Optimum Stocks Portfolio Selection using Fuzzy Decision Theory

Abstract

: An investor wants the value of his or her money does not have a decline in value against inflation. For this reason, investors need to invest in financial instruments, one of which is stocks. Thus, investors need to create an optimum stock portfolio. Generally, the factors considered by investors in creating an optimum portfolio are expectations of return and portfolio risk. However, besides these two factors, the liquidity is also an important factor to be considered. These three factors will be discussed in this paper to form an optimum portfolio. In addition, because stock transactions use lot units, the optimization problem here is a mixed-integer linear programming optimization problem that will be solved using the Branch and Bound algorithm that is available in toolbox Matlab 2016. This optimization problem will be applied to the formation of a portfolio consisting of stocks in LQ45 index. The LQ45 Stock Index was chosen because shares in this index have high liquidity levels according to the Indonesia Stock Exchange. The computation results show that the portfolio rebalancing model can form a portfolio based on the level of satisfaction of investor.