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All Journal CAUCHY: Jurnal Matematika Murni dan Aplikasi JTAM (Jurnal Teori dan Aplikasi Matematika) Zero : Jurnal Sains, Matematika, dan Terapan Teorema: Teori dan Riset Matematika Jurnal Cendekia : Jurnal Pendidikan Matematika International Journal of Supply Chain Management FIBONACCI: Jurnal Pendidikan Matematika dan Matematika Jurnal Ilmiah Matematika dan Pendidikan Matematika (JMP) Jurnal Lebesgue : Jurnal Ilmiah Pendidikan Matematika, Matematika dan Statistika International Journal of Business, Economics, and Social Development International Journal of Research in Community Services Operations Research: International Conference Series International Journal of Global Operations Research International Journal of Quantitative Research and Modeling International Journal of Ethno-Sciences and Education Research Euclid Jurnal Matematika Integratif In Search (Informatic, Science, Entrepreneur, Applied Art, Research, Humanism)
Riaman Riaman
Fakultas Matematika Dan Ilmu Pengetahuan Alam, Universitas Padjadjaran
Religion Agriculture, Biological Sciences & Forestry Arts Humanities Chemistry Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Mathematics Mechanical Engineering Physics Social Sciences Transportation Other

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Investment Portfolio Optimization Using Ant Colony Optimization (ACO) Based on Fama-French Three Factor Model on IDX High Dividend 20 Stocks Asthie Zaskia Maharani; Dwi Susanti; Riaman Riaman
International Journal of Quantitative Research and Modeling Vol. 6 No. 2 (2025): International Journal of Quantitative Research and Modeling
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.
Portofolio Optimization of Mean-Variance Model Using Tabu Search Algorithm with Cardinality Constraints Lutfi Praditia Ma’mur; Riaman Riaman; Sukono Sukono
International Journal of Quantitative Research and Modeling Vol. 6 No. 2 (2025): International Journal of Quantitative Research and Modeling
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v6i2.1010

Abstract

Stock investment is increasingly attractive to Indonesians, especially through the IDX30 index, which is known to have high liquidity and solid company fundamentals. In forming an optimal stock portfolio, investors are faced with the challenge of maximizing return and minimizing risk simultaneously. An optimal portfolio is defined as a combination of assets that provides the highest expected return at a certain level of risk, or the lowest risk for the expected level of return. This study aims to form an optimal portfolio on the IDX30 index by considering cardinality constraints, which limit the maximum number of stocks in the portfolio. From 30 IDX30 stocks, 20 stocks were selected based on consistency of existence during the period February 1, 2023 to January 31, 2025. Next, 8 stocks that have positive expected return values are selected, and from these 8, 4 efficient stocks are selected using cardinality constraints. Selection is done with the Tabu Search algorithm, a memory-based metaheuristic optimization method used to find the best solution by avoiding previously explored solutions. The portfolio is formed using the Mean-Variance model, resulting in an allocation of BMRI (30,02%), PTBA (35,18%), INDF (2,48%), and BRPT (32,32%), with an expected return of 0,00207 and a variance of 0,001587.
Co-Authors AGUS SUPRIATNA Aldino Reisnanda Alit Kartiwa Anang Muhajirin Andhita Zahira Adib Annisa Aprillia Ariyanti, Devi Arla Aglia Yasmin Ary Robayani Asthie Zaskia Maharani Atha Hukama Aulianda Anisa Putri S. R. Aulya Putri Ayyinah Nur Bayyinah Azizah Rini Widyani Bayyinah, Ayyinah Nur Betty Subartini Betty Subartini Betty Subartini Betty Subartini Dewi Ratnasari Dwi Susanti Dwi Susanti Dwi Susanti Dwi Susanti Dwi Susanti Dwi Susanti Edi Kurniadi Emmanuel Parulian Sirait Estu Putri Dianti Ghazali, Puspa Liza Hasbullah, Soeryana Herlina Napitupulu Hidayana, Rizki Apriva Hukama, Atha Iin Irianingsih Jumadil Saputra Kahar, Ramadhina Hardiva kalfin Kalfin Kankan Parmikanti Khalilah Razanah Zakirah Komar Komar Laksito, Grida Saktian Linda Damayanti Putri Luki Setiawan Luki Setiawan Lutfi Praditia Ma’mur Maharani, Asthie Zaskia Ma’mur, Lutfi Praditia MIFTAAHUL JANNAH Moisino, Misel Lindi Nahda Nabiilah Noriszura Ismail Novianti, Saqila Pramudhita, Annisa Pryimak, Evgen Putri Adhira Novalia Putri Chaerunnisa Febryanti Putri, Aulya Putri, Linda Damayanti Qurrotu Aini Radya Pratiwi Serila Raharjanti, Amalia RAHMAWATI, SEPTI Ramdhania, Tya Shafa Ratih Kusumadewi Riadi, Nadia Putri Riza Adrian Ibrahim Saefullah, Rifki Silvia Wijaya Soeryana Hasbullah Subartiny, Betty Sudartianto Sudartianto Sukono Sukono Supian, Sudradjat Susanto, Sunarta Sya’imaa.HS, Audrey Ariij Tika Fauzia Tyrenia Rahmawati Ulfatmi, Ristifani Vimelia, Willen Wahid, Alim Jaizul Waway Tiswaya Widyani, Azizah Rini Willen Vimelia Yasir Salih Yasmin, Arla Aglia Yeremia Herry Parulian Yeremia Herry Parulian, Yeremia Herry Yudhi Andriyana Yulianus Brahmantyo Zahra, Ami Emelia Putri