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All Journal JURNAL HERITAGE International Journal of Global Operations Research International Journal of Mathematics, Statistics, and Computing
Firdaus, Muhammad Rayhan
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Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Engineering Environmental Science Law, Crime, Criminology & Criminal Justice Mathematics Social Sciences

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Journal : International Journal of Global Operations Research

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Stock Portfolio Optimization of IDX30 using Agglomerative Hierarchical Clustering and Ant Colony Optimization Algorithm Firdaus, Muhammad Rayhan; Subartini, Betty; Sukono, Sukono
International Journal of Global Operations Research Vol. 6 No. 3 (2025): International Journal of Global Operations Research (IJGOR), August 2025
Publisher : iora

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/ijgor.v6i3.394

Abstract

The stock market offers high profit opportunities but also entails significant risks, making portfolio optimization essential to help investors manage risk and maximize returns. This study aims to cluster IDX30 stocks to form a more diversified portfolio, determine the optimal stock weights, and evaluate portfolio performance. The method employed is Agglomerative Hierarchical Clustering (AHC) with Ward linkage for clustering stocks based on financial ratios, with the silhouette score used to evaluate cluster quality. Subsequently, the Ant Colony Optimization (ACO) algorithm is applied to optimize stock weights in the portfolio based on the clustering results. The findings indicate that the best portfolio is obtained in clusters 5 and 6, with a maximum fitness value of 0.064555 and a portfolio return of 0.000814. Portfolio performance evaluation using the Sharpe ratio yields a value of 0.044767 for both clusters, indicating that the resulting portfolios are efficient. This research is expected to contribute to the development of more accurate and practical data-driven investment strategies for investors.
Co-Authors Betty Subartini Putri, Linda Damayanti Sukono Sukono Zulfiningrum, Rahmawati