OPTIMALISASI PORTOFOLIO DENGAN PENDEKATAN LEXICOGRAPHIC GOAL PROGRAMMING DI BURSA EFEK INDONESIA (BEI)

Abstract

The purpose of this study was to determine the shares of LQ 45 index and how many servings of investment funds provided for the faithful these shares using Lexicographic Goal Programming approach. In addition, with the same approach this study also aims to determine how much risk is estimated from the optimal portfolio. The data used in this research is secondary data on daily closing stock price during the study period January 2014 - March 2015. The procedure of the research is data collection, data processing, determining the objective function, define constraints, Make Pairwise Comparison Matrix, for consistency ratio (RK) and find the inverse matrix D. These results indicate there are three stocks chosen for entry into the portfolio.

Keywords: optimization, Lexicographic Goal Programming