Retno Subekti, Eminugroho Ratna Sari, Fitriana Yuli Saptaningtyas
Stock portfolio modeling has become increasingly diverse through the development of the mean-variance model, which is known as the beginning of modern portfolio theory. One model that is considered is the development of an ant colony as a portfolio optimization strategy that can improve portfolio performance. Another development in the world of finance is the application of Islamic principles to stock investment; hence, the number of Sharia investors is currently increasing. The Indonesian Sharia stock index is a reference for Islamic investors to select stocks under Islamic rules and principles. Therefore, this research aims to apply the mean-variance model and its development, especially the ant colony strategy in sharia stocks. The method used in this research is an ant colony with classical and hybrid methods. By selecting sharia shares from various sectors, an optimal stock portfolio is then formed, and the portfolio performance is compared. The portfolio performance can be measured by the Sharpe ratio index. The result shows that the hybrid ant colony portfolio produces a higher Sharpe index, but it takes longer to execute due to additional steps in classical optimization. Sharia stock asset allocations are as follows: 1.36%, 2.35%, 41.34%, 12.51%, 7.82%, and 34.59% for AALI, ANTM, BRIS, DSNG, BNBS, and PTBA. The results demonstrate that the conventional ant colony required only 3.73 seconds, whereas the hybrid needed 4.27 seconds. Meanwhile, the expected portfolio return from hybrids is larger than the standard ant colonies. © 2025 Author(s).
Mathematics Education Department, Faculty of Mathematics and Natural Sciences, Universitas Negeri Yogyakarta, Yogyakarta, Indonesia
