Volume 5, Issue 2, June 2019, Page: 33-39
Optimization of Portfolio Stock Selection with Meta Goal Programming
Eka Swastika Alwi Putri, Department of Mathematics, University of Riau, Pekanbaru, Indonesia
Habibis Saleh, Department of Mathematics, University of Riau, Pekanbaru, Indonesia
Moh Danil Hendry Gamal, Department of Mathematics, University of Riau, Pekanbaru, Indonesia
Received: May 31, 2019;       Accepted: Jul. 11, 2019;       Published: Jul. 30, 2019
DOI: 10.11648/j.ijmfs.20190502.11      View  177      Downloads  31
Abstract
This article discusses the optimization of portfolio stock selection using the Meta Goal Programming (MGP) model. The optimization problem of stock portfolio selection with the MGP model is solved by combining the weight of trust in each type of MGP and comparing it with the Goal Programming (GP) portfolio. The final result is in the form of the selection of five stocks which are designated as optimal portfolios. This new MGP portfolio produces a higher return value and a lower standard MGP portfolio deviation compared to the GP portfolio.
Keywords
Goal Programming, Meta Goal Programming, Optimization, Portofolio, Stock
To cite this article
Eka Swastika Alwi Putri, Habibis Saleh, Moh Danil Hendry Gamal, Optimization of Portfolio Stock Selection with Meta Goal Programming, International Journal of Management and Fuzzy Systems. Vol. 5, No. 2, 2019, pp. 33-39. doi: 10.11648/j.ijmfs.20190502.11
Copyright
Copyright © 2019 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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