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All Journal Journal of Mathematics UNP
Nilam Purnama Sari
Jurusan Matematika Universitas Negeri Padang
Computer Science & IT Decision Sciences, Operations Research & Management Mathematics

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Optimasi Portofolio dengan Lexicographic Goal Programming pada Bursa Efek Indonesia Nilam Purnama Sari; Muhammad Subhan; Dewi Murni
Journal of Mathematics UNP Vol 6, No 1 (2021): Journal Of Mathematics UNP
Publisher : UNIVERSITAS NEGERI PADANG

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (841.268 KB) | DOI: 10.24036/unpjomath.v6i1.11561

Abstract

Abstract – A portfolio is a collection of investment opportunity that aims to select a combination of efficient of shares owned, in the form of profit (return) is optimal in forming the optimal portfolio, there are three criteria that must be considered, maximizing the total funds that, maximizing expected return, minimizing risk market (systematic risk coefficients). One model that can solve this problem is lexicographic goal programming. research purposes is how to obtain a stock portfolio optimation with lexicographic goal programming and the proportion of the funds invested. The method used is descriptive method that analyzes the theories related to lexicographic goal programming. The result obtained is an optimum portfolio.Keywords – investment, portfolio, return, the coefficient of systematic risk, lexicographic goal programming
Co-Authors Dewi Murni Muhammad Subhan