Portfolio selection in Indonesia stock market with fuzzy bi-objective linear programming

Retno Subekti; Rosita Kusumawati

doi:10.1109/ICREM.2015.7357034

Portfolio selection in Indonesia stock market with fuzzy bi-objective linear programming

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Retno Subekti, Rosita Kusumawati

2015 ICREM7 2015 - Proceedings of the 7th International Conference on Research and Education in Mathematics: Empowering Mathematical Sciences through Research and Education Conference paper Cited by 1

Abstract

Selecting a portfolio which has the lowest investment risk and also the highest investment return known as a portfolio selection problem. An alternative way finding optimum solution of this bi-objective programming problem is transforming theproblem into a single objective programming problem using fuzzy decision-making theory. The investment risk is expressed by mean absolute deviation of the return assets, while the investment return is expressed by the average of return assets. This fuzzy bi-objective linear programming (FBLP) is applied to construct an optimum portfolio in Indonesian stock market. The numerical result of FBLP is the same compared with weighted sum approach, but FBLP integrates better the knowledge and subjective opinion of investor where the range rate of risk which can be accepted by investor is incorporated in the model. © 2015 IEEE.

Affiliations

Mathematics Education Department, Yogyakarta State University, Yogyakarta, Indonesia

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