An Optimal Stock Market Portfolio Proportion Model Using Genetic Algorithm
To reduce the amount of loss due to investment risk, an investor or stockbroker usually forms an optimal stock portfolio. This technique is done to get the maximum return of investment on shares to be purchased. However, in forming a stock portfolio required a fairly complex calculations and certain...
| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
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Universitas Gadjah Mada
2018-07-01
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| Series: | IJCCS (Indonesian Journal of Computing and Cybernetics Systems) |
| Subjects: | |
| Online Access: | https://jurnal.ugm.ac.id/ijccs/article/view/36154 |
| _version_ | 1818153379545743360 |
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| author | Wahyono Wahyono Chasandra Puspitasari Muhammad Dzulfikar Fauzi Kasliono Kasliono Wahyu Sri Mulyani Laksono Kurnianggoro |
| author_facet | Wahyono Wahyono Chasandra Puspitasari Muhammad Dzulfikar Fauzi Kasliono Kasliono Wahyu Sri Mulyani Laksono Kurnianggoro |
| author_sort | Wahyono Wahyono |
| collection | DOAJ |
| description | To reduce the amount of loss due to investment risk, an investor or stockbroker usually forms an optimal stock portfolio. This technique is done to get the maximum return of investment on shares to be purchased. However, in forming a stock portfolio required a fairly complex calculations and certain skills. This work aims to provide an alternative solution in the problem of forming the optimal and efficient stock portfolio composition by designing a system that can help decision making of investors or stockbrokers in preparing stock portfolio in accordance with the policy and risk investment. In this work, determination of optimal stock portfolio composition is constructed by using Genetic Algorithm. The data used in this work are the 4 selected stocks listed on the LQ45 index in 2017. Meanwhile, the calculation of profit and loss rate utilizes a single index model theory. The efficiency of the algorithm has been examined against the population size and crossover and mutation probabilities. The experimental results show that the proposed algorithm can be used as one of solutions to select the optimal stock portfolio. |
| first_indexed | 2024-12-11T14:09:41Z |
| format | Article |
| id | doaj.art-60848845f82c4153a2f93b27c3627b8f |
| institution | Directory Open Access Journal |
| issn | 1978-1520 2460-7258 |
| language | English |
| last_indexed | 2024-12-11T14:09:41Z |
| publishDate | 2018-07-01 |
| publisher | Universitas Gadjah Mada |
| record_format | Article |
| series | IJCCS (Indonesian Journal of Computing and Cybernetics Systems) |
| spelling | doaj.art-60848845f82c4153a2f93b27c3627b8f2022-12-22T01:03:30ZengUniversitas Gadjah MadaIJCCS (Indonesian Journal of Computing and Cybernetics Systems)1978-15202460-72582018-07-0112217118010.22146/ijccs.3615421694An Optimal Stock Market Portfolio Proportion Model Using Genetic AlgorithmWahyono Wahyono0Chasandra Puspitasari1Muhammad Dzulfikar Fauzi2Kasliono Kasliono3Wahyu Sri Mulyani4Laksono Kurnianggoro5Department of Computer Sciences and Electronics, FMIPA, Universitas Gadjah MadaMaster Program in Computer Science, FMIPA, Universitas Gadjah MadaMaster Program in Computer Science, FMIPA, Universitas Gadjah MadaMaster Program in Computer Science, FMIPA, Universitas Gadjah MadaMaster Program in Computer Science, FMIPA, Universitas Gadjah MadaDepartment of Electrical Engineering, University of UlsanTo reduce the amount of loss due to investment risk, an investor or stockbroker usually forms an optimal stock portfolio. This technique is done to get the maximum return of investment on shares to be purchased. However, in forming a stock portfolio required a fairly complex calculations and certain skills. This work aims to provide an alternative solution in the problem of forming the optimal and efficient stock portfolio composition by designing a system that can help decision making of investors or stockbrokers in preparing stock portfolio in accordance with the policy and risk investment. In this work, determination of optimal stock portfolio composition is constructed by using Genetic Algorithm. The data used in this work are the 4 selected stocks listed on the LQ45 index in 2017. Meanwhile, the calculation of profit and loss rate utilizes a single index model theory. The efficiency of the algorithm has been examined against the population size and crossover and mutation probabilities. The experimental results show that the proposed algorithm can be used as one of solutions to select the optimal stock portfolio.https://jurnal.ugm.ac.id/ijccs/article/view/36154genetic algorithmLQ45 indexstock market portfoliosingle index model |
| spellingShingle | Wahyono Wahyono Chasandra Puspitasari Muhammad Dzulfikar Fauzi Kasliono Kasliono Wahyu Sri Mulyani Laksono Kurnianggoro An Optimal Stock Market Portfolio Proportion Model Using Genetic Algorithm IJCCS (Indonesian Journal of Computing and Cybernetics Systems) genetic algorithm LQ45 index stock market portfolio single index model |
| title | An Optimal Stock Market Portfolio Proportion Model Using Genetic Algorithm |
| title_full | An Optimal Stock Market Portfolio Proportion Model Using Genetic Algorithm |
| title_fullStr | An Optimal Stock Market Portfolio Proportion Model Using Genetic Algorithm |
| title_full_unstemmed | An Optimal Stock Market Portfolio Proportion Model Using Genetic Algorithm |
| title_short | An Optimal Stock Market Portfolio Proportion Model Using Genetic Algorithm |
| title_sort | optimal stock market portfolio proportion model using genetic algorithm |
| topic | genetic algorithm LQ45 index stock market portfolio single index model |
| url | https://jurnal.ugm.ac.id/ijccs/article/view/36154 |
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