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All Journal JURNAL ECONOMINA
Dwi Eko Waluyo
Faculty of Economics and Business, Dian Nuswantoro University, Indonesia
Economics, Econometrics & Finance

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Multi-Objective Stock Portfolio Optimization Using NSGA-II: A Comparative Analysis of Conventional and Shariah Stocks in the U.S. Market Novita Sari; Dwi Eko Waluyo; Usman; Amalia Nur Chasanah
JURNAL ECONOMINA Vol. 5 No. 6 (2026): JURNAL ECONOMINA, Juni 2026
Publisher : LPPM Sekolah Tinggi Ilmu Ekonomi 45 Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.55681/economina.v5i6.2573

Abstract

This study analyzes and compares the performance of Conventional, Shariah, Intersection, and Combination stock portfolios in the United States stock market using the Non- dominated Sorting Genetic Algorithm II (NSGA-II). The study employs a quantitative empirical approach using daily stock closing price data from January 2022 to December 2025 obtained from Yahoo Finance. Portfolio optimization was conducted in Python and evaluated using the Efficient Frontier, Sharpe Ratio, Sortino Ratio, and Omega Ratio. The results show that the Combination portfolio achieved the best overall performance, followed by the Intersection portfolio. These findings indicate that broader diversification improves portfolio efficiency and supports Modern Portfolio Theory.
Co-Authors Amalia Nur Chasanah Novita Sari Usman