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All Journal BAREKENG: Jurnal Ilmu Matematika dan Terapan
Wen, Goh Kang
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Computer Science & IT Control & Systems Engineering Economics, Econometrics & Finance Energy Engineering Mathematics Mechanical Engineering Physics Transportation

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OPTIMIZATION OF PORTFOLIO USING FUZZY SELECTION Wardani, Rahmania Ayu; Surono, Sugiyarto; Wen, Goh Kang
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 16 No 4 (2022): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (517.741 KB) | DOI: 10.30598/barekengvol16iss4pp1325-1336

Abstract

The problem of portfolio optimization concerns the allocation of the investor’s wealth between several security alternatives so that the maximum profit can be obtained. One of the methods used is Fuzzy Portfolio Selection to understand it better. This method separates the objective function of return and the objective function of risk to determine the limit of the membership function that will be used. The goal of this study is to understand the application of the Fuzzy Portfolio Selection method over shares that have been chosen on a portfolio optimization problem, understand return and risk, and understand the budget proportion of each claim. The subject of this study is the shares of 20 companies included in Bursa Efek Indonesia from 1 January 2021 until 1 January 2022. The result of this study shows that from 20 shares, there are 10 shares that is suitable in the forming of optimal portfolio, those are ADRO (0%), ANTM (43.3%), ASII (0%), BBCA (0%), BBRI (0%), BBTN (0%), BRPT (0%), BSDE (0%), ERAA (16%), and INCO (40.7%). The expected return from the portfolio is 0.0878895207 or 8.8% for the return and 0.0226022117 or 2.3% for the risk.
Co-Authors Sugiyarto Surono, Sugiyarto Wardani, Rahmania Ayu