Analisis Portofolio Investasi dengan Metode Multi Objektif

Abstract

In the formation of an efficient portfolio, many methods can be used. Of course with its own assumptions and advantages. In the process, reasonable investor assumptions tend to be risk averse. Investors who are risk averse are investors who, when faced with two investments with the same expected return, will choose an investment with a lower risk level. If an investor has several efficient portfolio choices, then the most optimal portfolio will be chosen. Optimal portfolio with mean-variance efficient portfolio criteria, investors only invest in risky assets. Investors do not include risk free assets in their portfolios. Mean-variance efficient portfolio is defined as a portfolio that has a minimum variance among all possible portfolio that can be formed, at the mean level of the same expected return. The mean variant method of the two constraints can be used as a basis in determining the optimal portfolio weight by minimizing the risk of portfolio return with two constraints. In this article the problem referred to is symbolized by lamda and beta. With this two-constraint method, the results obtained are more detailed so that they can describe the results of a sharper analysis for an investor.

Optimization of Portfolio Using Fuzzy Selection

“…It is a securities type that is quite popular in the capital market. The reason is that compared to other types of investments, the stock can give a bigger return or profit in a relatively short period [14].…”

“…Many complicated securities in portfolio selection can be solved by classifying the data based on decided criteria. A security that is unable to fulfill the fixed criteria will not be used in the formation of an optimal portfolio [12], [13], and [14].…”