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All Journal Jurnal Matematika: MANTIK
Evita Purnaningrum
Universitas PGRI Adi Buana Surabaya, Surabaya, Indonesia
Mathematics

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Optimization of Stock Portfolios Using Goal Programming Based on the Kalman-Filter Method Fauziyah; Evita Purnaningrum
Jurnal Matematika MANTIK Vol. 7 No. 1 (2021): Mathematics and Applied Mathematics
Publisher : Mathematics Department, Faculty of Science and Technology, UIN Sunan Ampel Surabaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15642/mantik.2021.7.1.20-30

Abstract

Long-term stock investment development is carried out by means of portfolio optimization. Selection of stocks for portfolios is not only based on high-value stock prices but also takes into account their fluctuations. Estimation of future stock price fluctuations has an indirect impact on future portfolio formation. This research has implemented the Kalman filter method to obtain the best estimation results from various stock prices with a high degree of accuracy. The results are then used to form a stock portfolio on the basis of Goal Programming. This study has compared the optimization results with the real value of stock prices. The results obtained, Kalman filter-based Goal Programming is more effective for predicting future portfolios compared to the Goal Programming method with a return difference of Rp. 178,039,848. This suggests that optimization with the Kalman Filter-based Objective Programming can be used as a tool to determine future stock portfolios.
Co-Authors Fauziyah Fauziyah