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Epha Diana Supandi
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Religion Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Energy Engineering Industrial & Manufacturing Engineering Mathematics Mechanical Engineering Physics Transportation

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Journal : statistika

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Regresi Data Panel untuk Mengetahui Faktor-Faktor yang Mempengaruhi IPM di Kabupaten/Kota Provinsi DIY Epha Diana Supandi; Riska Yulianti; Akhmad Fauzy
Statistika Vol. 22 No. 2 (2022): Statistika
Publisher : Department of Statistics, Faculty of Mathematics and Natural Sciences, Universitas Islam Bandung

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29313/statistika.v22i2.1122

Abstract

The Human Development Index (HDI) is a regional or national welfare index based on three aspects, namely a long and healthy life, knowledge, and a decent standard of living. This study aims to determine the factors that affect the HDI of Regency/City in the Province of the Special Region of Yogyakarta (DIY) in 2016-2021. These factors include poverty rates, average length of schooling, gross regional domestic product, and health complaints. The analysis used is panel data regression. The influencing factors are the variable of poverty level, average length of schooling and gross regional domestic product.
Pembentukan Portofolio Robust Mean-Variance Saham Syariah Jakarta Islamic Index (JII) Melalui Pendekatan Analisis Klaster K-Medoids Widiawati, Alfina Viona Isabela; Epha Diana Supandi
Statistika Vol. 24 No. 2 (2024): Statistika
Publisher : Department of Statistics, Faculty of Mathematics and Natural Sciences, Universitas Islam Bandung

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29313/statistika.v24i2.3994

Abstract

ABSTRAK Portofolio adalah kumpulan dari beberapa aset. Tujuan pembentukan portofolio yaitu untuk menghasilkan return yang paling tinggi sambil mengurangi risiko. Untuk menghindari outlier yang sering terjadi dalam portofolio model Mean-Variance (MV), perlu menggunakan estimasi robust. Data penelitian menggunakan closing price bulanan dari saham-saham yang konsisten selalu masuk ke dalam kelompok Jakarta Islamic Index (JII) periode Januari 2019 – Juni 2023. Tahap awal analisis menggunakan teknik klastering metode K-Medoids berdasarkan pada nilai expected return dan risiko. Klasterisasi dilakukan untuk menghemat waktu dan menekan biaya manajemen portofolio. Hasil analisis klaster menciptakan dua klaster. Saham INCO dan ADRO mewakili klaster pertama, dan saham KLBF dan AKRA mewakili klaster kedua. Keempat saham representasi tersebut dibentuk portofolio MV robust S dan portofolio MV robust Constrained-M (CM). Kinerja portofolio diukur menggunakan sharpe ratio. Hasil analisis menunjukkan bahwa kinerja model portofolio robust MV estimasi Constrained-M (CM) mengungguli kinerja model portofolio robust MV estimasi S. ABSTRACT A portfolio is an assortment of several items. The goal of portfolio construction is to get the maximum return at the least amount of risk. Robust estimate is a means to mitigate the sensitivity of the Mean-Variance (MV) model portfolio to outliers. The research data uses monthly closing prices of stocks that are consistently included in the Jakarta Islamic Index (JII) group for the period January 2019 - June 2023. The initial stage of analysis uses the K-Medoids method clustering technique based on the expected return and risk values. The purpose of the clustering is for time efficiency and to reduce the amount of costs in managing the portfolio. The results of the cluster analysis formed two clusters, where the first cluster is represented by INCO and ADRO stocks. While the second cluster is represented by KLBF dan AKRA stocks. The four representative stocks are formed MV robust S portfolio and MV robust Constrained-M (CM) portfolio. Portfolio performance is measured using the sharpe ratio. According to the analysis's findings, the Constrained-M (CM) estimation MV robust portfolio model performs better than the S estimation MV robust portfolio model.
Co-Authors Abdurakhman Abdurakhman Akhmad Fauzy Anatansyah Ayomi Anandari Anatansyah Ayomi Anandari Atika Oktavia Cindy Caroline Dedi Rosadi Eka Nur Vanti Ira Setyaningsih Ira Setyawati Jana, Padrul Luh Putu Ratna Sundari Mohd. Rizam Abu Bakar Muhammad Wakhid Musthofa Noor Saif Muhammad Mussafi Pipit Pratiwi Rahayu PRAMONO, YUDA EKA Riska Yulianti Rochmiyani, Fitri Sri Puji Lestari Vanti, Eka Nur Veladita Apriyanti Wahyu Suryadi Suryadi Widiawati, Alfina Viona Isabela Yogi Anggara Zain, Zuva Amalina