Optimasi Alokasi Portofolio Saham Menggunakan Simulated Annealing

Abstract

Optimation can be regarded as a process to find the best solution by using a systematic procedure. Finance is one of the field of science where optimation is often used, that is investment. Portfolio-making process usually has two steps, the first one is to choose the investment where money are invested and the second one is to determine the allocation for each investment which composed an investment portfolio. Determining the allocation for each investment is not simple as it is often involving high amounts of combination so that doing this process manually consumes too much times and is not efficient. Simulated annealing is one of the method that can be used to solve that problem. This research uses monthly stock’s prices data from 2009-2013, involving 29 companies which are registered on the Jakarta Islamic Index (JII). Based on the result from this research, there are seven stocks which are always included on the portfolio, those seven stocks are CPIN, EXCL, ICBP, KLBF, MAPI, MNCN, and UNVR, with the portfolio’s return’s and risk’s values are 5.63% and 6.79%. Using 24 different datasets, the passive portfolio model’s return’s and risk’s values are 3.06% dan 7% whereas the active portfolio model’s return’s and risk’s values are 5.03% and 6.43%.