OPTIMISASI PORTOFOLIO SAHAM SYARIAH DENGAN PENDEKATAN FUZZY GOAL PROGRAMMING

Rahma Aulina, - (2023) OPTIMISASI PORTOFOLIO SAHAM SYARIAH DENGAN PENDEKATAN FUZZY GOAL PROGRAMMING. S1 thesis, Universitas Pendidikan Indonesia.

Abstract

This study discusses solving the problem of stock portfolio optimization. The portfolio optimization problem can be modeled as a multiobjective model with two objective functions, namely maximizing return and minimizing risk. This study uses the mean-variance Markowitz model to model the portfolio. The fuzzy goal programming approach is used to solve stock portfolio problems by converting a multi-objective model into a fuzzy mathematical programming model which is solved using a nonlinear programming method. The results of implementing the model on stocks listed on the Jakarta Islamic Index show that the best investment proportion forms an optimal portfolio according to the level of aspirations. Several different optimal portfolios can be formed using the fuzzy goal programming approach. The difference in the results of these portfolios depends on the level of aspiration of investors.

Baca Full Text klik disini
[img] Text
S_MAT_1900127_Title.pdf
Download (380kB)
[img] Text
S_MAT_1900127_Chapter1.pdf
Download (80kB)
[img] Text
S_MAT_1900127_Chapter2.pdf
Restricted to Staf Perpustakaan
Download (292kB)
[img] Text
S_MAT_1900127_Chapter3.pdf
Download (228kB)
[img] Text
S_MAT_1900127_Chapter4.pdf
Restricted to Staf Perpustakaan
Download (447kB)
[img] Text
S_MAT_1900127_Chapter5.pdf
Download (64kB)
[img] Text
S_MAT_1900127_Appendix.pdf
Restricted to Staf Perpustakaan
Download (1MB)
Official URL: http://repository.upi.edu/
Item Type: Thesis (S1)
Additional Information: https://scholar.google.com/citations?view_op=new_profile&hl=en ID SINTA Dosen Pembimbing: KHUSNUL NOVIANINGSIH: 258640 FITRIANI AGUSTINA: 5981275
Uncontrolled Keywords: Stock portfolio, optimization, fuzzy goal programming, islamic stocks, multiobjective problems.
Subjects: L Education > L Education (General)
Divisions: Fakultas Pendidikan Matematika dan Ilmu Pengetahuan Alam > Program Studi Matematika - S1 > Program Studi Matematika (non kependidikan)
Depositing User: Rahma Aulina
Date Deposited: 03 May 2023 07:42
Last Modified: 03 May 2023 07:42
URI: http://repository.upi.edu/id/eprint/89825

Actions (login required)

View Item View Item