OPTIMISASI PORTOFOLIO SAHAM SYARIAH DENGAN MODEL BLACK-LITTERMAN MENGGUNAKAN ALGORITMA PARTICLE SWARM OPTIMIZATION (PSO)

Ria Azahra, - and Lukman, - and Fitriani Agustina, - (2025) OPTIMISASI PORTOFOLIO SAHAM SYARIAH DENGAN MODEL BLACK-LITTERMAN MENGGUNAKAN ALGORITMA PARTICLE SWARM OPTIMIZATION (PSO). S1 thesis, Universitas Pendidikan Indonesia.

Abstract

Investasi saham merupakan salah satu bentuk investasi yang banyak diminati karena potensi keuntungan yang tinggi dan aksesibilitas yang luas. Namun, tantangan utama dalam investasi adalah memperoleh keuntungan optimal dengan risiko yang terkendali. Penelitian ini menggabungkan model Black-Litterman dan algoritma Particle Swarm Optimization (PSO) untuk menyusun portofolio saham syariah optimal berdasarkan saham-saham dalam Jakarta Islamic Index (JII). Model Black-Litterman digunakan untuk menghasilkan estimasi return yang stabil dengan menggabungkan informasi pasar dan pandangan subjektif investor. Estimasi ini dijadikan bobot awal yang dioptimalkan menggunakan PSO. Fungsi objektif berupa rasio return terhadap risiko dengan penalti untuk menjaga validitas bobot portofolio. Evaluasi dilakukan terhadap berbagai kombinasi parameter PSO guna menemukan performa terbaik. Hasil penelitian menunjukkan bahwa pendekatan ini mampu menghasilkan portofolio dengan return sebesar 0.03327 dan risiko 0.00902, dengan fitness terbaik -3.68871. Penggabungan Black-Litterman dan PSO terbukti efektif dalam menghasilkan portofolio saham syariah yang optimal dan seimbang. Stock investment is one of the most popular types of investment due to its high profit potential and wide accessibility. However, the main challenge in investing is to gain optimal returns with controlled risk. This study combines the Black-Litterman model and the Particle Swarm Optimization (PSO) algorithm to construct an optimal sharia stock portfolio based on stocks listed in the Jakarta Islamic Index (JII). The Black-Litterman model is used to produce stable return estimates by combining market information and investors' subjective views. These estimates are used as initial weights, which are then optimized using PSO. The objective function is defined as the return-to-risk ratio with an added penalty to ensure the validity of portfolio weights. Several combinations of PSO parameters were tested to find the best performance. The results show that this approach is able to produce a portfolio with a return of 0,03327 and a risk of 0,00902, with the best fitness value of -3,68871. The combination of the Black-Litterman model and PSO is proven to be effective in constructing an optimal and balanced sharia stock portfolio.

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Item Type:	Thesis (S1)
Additional Information:	https://scholar.google.com/citations?hl=en&user=IaZavRIAAAAJ ID SINTA Dosen Pembimbing Lukman: 6675529 Fitriani Agustina: 5981275
Uncontrolled Keywords:	Black-Litterman, JII, Portofolio Optimal, Particle Swarm Optimization, Saham Syariah. Black-Litterman, JII, Optimal Portfolio, Particle Swarm Optimization, Sharia Stock.
Subjects:	H Social Sciences > HF Commerce L Education > L Education (General) Q Science > QA Mathematics
Divisions:	Fakultas Pendidikan Matematika dan Ilmu Pengetahuan Alam > Program Studi Matematika - S1
Depositing User:	Ria Azahra
Date Deposited:	18 Sep 2025 01:21
Last Modified:	18 Sep 2025 01:21
URI:	http://repository.upi.edu/id/eprint/139125

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