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Title: | Point and Figure Portfolio Optimization Using Hidden Markov Models and its Application on the Stock of Bumi Resources Tbk Optimasi Portofolio Point and Figure Menggunakan Model Hidden Markov dan Aplikasinya pada Saham Bumi Resources Tbk. |
Authors: | Setiawaty, Berlian Ardana, Ngakan Komang Kutha Kastolan |
Keywords: | point and figure portfolio optimization portfolio discrete hidden Markov model expectation maximization algorithm |
Issue Date: | 2011 |
Abstract: | The problem of portfolio optimization is to select a trading strategy which maximizes the expected terminal wealth. Since in a real-world market the stocks are traded at discrete random times, we are interested in a time sampling method. The time sampling process obtains sampling of stock price used in point and figure chart. Point and figure chart only displays up or down movements of unbalanced stock price. The basic idea is to describe essential movements of the unbalance stock price using a hidden Markov model. Parameters of this model are transition probability matrices. They are estimated using maximum likelihood method and expectation maximization algorithm. The estimation procedure involves change of measure. The estimation of parameters uses computer algebraic systems on the Mathematica 8.0. The model is then applied to the stock price of Bumi Resources Tbk from January 2nd 2007 until January 31st 2011. The estimated parameters are used to calculate the optimal portfolio using a recursive algorithm. The results of this study show that the discrete hidden Markov model can be applied to describe essential movements of the stock price. The best result gives 93.63% accuracy of the estimate of observation sequence with mean absolute percentage error (MAPE) 3.63% and 5 factors causing the event. The numerical calculation shows that the optimal logarithmic PF-portfolio increases the wealth. Keputusan investasi pada dasarnya menyangkut masalah pengalokasian aset pada periode tertentu, di mana investor berusaha memaksimumkan return (imbal hasil) dengan tingkat risiko tertentu yang dapat diterima. Kumpulan investasi yang dimiliki oleh perorangan atau institusi disebut portofolio. Portofolio tersebut terdiri dari aset bebas risiko dan aset berisiko (saham). Saham adalah surat berharga sebagai bukti kepemilikan individu atau institusi atas suatu perusahaan. Dalam pasar dunia, saham diperdagangkan dalam waktu kontinu tetapi dalam kenyataannya investor mengambil keputusan untuk menjual atau membeli saham berada dalam waktu diskret. Oleh karena itu perlu proses diskretisasi waktu, yaitu sampling waktu yang menghasilkan harga saham tidak seimbang (naik atau turun). Pada setiap sampel waktu berkorespondensi dengan sampel harga saham saat itu. Sampel harga saham tersebut dapat digambarkan dalam bentuk diagram, yaitu point and figure chart (diagram PF). Portofolio yang hanya mendasarkan informasi yang termuat dalam diagram PF disebut portofolio PF. |
URI: | http://repository.ipb.ac.id/handle/123456789/52102 |
Appears in Collections: | MT - Mathematics and Natural Science |
Files in This Item:
File | Description | Size | Format | |
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2011kas.pdf Restricted Access | Full Text | 913.71 kB | Adobe PDF | View/Open |
Abstract.pdf Restricted Access | Abstrak | 284.57 kB | Adobe PDF | View/Open |
BAB I Pendahuluan.pdf Restricted Access | Bab I | 312.28 kB | Adobe PDF | View/Open |
BAB II Tinjauan Pustaka.pdf Restricted Access | Bab II | 500.24 kB | Adobe PDF | View/Open |
BAB III Portofolio Point And Figure.pdf Restricted Access | Bab III | 397.87 kB | Adobe PDF | View/Open |
BAB IV Model Hidden Markov.pdf Restricted Access | Bab IV | 496.97 kB | Adobe PDF | View/Open |
BAB V Aplikasi Optimasi Portofolio Point And Figure.pdf Restricted Access | Bab V | 493.99 kB | Adobe PDF | View/Open |
BAB VI Simpulan dan Saran.pdf Restricted Access | Bab VI | 364.05 kB | Adobe PDF | View/Open |
Cover.pdf Restricted Access | Cover | 305.15 kB | Adobe PDF | View/Open |
Daftar Pustaka.pdf Restricted Access | Daftar Pustaka | 289.64 kB | Adobe PDF | View/Open |
Lampiran.pdf Restricted Access | Lampiran | 518.68 kB | Adobe PDF | View/Open |
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