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Fitriani agustina
Universitas Pendidikan Indonesia
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Pengoptimalan Portofolio Saham dengan Capital Asset Pricing Model dan Algoritma Simulated Annealing Subagja, Rizky Akhmad; Yulianti, Kartika; Agustina, Fitriani
Diophantine Journal of Mathematics and Its Applications Vol. 4 No. 2 (2025): Vol. 4 No. 2 (2025)
Publisher : UNIB Press

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33369/diophantine.v4i2.45880

Abstract

Stock investment has become increasingly popular in Indonesia, and the construction of an optimal portfolio is essential for effective risk and return management. This study integrates the Capital Asset Pricing Model (CAPM) with the Simulated Annealing algorithm to optimize stock portfolios. The Simulated Annealing algorithm enables flexible and realistic portfolio management by addressing non-linear complexities and market constraints. In addition, this study develops a Graphical User Interface (GUI)-based application using Python to assist investors in calculating and determining optimal portfolio allocations. The application utilizes stock data and investment parameters as inputs and produces optimal allocation outputs based on CAPM and heuristic solutions generated by the Simulated Annealing algorithm. This research offers an efficient and adaptive solution for portfolio optimization in a fluctuating market environment.
Co-Authors Abdurahman Abdurrahman Achmad, Puteri Ressiana Dewi Adelia, Suci Aida Fitriani, Aida Alliseu Umiyati Anggi Diandra Sayrua AS, Emilda Asep Egi Kurniawan, Asep Egi Asyifa Nurbaiti Saepudin AULIA, SITI bambang avip Priatna Berta Afriani, Berta Dadan Dasari Darussalam, Handry Desiana Desiana, Desiana Desti Pertiwi Setiawati Dewanti, Rossy Dewi Achmad, Puteri Ressiana Dewi Rachmatin Diauddin, Diauddin Dimas Ardiansyah Ema Nur Luthfiyani Entit puspita Entit Puspita Erlina Erlina Faiza, Nola Fauzi, M Jamil Fauzi, M. Jamil Febriany, Nadra Febriany, Nadya Ferdi, Roni Fikri, Ahmad Fitri, Ghaisani Fildjah Ghaida Azzahra Gita Alfa, Alodya Ann Gultom, Yunisar Hamid, Syahabuddin Hanis, Nonong Harahap, Lili Kartika Sari Hayati, Mawar Ika Friscila, Ika Indah Julia Ismail, Diauddin Ismailinar Ismailinar, Ismailinar Jamil Fauzi, M Jarnawi Afgani Dahlan Kartika Yulianti Karunia Eka Lestari Khusnul Novianingsih Krisna Yetti Kuntjoro Adji Sidarto Lia Malihah, Lia Lilia, Deli Lina Lina Lubis, Asep Ridwan Lukman ., Lukman Lukman Lukman Lukman Lukman M. Jamil Fauzi Majid, Abu Bakar Faris Abdul Mardiah Annur, Mardiah Marlina Marlina Marlina Mustafa, Marlina Masfuri - Masyudi Masyudi Mawar Hayati Mia Kusmiati Mokhammad Ridwan Yudhanegara Muhammad Naufal Atalla Mursiti, Mustofa, Handry Darussalam, Titik Nuryastuti, Mursiti, Mutia Dwi Haryanti, Mutia Dwi Muzakkir Nar Herrhyanto Nora Usrina Novalia Efrianty Novianti, Neera Puri Novriana Sumarti Nugraha, Edwin Setiawan Nurul Hanifah Prahesti, Danica Dwi Prahesti, Danica Dwi Pratama, Egi Puspasari, Andini Putri, Isnaini Rahayu, Rima Aulia Raihan Ayita Putri Raspati, Rifqy Sayidi Ria Oktarina Rianita Citra Tri Sartika Rini Marwati Ririn Sispiyati Rizky Ardhani Ryaneka Darmawan, Ryaneka Safitri, Gina Said Taufiq Savitri, Gina Sisilia Sylviani Sofiati, Irwani Subagja, Rizky Akhmad Sulaiman Sulaiman Sulaiman Swari, Jeni Efriyana Indra Syahabuddin Syahputra, Anda Syamsul Arifin Taufiq, Said US, Hafsah Winata, Hilma Mutiara Winda Sari Sukarna Wulan Dian Pramiesti Yukeu S Febriani Yusnidaryani, Yusnidaryani Yusra, Ainil Yusrawati Yusrawati Zahra, Tamela