Optimization of Stock Portfolios Using Goal Programming Based on the Kalman-Filter Method

Long-term stock investment development is carried out by means of portfolio optimization. Selection of stocks for portfolios is not only based on high-value stock prices but also takes into account their fluctuations. Estimation of future stock price fluctuations has an indirect impact on future por...

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Autores principales:	Fauziyah, Evita Purnaningrum
Formato:	article
Lenguaje:	EN
Publicado:	Department of Mathematics, UIN Sunan Ampel Surabaya 2021
Materias:	stock price portfolio goal programming kalman filter estimation Mathematics QA1-939
Acceso en línea:	https://doaj.org/article/ee62478c918f4465ad388d4f1d290ef0
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spelling	oai:doaj.org-article:ee62478c918f4465ad388d4f1d290ef02021-12-02T17:43:20ZOptimization of Stock Portfolios Using Goal Programming Based on the Kalman-Filter Method2527-31592527-316710.15642/mantik.2021.7.1.20-30https://doaj.org/article/ee62478c918f4465ad388d4f1d290ef02021-05-01T00:00:00Zhttp://jurnalsaintek.uinsby.ac.id/index.php/mantik/article/view/1059https://doaj.org/toc/2527-3159https://doaj.org/toc/2527-3167Long-term stock investment development is carried out by means of portfolio optimization. Selection of stocks for portfolios is not only based on high-value stock prices but also takes into account their fluctuations. Estimation of future stock price fluctuations has an indirect impact on future portfolio formation. This research has implemented the Kalman filter method to obtain the best estimation results from various stock prices with a high degree of accuracy. The results are then used to form a stock portfolio on the basis of Goal Programming. This study has compared the optimization results with the real value of stock prices. The results obtained, Kalman filter-based Goal Programming is more effective for predicting future portfolios compared to the Goal Programming method with a return difference of Rp. 178,039,848. This suggests that optimization with the Kalman Filter-based Objective Programming can be used as a tool to determine future stock portfolios.FauziyahEvita PurnaningrumDepartment of Mathematics, UIN Sunan Ampel Surabayaarticlestock priceportfoliogoal programmingkalman filterestimationMathematicsQA1-939ENMantik: Jurnal Matematika, Vol 7, Iss 1, Pp 20-30 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	stock price portfolio goal programming kalman filter estimation Mathematics QA1-939
spellingShingle	stock price portfolio goal programming kalman filter estimation Mathematics QA1-939 Fauziyah Evita Purnaningrum Optimization of Stock Portfolios Using Goal Programming Based on the Kalman-Filter Method
description	Long-term stock investment development is carried out by means of portfolio optimization. Selection of stocks for portfolios is not only based on high-value stock prices but also takes into account their fluctuations. Estimation of future stock price fluctuations has an indirect impact on future portfolio formation. This research has implemented the Kalman filter method to obtain the best estimation results from various stock prices with a high degree of accuracy. The results are then used to form a stock portfolio on the basis of Goal Programming. This study has compared the optimization results with the real value of stock prices. The results obtained, Kalman filter-based Goal Programming is more effective for predicting future portfolios compared to the Goal Programming method with a return difference of Rp. 178,039,848. This suggests that optimization with the Kalman Filter-based Objective Programming can be used as a tool to determine future stock portfolios.
format	article
author	Fauziyah Evita Purnaningrum
author_facet	Fauziyah Evita Purnaningrum
author_sort	Fauziyah
title	Optimization of Stock Portfolios Using Goal Programming Based on the Kalman-Filter Method
title_short	Optimization of Stock Portfolios Using Goal Programming Based on the Kalman-Filter Method
title_full	Optimization of Stock Portfolios Using Goal Programming Based on the Kalman-Filter Method
title_fullStr	Optimization of Stock Portfolios Using Goal Programming Based on the Kalman-Filter Method
title_full_unstemmed	Optimization of Stock Portfolios Using Goal Programming Based on the Kalman-Filter Method
title_sort	optimization of stock portfolios using goal programming based on the kalman-filter method
publisher	Department of Mathematics, UIN Sunan Ampel Surabaya
publishDate	2021
url	https://doaj.org/article/ee62478c918f4465ad388d4f1d290ef0
work_keys_str_mv	AT fauziyah optimizationofstockportfoliosusinggoalprogrammingbasedonthekalmanfiltermethod AT evitapurnaningrum optimizationofstockportfoliosusinggoalprogrammingbasedonthekalmanfiltermethod
_version_	1718379679611617280

Optimization of Stock Portfolios Using Goal Programming Based on the Kalman-Filter Method

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