Analisis Portofolio Optimal Fuzzy Mean Absolute Deviation dengan Algoritma Genetika

Rahmat Fatoni, Rosita Kusumawati

Abstract


Fuzzy Mean Absolute Deviation (FMAD) merupakan pengembangan dari model Mean Absolute Deviation (MAD) dimana semua parameter-parameter pada model berupa bilangan fuzzy. Tujuan dari artikel ini adalah menjelaskan analisis pembentukan model FMAD untuk optimasi portofolio saham pada pasar saham di Indonesia serta penyelesaian model menggunakan algoritma genetika. Penyelesaian model FMAD dilakukan dengan terlebih dahulu menyusun model Program Linear (PL) yang ekuivalen dengannya menggunakan metode Mehar. Solusi optimal dari model PL yang diperoleh ditentukan menggunakan algoritma genetika. Contoh numeris penerapan model FMAD untuk menyusun portofolio dari saham-saham yang terdaftar pada indeks LQ45 selama periode 1 Januari 2014 - 31 Desember 2016 diberikan. Lima saham yang terpilih yaitu Pakuwon Jati Tbk (PWON), Global Mediacom Tbk (BMTR), Adaro Energy Tbk (ADRO), Perusahaan Gas Negara (PGAS), dan Media Nusantara Citra Tbk (MNCN). Tiga contoh portofolio dengan 3 batasan bobot investasi maksimal yang berbeda disusun. Portofolio FMAD optimal terdiri dari PWON 30%, BMTR 0%, ADRO 20%, PGAS 0%, dan MNCN 50% dengan indeks sharpe 0,354 yang lebih tinggi dari portfolio MAD.


Keywords


fuzzy mean absolute deviation; metode Mehar; algoritma genetika

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References


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DOI: https://doi.org/10.21831/jsd.v11i1.44608

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