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All Journal Sabangka Abdimas Jurnal Pengabdian Masyarakat Sabangka Bharasumba Jurnal Multidispliner Jurnal Multidisipliner Kapalamada PARADIGM : JOURNAL OF MULTIDISCIPLINARY RESEARCH AND INNOVATION
Husni Johan, Arsyelina
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Journal : Bharasumba Jurnal Multidispliner

 1 
IMPLEMENTASI FIREFLY ALGORITMA PADA OPTIMISASI MULTIOBJEKTIF PORTOFOLIO SAHAM IDX–MES BUMN 17 DENGAN KENDALA CARDINALITY Andriani, Rosa; Husni Johan, Arsyelina
Jurnal Multidisipliner Bharasumba Vol 5 No 01 (2026): BHARASUMBA: Jurnal Multidisipliner
Publisher : Pusat Studi Ekonomi, Publikasi Ilmiah dan Pengembangan SDM

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.62668/bharasumba.v5i01.2199

Abstract

The Firefly Algorithm (FA) is used as an optimization tool to construct a stock portfolio based on the IDX–MES BUMN 17 index by balancing risk and return under a cardinality constraint on the number of investable stocks. The data consist of daily closing prices for 14 sharia-compliant state-owned enterprise stocks included in the IDX–MES BUMN 17 index over the period September 2019–September 2024, downloaded from Yahoo Finance and transformed into daily log-returns. The expected returns and covariance matrix are embedded into a weighted objective function that combines the reciprocal of portfolio return and portfolio variance, with a weight placing stronger emphasis on risk. The results show that FA attains stable solutions on a non-convex optimization landscape and produces an optimal portfolio that is highly concentrated in a single dominant stock, while other stocks contribute only marginally. These findings suggest that FA is effective as a technical engine for portfolio optimization, but additional constraints such as an upper bound on individual stock weights and a minimum number of stocks in the portfolio are still required to obtain a more practically diversified sharia portfolio.
Co-Authors Andriani, Rosa Edy Waluyo Hasvi, Ismail Heri Kurniawan, Heri Iriani Tarigan, Asmara Naili Muna, Siti Umamah Putri Martinasari, Made Diyah Rahayu, Fitriani Romantica, Krishna Prafidya Tri Wijayanti Septiarini