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Tinaliah, Tinaliah
Universitas Multi Data Palembang
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Analisis Trade-off antara Efisiensi Komputasi dan Solusi pada Optimasi Kombinasi Portofolio Saham Menggunakan Algoritma Brute force dan Algoritma Greedy Valentino Juanito; Manuele Jocelyn Blasius; Tinaliah Tinaliah
Router : Jurnal Teknik Informatika dan Terapan Vol. 4 No. 2 (2026): Juni : Router : Jurnal Teknik Informatika dan Terapan
Publisher : Asosiasi Profesi Telekomunikasi dan Informatika Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.62951/router.v4i2.888

Abstract

In stock investment, determining a portfolio that offers attractive returns while maintaining acceptable risk remains a major challenge. Portfolio optimization algorithms can assist in identifying suitable stock combinations; however, the optimization process becomes increasingly complex as the number of possible combinations grows. This study analyzes the trade-off between computational efficiency and portfolio solution quality using the Brute Force and Greedy algorithms. The dataset consists of historical daily adjusted closing prices from 472 S&P 500 companies during the 2025–2026 period. The methodology includes data preprocessing, annualized return and volatility calculation, covariance matrix construction, and portfolio evaluation using the Sharpe ratio. The results show that the Brute Force algorithm consistently achieves higher Sharpe ratios, reaching 4.3619 compared to 3.6470 obtained by the Greedy algorithm for four stock portfolios. However, its runtime increases substantially from 0.0425 seconds for two-stock combinations to 670.7102 seconds for four stock combinations. In contrast, the Greedy algorithm maintains a stable runtime of approximately 0.0015 seconds while producing solutions that remain relatively close to the optimal results. These findings demonstrate a clear trade-off between computational efficiency and solution quality in portfolio optimization.  
Co-Authors Abdul Rahman Aldi Ardiansyah Aldi Alessandro, Roberto Amri Amri Andreas Danny Agus Wahyudi Anugerah Widi Bautista, Christian Chandra Saputra Cyndi Monica Deky Berniawan Derry Alamsyah Destian Luis, Ivander Dicky Pratama Edison, Nicholas gasim, Gasim Hafiz Irsyad Inayatullah Inayatullah Inayatullah, Inayatullah Johannes Petrus Lucretia, Jolyn Manuele Jocelyn Blasius Molavi Arman Niko Pirnando, Hendra Nata Novan Wijaya Pratama, Samuel Effendi Putri, Agnes Anastasia Richie Jonathan Chaniago Setiawan, Christofer Evan Susanto, Rafael Ivan Tanzil, Surya Pratama Triana Elizabeth, Triana Valentino Juanito Wahyu Mustika Anggara Wilcent Yoannita Yoannita, Yoannita