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Penggunaan Metode Nadir Compromise Programming dalam Menyelesaikan Permasalahan Multi Objektif

Authors

  • Rika Yepti Indriani Fakultas Matematika dan Ilmu Pengetahuan Alam, Universitas Islam Bandung

DOI:

https://doi.org/10.29313/jrm.v1i2.364

Keywords:

Optimasi Multi Objektif, NCP, Portofolio Saham

Abstract

Abstract. Multiobjective problems are an optimization problem that has two or more purpose functions. The nadir compromise programming (NCP) method is one that can be used to solve multi-objective problems. To solve that the problem, the NCP solves the problem be based nadir value from each objective. One of problems that can be solved by NCP method is the optimization of the stock portfolio. With the invest, there are some goals taken into consideration for obtaining the optimal portfolio. For the goal of investing in the optimum stock portfolio selection to be reached, in this study will formulate three objectives considered that is optimized risk, maximizing expected return, and minimizing investment capital. The goal of the study is to figure out the use of the NCP method in the solved multi objective optimization problem with the stock portfolio based to data of closing price from 2015 to 2018. In the research analysed of six shares registered in the Indonesia stock exchange in sector property, real estate and building construction. From the optimization resulted 2 shares were selected with the optimal risk coefficient value of 1, expected return with a maximum of 0.01037969, and minimum of investment capital 390.

Abstrak. Permasalahan multi objektif ialah permasalahan optimasi yang memiliki dua atau lebih fungsi tujuan. Metode Nadir Compromise Programming (NCP) merupakan salah satu metode yang dapat digunakan untuk menyelesaikan permasalahan multi objektif. Untuk menyelesaikan permasalahan tersebut, NCP menyelesaikan permasalahan berdasarkan nilai nadir dari masing-masing tujuan yang ada. Salah satu permasalahan yang dapat diselesaikan dengan metode NCP adalah permasalahan optimasi portofolio saham. Dalam berinvestasi, terdapat beberapa tujuan yang dipertimbangkan untuk memperoleh portofolio yang optimal. Agar tujuan dalam berinvestasi tercapai dalam pemilihan portofolio saham yang optimal maka dalam penelitian ini dirumuskan tiga fungsi tujuan yang dipertimbangkan yaitu mengoptimalkan risiko, memaksimalkan expected return, dan meminimalkan modal investasi.  Tujuan penelitian ini adalah untuk mengetahui penggunaan metode NCP dalam menyelesaikan permasalahan optimasi multi objektif pada portofolio saham dari data closing price mulai dari tahun 2015 sampai 2018. Pada penelitian dianalisis 6 saham yang terdaftar di Bursa Efek Indonesia pada sektor property, realestate and building construction. Dari hasil optimasi dihasilkan 2 saham terpilih dengan nilai koefisien risiko optimal sebesar 1, expected return maksimal sebesar 0.01037969, dan modal investasi minimal 390.

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Published

2021-12-23