Jurnal Optimasi Sistem Industri
Vol. 18 No. 1 (2019): Published in May 2019

Model Pengoptimuman Portofolio Mean-Variance dan Perkembangan Praktisnya

Ezra Putranda Setiawan (SMA Negeri 8 Yogyakarta)
Dedi Rosadi (Universitas Gadjah Mada)

Article Info

Publish Date
16 May 2019

Abstract

Many research about portfolio optimization in Indonesia still uses the ‘original’ mean-variance model as proposed by Markowitz more than 60 years ago. This article reviews the development and modification of the Markowitz’s mean-variance model, especially that dealing with real stock-market features, which could help the investor to create their own portfolio. There were several real-stock market features that implemented in the modification of mean-variance portfolios optimization models, such as the minimum transaction lots, the transaction cost, the cardinality constraint, the weight constraint, and the sectoral constraint. To implement these features, several heuristic methods were used to obtain the optimal portfolio weight, such as genetic algorithm, Tabu search, bee colony algorithm, particle swarm algorithm, and simulated annealing. These methods become alternative to the mathematical programming method.

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Journal Info
Jurnal Optimasi Sistem Industri
Website

Abbrev

JOSI

Publisher

Universitas Andalas

Subject

Control & Systems Engineering Decision Sciences, Operations Research & Management Engineering Industrial & Manufacturing Engineering Mechanical Engineering

Description

Jurnal Optimasi Sistem Industri (JOSI) is a peer-reviewed journal that is published periodically (April and October) by the Department of Industrial Engineering, Faculty of Engineering, Universitas Andalas, Padang. ...