PERFORMANCE ASSESSMENT OF STOCK PORTFOLIO BASED ON DE NOVO PROGRAMMING WITH MIN-MAX GOAL PROGRAMMING APPROACH

Abstract

Portfolio performance assessment is the final stage in the investment management process that must be carried out by investors. The purpose of portfolio performance appraisal is to analyze and find out whether the portfolio formed meets investor objectives. The formation of the stock portfolio is based on several aspects of the assessment of 15 selected shares in the basic industry and chemicals sector. The formation of a stock portfolio is done using one of the multi-objective problem models, namely De Novo Programming with the Min-max Goal Programming approach. Based on the model that was formed from 15 shares of the basic industry and chemicals sector, five were selected, namely BRPT, INKP, INTP, SMGR and SPMA. Then the formed stock portfolios, assessed their respective performance using Reward to Volatility (RVOL), in this valuation is used beta coefficients so it is assumed that the portfolio is well diversified. So based on RVOL, BRPT obtained the best performance among other stocks with RVOL value of 0.0019809 and the proportion of funds of 78%. Keywords: Portfolio Assessment, De Novo Programming, Min-max Goal Programming and Reward to Volatility (RVOL).