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All Journal Wawasan : Jurnal Ilmu Manajemen, Ekonomi dan Kewirausahaan
Eva Nadia
Universitas Dian Nuswantoro
Decision Sciences, Operations Research & Management

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Optimasi Portofolio Saham Konvensional dan Syariah di Qatar Exchange Menggunakan NSGA-II Eva Nadia; Dwi Eko Waluyo; Bara Zaretta; Amalia Nur Chasanah
Wawasan : Jurnal Ilmu Manajemen, Ekonomi dan Kewirausahaan Vol. 4 No. 4 (2026): Oktober: Wawasan : Jurnal Ilmu Manajemen, Ekonomi dan Kewirausahan
Publisher : Fakultas Teknik Universitas Maritim AMNI Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.58192/wawasan.v4i4.5191

Abstract

Portfolio optimization is an essential aspect of investment management, as investors seek to achieve optimal returns while maintaining an acceptable level of risk. This study aims to optimize conventional, Shariah-compliant, and combined stock portfolios listed on the Qatar Exchange using the Non-Dominated Sorting Genetic Algorithm II (NSGA-II). Daily closing price data from January 2022 to December 2025 were used in this study. NSGA-II was employed to simultaneously maximize expected return and minimize portfolio risk, while portfolio performance was evaluated using Expected Return, Standard Deviation, Sharpe Ratio, Sortino Ratio, and Omega Ratio. The results show that all portfolio groups formed an efficient frontier, with the combined portfolio achieving the best performance, recording an expected return of 16.64%, a standard deviation of 15.47%, a Sharpe Ratio of 0.7526, a Sortino Ratio of 0.7978, and an Omega Ratio of 1.1513. These findings indicate that the combined portfolio provides greater diversification benefits and a better risk-return balance than either the conventional or Shariah-compliant portfolio individually. This study provides empirical evidence of the application of NSGA-II to portfolio optimization in the Qatar Exchange and demonstrates that the combined portfolio can serve as a more efficient investment alternative for investors.
Co-Authors Amalia Nur Chasanah Bara Zaretta Dwi Eko Waluyo