Optimisasi Portofolio Saham Perbankan dengan Pendekatan Lexicographic Goal Programming

Abstract

Investment is a fund placement into productive assets or companies with hope of getting capital growth or profit in a certain period. When investing, an investor should make a portfolio, a combination of several stocks. The aim of portfolio optimization is determining each asset-investment portion for maximizing profit and minimzing risk. In this research, investment problem is modeled mathematically by adding another objective besides both maximizing return of day period and minimizing risk, that is maximizing return of month period as a consideration toward stock price change every month. To determine an optimal portfolio, Lexicographic Goal Programming is used. As a method of solving multiobjective optimization problem, Lexicographic Goal Programming optimizing each objective based on priority level or level of importance. Objective’s priority is determined based on its weight which is found by using Analytic Hierarchy Process.