Algoritma Grey Wolf Optimizer dan Model Mean Absolute Deviation Untuk Optimisasi Portofolio Saham

Fajar Mahardhika, Kartika Yulianti, Cece Kustiawan

Abstract


This research aims to achieve the best stock portfolio in the context of stock investment by utilizing the Mean Absolute Deviation Model and Grey Wolf Optimizer (GWO) Algorithm. The data source used is from the Indonesia Stock Exchange (IDX), with a focus on the IDX30 index consisting of 30 stocks. From this set, 12 stocks showing positive return rates are selected. GWO is employed to determine the allocation of weights for each stock in the portfolio, mimicking the behavior of a pack of grey wolves in hunting prey. During the iteration process, wolves switch positions by considering the positions of the top three wolves based on skill value. The research results indicate an optimal portfolio with an expected return rate of 0.007883 and a risk level of 0.03753 from the available data.

Keywords: Grey Wolf Optimizer Algorithm, Mean Absolute Deviation Model, Stock Portfolio Optimization.


Abstrak

Penelitian ini bertujuan untuk meraih portofolio saham terbaik dalam konteks investasi saham dengan memanfaatkan Model Deviasi Mutlak Rata-rata serta Algoritma Optimasi Serigala Abu-abu (GWO). Sumber data yang digunakan berasal dari Bursa Efek Indonesia (BEI), dengan penekanan pada indeks IDX30 yang terdiri dari 30 saham. Dari kumpulan tersebut, dipilih 12 saham yang menunjukkan tingkat pengembalian yang positif. GWO digunakan untuk menentukan alokasi bobot untuk masing-masing saham dalam portofolio, meniru perilaku kelompok serigala abu-abu dalam mencari mangsa. Selama proses iterasi, serigala beralih posisi dengan mempertimbangkan posisi tiga serigala terbaik berdasarkan nilai kecakapan. Hasil penelitian menunjukkan portofolio optimal dengan tingkat pengembalian harapan sebesar 0,007883 dan tingkat risiko sebesar 0,03753 dari data yang tersedia.


Keywords


Algoritma Grey Wolf Optimizer, Model Mean Absolute Deviation, Optimisasi Portofolio Saham.

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DOI: https://doi.org/10.17509/jem.v13i1.69680

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