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Journal : International Journal of Quantitative Research and Modeling

Investment Portfolio Optimization Using Ant Colony Optimization (ACO) Based on Fama-French Three Factor Model on IDX High Dividend 20 Stocks Maharani, Asthie Zaskia; Susanti, Dwi; Riaman, Riaman
International Journal of Quantitative Research and Modeling Vol. 6 No. 2 (2025)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v6i2.978

Abstract

Stock investment is one of the investment options that provides both profit and risk for investors. In an effort to maximize profits and minimize risks, investors need an optimal portfolio. The optimal portfolio is a portfolio selected from a collection of efficient portfolios. To form an optimal portfolio, this study combines the Fama-French Three Factor Model (FF3FM) for stock selection and Ant Colony Optimization (ACO) for stock weight optimization in the portfolio. FF3FM considers more factors resulting in more comprehensive stock selection than other methods. While ACO has the ability to explore the solution space widely and efficiently, minimizing the risk of getting stuck on a local solution. The performance of the optimal portfolio is measured using the Sharpe Ratio which considers total risk, thus providing an overview of overall investment efficiency. The research object used is quarterly stock data on IDX High Dividend 20 from the Indonesia Stock Exchange (IDX) for the period 2020-2023. Of the 20 stocks, 12 stocks were selected that were consistently included in the index during the 2020-2023 period. By selecting stocks using the FF3FM method, 10 efficient stocks were selected, namely ADRO, ASII, BBCA, BBNI, BBRI, INDF, ITMG, PTBA, TLKM, and UNTR. Portfolio optimization using ACO produces a portfolio return of 0.0473 and a risk of 0.0257 with the weight of each ADRO stock of 6.90%, BBCA of 17.24%, BBNI of 10.34%, BBRI of 27.59%, INDF of 3.45%, ITMG of 27.59%, TLKM of 3.45%, and UNTR of 3.45%. The results showed that the integration of FF3FM and ACO was able to form a portfolio with optimal performance with a Sharpe Ratio value of 1.41868, which means that the portfolio return is greater than the portfolio risk.
IDX30 Stock Portfolio Optimization Using Genetic Algorithm Based on Capital Asset Pricing Model Rahmadhisa, Nayra Pavita; Susanti, Dwi; Subartini, Betty
International Journal of Quantitative Research and Modeling Vol. 6 No. 2 (2025)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v6i2.981

