%0 Thesis
%9 Skripsi
%A Shofia Nur Fadhila, NIM.: 18106010003
%B FAKULTAS SAINS DAN TEKNOLOGI
%D 2022
%F digilib:54408
%I UIN SUNAN KALIJAGA YOGYAKARTA
%K ARIMA, Optimasi Multiobjektif, Portofolio, Prediksi Harga  Saham.
%P 132
%T OPTIMASI PORTOFOLIO MULTIOBJEKTIF BERDASARKAN PREDIKSI HARGA SAHAM DENGAN MODEL ARIMA
%U https://digilib.uin-suka.ac.id/id/eprint/54408/
%X ARIMA is a time series method that is used to predict data. Stock price data  has a non-stationary pattern because of the spirit of changing stock price movements.  Invest in assets like In addition to making profits, stocks must also face  risks. Portfolio formation needs to be done to minimize risk. Multi-objective optimization  is one method of forming a portfolio that has the aim of maximize return  and minimize risk at the same time. Destination of this research is to find out the  steps of the ARIMA model and multi-objective model, to determine the accuracy of  the ARIMA model prediction, and to find out the proportion of each stock formed  from the model multi-objective. The research method used is quantitative descriptive  method which is applied to the closing data of the monthly share price of PT.  Aneka Tambang, PT. Indofood CBP Sukses Makmur, and PT. United Tractors. The  results of the this study shows that the best model for forecasting ANTM’s stock  prices is is ARIMA ([1],2,[2]) with a MAPE value of 32,286, ICBP’s are ARIMA  (0,1,[2]) with a MAPE value of 12,139, and UNTR’s are ARIMA (0.2,[2]) with a  MAPE value of 30,015. The optimal portfolio for risk seeker type investors is by  choosing γ = 0.01 by investing 87% of ANTM shares, 2% of ICBP’s shares, and  11% of UNTR’s shares. Optimal portfolio for type investors risk indifference is to  choose a weighting value of 1 < γ < 100 and a portfolio The optimal lio that is  formed for risk averse investors is to choose the value of γ > 100.
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