Model Program Stokastik untuk Menyelesaikan Problema Optimasi Portofolio

Abstract

Financial optimization is one of the most attracting areas in decision-making under uncertainty. Prominent example include : 1) asset allocation for pension plans; 2) security selection for stock and bond portfolio managers; 3) currency hedging for multi-national corporations; 4) hedge fund strategies to capitalize ort market conditions. Stochastic programming models have been proposed as an important tool in solving financial decision making problem, in which there are uncertainty in the problem data. In this thesis we study about building a stochastic programming model for solving portfolio optimization problem.