pembimbing Fitriani Agustina: 5981275, Lukman: 6675529 |
| Uncontrolled Keywords: | Algoritma Ant Colony, Teori Markowitz, Optimasi Portofolio Saham, Multiobjektif Mean Variance, Buy-in Threshold, investasi saham Ant Colony Algorithm, Markowitz Theory, Stock Portfolio Optimization, Multi-objective Mean Variance, Buy-in Threshold, Stock Investment. |
| Subjects: | Q Science > Q Science (General) Q Science > QA Mathematics |
| Divisions: | Fakultas Pendidikan Matematika dan Ilmu Pengetahuan Alam > Program Studi Matematika - S1 |
| Depositing User: | Yogi Dharma Susanto |
| Date Deposited: | 22 Aug 2025 09:01 |
| Last Modified: | 22 Aug 2025 09:01 |
| URI: | http://repository.upi.edu/id/eprint/135643 |
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