Abstract

The stock market plays a vital role in supporting economic growth by serving as a primary channel for companies to raise capital and for investors to gain profits through long-term investments. In practice, one of the biggest challenges for investors is identifying which stocks are worth purchasing and how to allocate their funds optimally. One commonly used approach to evaluate stock feasibility is the Capital Asset Pricing Model (CAPM), which helps identify undervalued and overvalued stocks based on the relationship between systematic risk and expected return. Additionally, it is necessary to determine the optimal investment weight allocation. Therefore, this study combines the CAPM method for stock selection and Genetic Algorithm, a metaheuristic approach capable of finding optimal solutions in complex problems, to determine the optimal portfolio weight composition. The object of this study includes stocks listed in the IDX30 index during the period from February 2021 to November 2023. The results show that five stocks—ADRO, BBCA, BBNI, KLBF, and TLKM—are classified as undervalued according to the CAPM method and are recommended for inclusion in the optimal portfolio. Portfolio optimization using the Genetic Algorithm results in the following stock weight composition: ADRO 26.55%, BBCA 36.20%, BBNI 9.09%, KLBF 12.20%, and TLKM 15.96%, with a Sharpe Ratio of 4.043906. The expected return and risk of the optimal portfolio are 0.00067373 and 0.00012407, respectively.
Co-Authors A. Handjoko Permana Abdul Rahman Abi Suwito Abul Hasani, Rofi Adhy Firdaus Afif, Farid Agung Sosiawan Agustin, Rekha Yulia Ahmad Muhammad Fuadi, Ahmad Muhammad Ainul Fitri, Zaida Airohmah, Yesi Alisa, Nur Alkhoroni, Panji Andayani, Nyoman Etika Andayani, Sri Astutik Andi Taufiq Umar Andiyani, Intan Andriani, Cindy anggi prantika, Sindi Anjan, Aulia Aprila, Nur Amalia Apriliani, Nanda Putri Ardiansyah, Galang Aristina, Renny Astuti, Wella Audina, Maudy Afifah Ayu, Diana Puspita Az Zahra, Dita Aulia Badi’ah, Atik Barus, Febriana Krisdayanti Betty Subartini Budhi Mustika, I Made Budiawan , Muhammad Ardi Budiawan, Muhammad Ardi Christantie Effendy Dari, Tri Ulan Dewi Chusniasih Dewi Silaban, Eni Priska Dewi, Tiara Nilawati Dian Kristiana Diandra Rizki Isrohmaniar Dias Utami, Khristin Dwihantoro, Prihatin ekawati Elsyana, Vida Endah Meilana Endah Puji Astuti, Endah Puji Enjelia, Lisa Ernawati Ernawati Ervana, Lina Esmar Budi Fadila, Vivin Dwi Farha, Saniya Fatah, Rizki Amelia Femei Purnamasari, Femei Fira, Dilli Salsa Firmansyah, Frenza Fairuz Firmanul Catur Wibowo Fitriana, Deva Rizkia Fitriani, Dinda Ismi Florentina Sustini Fredinan Yulianda Gatra, Anggel Alba Ghufron, David Maulana Gunawan Santoso Hadi Nasbey Halim, Nurfadhlina Binti Abdul Haliza, Nur Hamid, Hariaty Handayani, Afifa Dwi Haris Suhendar Hasan, Ferisa Nuriasyifa Hasyim, Diah Mukminatul Haya, Aqella Fadya Herlina Napitupulu Hermansyah Hermansyah Hermansyah Hidayanto, Agung Ridwan Hutapea, Yohana Vita Melodi Hutasoit, Masta Ida Nursanti Ikramina, Mahreshaibati Bilqis Inah Indirayani, Triana Khairi, M. Ihsan Khairiah Khairiah Khira, Nafisa Khumaira, Aimena Salma Kunarfian, Krisna Artur Labitta, Kirana Fara Latifah Susilowati Linda Yanti Linda Yanti Lintang Muliawanti Lubis, Rita Mahdalena Lukita, Salsabila Arum Lutfiyati, Afi Mahaputra, A. V. Maharani, Asthie Zaskia Maraya, Nisrina Salsabila Marcellia, Selvi Marpaung, Maynisa Naomi Matondang, Khairani Maulana, Slamet Miftahorrozi, Miftahorrozi Muh Iqbal Muhammad Halim, Muhammad Muslichah Muslichah Nelly Astuti Ningsih, Jayanti Eka Sari Ningsih, Mulati Nofita, Nofita Nugraha, Dwita Safira Nuradiyah, Fanny Nurhasanah, Gina Nursamira, Nursamira Octavia, Selvia Ola, Sania Latek Pamungkas, Abram Chandra Aji Pardede, Ester Perangin angin, Martianus Pramita, Anggi Primadiamanti, Annisa Pudji Lestari Purnamaningsih, Nur ’Aini Purwono Hendradi Puspamaniar, Vania Ayu Putri Amalia Putri S. R., Aulianda Anisa Putri Utami, Desi Putri Utami, Desi Putri, Melita Regina Putri, Ria Desta R, Nurmala Rahadi, Fabiyan Rahma, Indah Eliza Rahmadhisa, Nayra Pavita Rahmatullah, Ivan RAHMAWATI, SEPTI Rahmayanti, Arini Rai Saputri, Gusti Ayu Ramadhana, Ramadhana Ramadhani, Herlina Ramadhani, Muhammad Ramadhanta, Sury Adellia Raufa, Raufa Reni Merta Kusuma Reny Wijayanti Restinah, Anjar Retno Asih Setyoningrum Retno Mawarti, Retno Revanti, Anggun Triana Riaman Riaman, Riaman Rosdiana, Anggita Cahya RR. Ella Evrita Hestiandari Rusdiani, Nurtina Irsad S, Septi Nurhaliza Sabrina, Putri Marsha Safitri, Nita Dwi Safitri, Rahmawati Sagita, Putri Dwi Sagitawening, Hardhini Saksana, Joned C. SANI SUSANTI Saputra, Jumadil Satiti, Ainur Rafiqah Setyabudi, Rendy Siagian, Irma Siburian, Claranita Silferia, Silferia Silvia Ari Agustina Simamora, Rustam Effendy Sinaga, Primawati Siti Fatimah Soetadi Waskito SRI SETIYARINI, SRI Suatin, Ricka Milla Sugiono, Muhamad Suhandoyo, Tri Sukono . Sukono, Sokono Sunarsih, Eka Suranto Suranto Surantoro Surantoro Suratno Surtini, Surtini Susanti, Yuli Eri Susanto Susanto Suwarno Suwarno Syahara, Tjut Afrieda Syahla, Raynita Syarifah, Indi Mazaya Teguh Budi Prayitno Tutik Tutik Ulfa, Ade Maria Upik Rahma Fitri, Upik Rahma Verrany, Maria Jatu Vina Serevina Wachyuni, Mhella Nia Wahyuni, Anis Wan Asrida Warih Angesti P, Warih Angesti Widia Rahayu, Setia Widyawati, Eka Windayani, Wulan Tri Yanita Trisetiyaningsih, Yanita Yati, Dwi Yulistianingsih, Desti Yundari, Yundari Yusticia, Ica Zahrani, Andieta