BINARY CUCKOO SEARCH UNTUK OPTIMASI PORTOFOLIO DENGAN KENDALA CARDINALITY

Authors

  • Lilik Muzdalifah Universitas PGRI Ronggolawe

DOI:

https://doi.org/10.12928/admathedu.v6i1.4759

Abstract

Cuckoo Search merupakan salah satu metode optimasi metaheuristik yang terinspirasi dari tingkah laku burung Cuckoo. Algoritma Cuckoo Search pertama kali dikembangkan oleh Yang dan  Deb pada tahun 2009. Pada dasarnya algoritma ini dikembangkan untuk menyelesaikan masalah optimasi yang hanya melibatkan variabel kontinu (real). Akan tetapi, pada kenyataannya banyak masalah optimasi yang melibatkan tidak hanya variabel real, teapi juga variabel diskrit, bulat, dan biner. Masalah optimasi portofolio dengan kendala cardinality, yaitu permasalahan membentuk komposisi dari berbagai aset dalam portofolio sehingga didapatkan hasil yang optimal dengan cara memilih  aset dari  aset yang tersedia. Masalah optimasi portofolio dengan kendala cardinality melibatkan variabel real dan biner (0-1). Pada variabel biner, nol artinya aset tersebut tidak dipilih sedangkan satu artinya aset tersebut dipilih untuk dimasukkan ke dalam portofolio. Pada penelitian ini penulis memodifikasi algoritma Cuckoo Search sehingga mampu mengatasi masalah optimasi yang melibatkan variabel real dan biner, yang selanjutnya disebut algoritma Binary Cuckoo Search. Kemudian algoritma tersebut diterapkan pada masalah meminimumkan risiko (Minrisk) dan memaksimumkan return (Maxret) dengan memilih 20 saham dari 31 saham Hangseng. Hasil penelitian menunjukkan bahwa Binary Cuckoo Search merupakan algoritma yang handal untuk mengatasi masalah optimasi portofolio dengan kendala cardinality.

 

Kata Kunci: algoritma cockoosearch, binary cuckoo search, optimasi portofolio, cardinality

References

Hongqing Zheng, Yongquan Zhou , Sucai He, Xinxin Ouyang. 2012. A Discrete Cuckoo Search Algorithm for Solving Knapsack Problems.Advances in information Sciences and Service Sciences(AISS), Vol. 4.

Markowitz, H. 1952. Portofolio Selection. The Journal of Finance,Vol. 7, pp. 77-91.

Yang, X. S. 2010. Nature-Inspired Metaheuristic Algorithms, Second Edition, United Kingdom: Luniver Press.

Yang, X. S. dan Deb, S. 2009. Cuckoo Search via Lévy Flights. Proceeding of World Congres on Nature and Biologically Inspired Computing (NaBIC 2009, India), IEEE Publications, USA, pp.210-214.

Yanhong Feng, Ke Jia, dan Yichao He. 2014. An Improved Hybrid Encoding Cuckoo Search Algorithm for 0-1 Knapsack Problems. The Journal of Computational Intelligence and Neuroscience,Vol. 2014, Article ID 970456, 9 pages.

http://people.brunel.ac.uk/~mastjjb/jeb/orlib/files/, Diakses pada tanggal8 April 2016, pukul 15.00 WIB

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Issue

Vol. 6 No. 1: Juni 2016

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Articles

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