Analysis of stock investment selection based on CAPM using covariance and genetic algorithm approach

Indonesian Operations Research Association - International Conference on Operations Research 2017

Sukono^1 ; Susanti, D.^1 ; Najmia, M.^1 ; Lesmana, E.^1 ; Napitupulu, H.^1 ; Supian, S.^1 ; Putra, A.S.^2

Department of Mathematics, Faculty of Mathematics and Natuaral Sciences, Universitas Padjadjaran, Indonesia^1

Department of Geophysics, Faculty of Mathematics and Natuaral Sciences, Universitas Padjadjaran, Indonesia^2

关键词: Beta parameter;    CAPM;    covariance;    over-priced;    under-priced;   

Others  :  https://iopscience.iop.org/article/10.1088/1757-899X/332/1/012046/pdf
DOI  :  10.1088/1757-899X/332/1/012046

来源: IOP

【 摘 要 】

Investment is one of the economic growth factors of countries, especially in Indonesia. Stocks is a form of investment, which is liquid. In determining the stock investment decisions which need to be considered by investors is to choose stocks that can generate maximum returns with a minimum risk level. Therefore, we need to know how to allocate the capital which may give the optimal benefit. This study discusses the issue of stock investment based on CAPM which is estimated using covariance and Genetic Algorithm approach. It is assumed that the stocks analyzed follow the CAPM model. To do the estimation of beta parameter on CAPM equation is done by two approach, first is to be represented by covariance approach, and second with genetic algorithm optimization. As a numerical illustration, in this paper analyzed ten stocks traded on the capital market in Indonesia. The results of the analysis show that estimation of beta parameters using covariance and genetic algorithm approach, give the same decision, that is, six underpriced stocks with buying decision, and four overpriced stocks with a sales decision. Based on the analysis, it can be concluded that the results can be used as a consideration for investors buying six under-priced stocks, and selling four overpriced stocks.