Mean-Variance Portfolio Optimization on Islamic Stocks by Using Non Constant Mean and Volatility Models and Genetic Algorithm

  • Authors

    • Endang Soeryana Hasbullah
    • Nurfadhlina bt Abdul Halim
    • Sukono .
    • Adam Sukma Putra
    • Abdul Talib Bon
    2018-09-01
    https://doi.org/10.14419/ijet.v7i3.20.19274
  • The risk in stock market has taken an sinificant issue in investment of stock market, including Investment in some Islamic stocks. In order to minimize the level of risk, investors usually forming an investment portfolio. Establishment of a portfolio cons
  • The risk in stock market has taken an sinificant issue in investment of stock market, including Investment in some Islamic stocks. In order to minimize the level of risk, investors usually forming an investment portfolio. Establishment of a portfolio consisting of several Islamic stocks are intended to get the optimal composition of the investment portfolio. This paper discussed about optimizing investment portfolio of Mean-Variance to Islamic stocks by using mean and volatility is not constant approaches. Non constant mean analyzed using models Autoregressive Moving Average (ARMA), while non constant volatility models are analyzed using the Generalized Autoregressive Conditional heteroscedastic (GARCH). Optimization process is performed by using the Lagrangian multiplier technique followed by the Genetic Algorithm (GA). The expected result is to get the proportion of investment in each Islamic stock analyzed. Based on the result, we got that GA give a proportion of portfolio optimum selection with the best expected return. However, The GA has more potential candidate of solution that give the investor an alternative of their optimum portfolio selection. in this paper, we only present the best solution which has the highest fitness to the model.

     

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  • How to Cite

    Soeryana Hasbullah, E., bt Abdul Halim, N., ., S., Sukma Putra, A., & Talib Bon, A. (2018). Mean-Variance Portfolio Optimization on Islamic Stocks by Using Non Constant Mean and Volatility Models and Genetic Algorithm. International Journal of Engineering & Technology, 7(3.20), 366-371. https://doi.org/10.14419/ijet.v7i3.20.19274