DOI: https://doi.org/10.9744/jti.19.2.93-102

Pengoptimuman Portofolio dengan Kendala Karakteristik Perusahaan Emiten

Ezra Putranda Setiawan, Dedi Rosadi

Abstract


Diversifikasi saham merupakan salah satu cara yang dilakukan investor untuk memperkecil risiko investasi. Pada umumnya, diversifikasi mengacu pada hasil perhitungan matematis berdasarkan nilai pengembalian (return) masing-masing saham, misalnya pada model mean-variance. Dalam penelitian ini dibahas modifikasi model mean-variance yakni dengan menambahkan kriteria yang berkaitan dengan perusahaan emiten, misalnya bidang usaha, status perusahaan, dan sebagainya. Sebagai contoh, investor dapat menentukan bahwa portofolio yang dibentuk hanya melibatkan sejumlah saham dari sektor pertambangan, sejumlah saham dari sektor perdagangan, dan sebagainya. Penyelesaian masalah pengoptimuman portofolio ini ditentukan dengan metode algoritma genetika. Studi kasus dilakukan pada sejumlah saham yang diperdagangkan di Bursa Efek Indonesia.

Keywords


portofolio optimum; algoritma genetika, saham sektoral

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DOI: https://doi.org/10.9744/jti.19.2.93-102



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