Investment Portfolio Optimization Using Ant Colony Optimization (ACO) Based on Fama-French Three Factor Model on IDX High Dividend 20 Stocks
Abstract
Keywords
Full Text:
PDFReferences
Anuno, F., Madaleno, M., and Vieira, E. (2023) ‘Using the Capital Asset Pricing Model and the Fama–French Three-Factor and Five-Factor Models to Manage Stock and Bond Portfolios: Evidence from Timor-Leste’, Journal of Risk and Financial Management, 16(11). Available at: https://doi.org/10.3390/jrfm16110480.
Dorigo, M. and Stützle, T. (2004) Ant colony optimization. A Bradford Book, A Bradford Book The MIT Press Cambridge, Massachusetts London, England. Available at: https://mitpress.mit.edu/books/ant-colony-optimization.
Fama, K.R.F. (1992) ‘The Journal of Finance - June 1992 - FAMA - The Cross‐Section of Expected Stock Returns.pdf’, The Journal of Finance, pp. 427–465. Available at: https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1992.tb04398.x.
Fama, E.F. and French, K.R. (1996) ‘Multifactor explanations of asset pricing anomalies’, Journal of Finance, 51(1), pp. 55–84. Available at: https://doi.org/10.1111/j.1540-6261.1996.tb05202.x.
Gujarati, D. and Porter, D. (2013) Basic Econometrics. 5th edn, Introductory Econometrics: A Practical Approach. 5th edn. New York: Douglas Reiner.
Hasbiah, S., Anwar, A., and Bado, B. (2022) ‘Model Markowitz Dalam Keputusan Investasi Saham Pada Index Lq45 di Bursa Efek Indonesia’, JEKPEND: Jurnal Ekonomi dan Pendidikan, 5(1), p. 69. Available at: https://doi.org/10.26858/jekpend.v5i1.24709.
Hu, J. (2022) ‘Application of Modern Portfolio Theory in Stock Market based on Empirical analysis’, Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022), 648(Icfied), pp. 1561–1567. Available at: https://doi.org/10.2991/aebmr.k.220307.255.
Liestyowati, Possumah, L., and Yadasang, R. (2023) ‘Pengaruh Diversifikasi Portofolio terhadap Pengelolaan Risiko dan Kinerja Investasi: Analisis pada Investor Individu’, Jurnal Akuntansi Dan Keuangan West Science, 2(03), pp. 187–194. Available at: https://doi.org/10.58812/jakws.v2i03.642.
Nisardi, M.R., Husain, H., and Resky, A. (2024) ‘Penentuan Portofolio Saham Optimal Menggunakan Metode Markowitz Sebagai Dasar Keputusan Investasi’, SQUARE: Journal of Mathematics and Mathematics Education, 6(1), pp. 33–40. Available at: https://doi.org/10.21580/square.2024.6.1.20441.
Santhi, N.S. (2014) ‘Fama-French Three Factors Model in Indian Mutual Fund Market’, Asian Journal of Economics and Empirical Research, 1(1), pp. 1–5. Available at: https://www.asianonlinejournals.com/index.php/AJEER/article/view/185.
Steven, A., Hertono, G.F., and Handari, B.D. (2018) ‘Clustered stocks weighting with ant colony optimization in portfolio optimization’, AIP Conference Proceedings, 2023(October 2018). Available at: https://doi.org/10.1063/1.5064201.
Subekti, R., Sari, E.R., and Kusumawati, R. (2018) ‘Ant colony algorithm for clustering in portfolio optimization’, Journal of Physics: Conference Series, 983(1). Available at: https://doi.org/10.1088/1742-6596/983/1/012096.
Tao, W. (2022) ‘Comparison of CAPM And Fama-French Three-factor Model’, BCP Business & Management, 23, pp. 243–248. Available at: https://doi.org/10.54691/bcpbm.v23i.1357.
Wang, Y. and Han, Z. (2021) ‘Ant colony optimization for traveling salesman problem based on parameters optimization’, Applied Soft Computing, 107, p. 107439. Available at: https://doi.org/10.1016/j.asoc.2021.107439.
Willmar, R.P., Devianto, D., and Yozza, H. (2024) ‘Analisis Fama-French Three Factor Model Terhadap Return Portofolio Saham Optimal Terindeks PEFINDO25’, Jurnal Matematika UNAND, 13(1), p. 41. Available at: https://doi.org/10.25077/jmua.13.1.41-55.2024.
DOI: https://doi.org/10.46336/ijqrm.v6i2.978
Refbacks
- There are currently no refbacks.
Copyright (c) 2025 Asthie Zaskia Maharani

This work is licensed under a Creative Commons Attribution 4.0 International License.
Published By:
IJQRM: Jalan Riung Ampuh No. 3, Riung Bandung, Kota Bandung 40295, Jawa Barat, Indonesia
IJQRM Indexed By:
Creation is distributed below Lisensi Creative Commons Atribusi 4.0 Internasional.