Article Per Year (5 Year)
p-Index From 2021 - 2026
3.069
P-Index
This Author published in this journals
All Journal Media Statistika Statistika Jurnal Gaussian MIX : Jurnal Ilmiah Manajemen Jurnal Kajian Akuntansi (JRAMB) Jurnal Riset Akuntansi Mercu Buana
Di Asih I Maruddani
Department Of Statistics, Faculty Of Science And Mathematics, Diponegoro University
Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Industrial & Manufacturing Engineering Mathematics Social Sciences Other

Published : 43 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 43 Documents
Search

 1   2   3   4   5 
ANALISIS KINERJA PORTOFOLIO SAHAM PADA INDEKS IDX30 DENGAN MEAN-SEMIVARIANCE MODEL Syafi’us Syuraihi; Nemat Mukti Putri; Nanda Rahma Feryansyah; Luwi Syaefihardiansyah; Faris Reza Hutama; Muhammad Hauzan Ariq; Di Asih I Maruddani
Jurnal Gaussian Vol 15, No 1 (2026): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.15.1.24-35

Abstract

Investment involves allocating funds to gain future profits, one way being the purchase of stocks representing company ownership. Investors seek high returns with low risk, but stock price fluctuations introduce risk. Diversification through a stock portfolio helps minimize this risk. The Mean Variance method by Markowitz in 1952 optimizes portfolios based on risk and return, but it assumes data must be normally distributed, often misaligned with financial data. This study adopts the Mean-Semivariance optimization method, which does not require normality assumptions and is more suitable for non-normal data. The study uses 6 stocks from the IDX30 index, to form 2 portfolios with 3 stocks each. The results show an optimal portfolio composed of BMRI stocks with a weight of 48,69%, PGEO stocks with a weight of 17,01%, and INKP stocks with a weight of 34,31%. This portfolio has a Sharpe index of 0,03985, indicating better risk optimization using the Mean-Semivariance method.
Seleksi Saham Papan Utama Berbasis Rasio Keuangan dan Expected Shortfall Menggunakan Promethee Serta Evaluasi Sharpe Ratio Di Asih I Maruddani; Rita Rahmawati
Jurnal Kajian Akuntansi Vol 9 No 1 (2025): JUNI 2025
Publisher : Universitas Swadaya Gunung Jati

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33603/jka.v9i1.11881

Abstract

The development of the Indonesian capital market requires stock selection methods that can comprehensively integrate financial statement information and market risk. Conventional approaches that rely on a single indicator are considered insufficient to capture the complexity of stock performance and risk. This study aims to select stocks in the Indonesian Main Board Index using the PROMETHEE method based on financial ratios and Expected Shortfall, and to evaluate risk–return efficiency using the Sharpe Ratio. This research adopts a quantitative approach using financial statement data for 2024 and daily stock price data from January 1 to December 31, 2025. The variables include liquidity, profitability, solvency, bankruptcy risk, stock return, and 95% Expected Shortfall. The results show that PROMETHEE is able to generate systematic stock rankings based on multi-criteria dominance, where stocks with the highest net flow exhibit better fundamental performance and lower extreme risk. However, further analysis reveals that stocks with the highest PROMETHEE rankings do not necessarily have the highest Sharpe Ratios, indicating differences in evaluation dimensions between the two methods. This study concludes that a two-stage approach PROMETHEE as an initial screening tool and the Sharpe Ratio as a subsequent evaluation provides more comprehensive insights for investment decision-making.
OPTIMASI PORTOFOLIO CAPITAL ASSET PRICING MODEL (CAPM) PADA INDEKS BISNIS-27 Aditya Fadillah Aridwianto; Dhelia Artasevia Artasevia; Najwa Mayang Vianisa; Syifa Gumay; Valentin Asman Lestari; Di Asih I Maruddani
Jurnal Gaussian Vol 14, No 2 (2025): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.14.2.547-553

Abstract

Stock efficiency analysis helps investors understand the intrinsic value of a stock and serves as a foundation for identifying risk factors and potential returns associated with it. This study evaluates stocks in the Business Index 27 from 22 Mei 2023 – 22 Mei 2024 by considering criteria such as positive returns, lowest correlation, and sectoral differences. Based on this evaluation, three stocks with efficient performance were selected: MEDC, BRPT, and JSMR. An optimal portfolio was formed by weighting these three stocks using the Capital Asset Pricing Model (CAPM) method, with weight proportions of MEDC at 23.3%, BRPT at 11.7%, and JSMR at 64.9%. Risk evaluation using the Historical Simulation method to calculate Value at Risk (VaR) indicates a potential loss of 10%. This study provides insights into identifying efficient stocks and forming an optimal portfolio, which can assist investors in making investment decisions in the Business Index 27.
Co-Authors Abdul Hoyyi Abdurakhman Abdurakhman Aditya Fadillah Aridwianto Agus Rusgiyono Ahmad Badruttamam Alifia Hana Linda Rachmawati Atikah Mufidah Budi Warsito Dede Andrianto Dedi Baleo Pasaribu Delsy Nurutsaniyah Desi Nur Rahma Dhelia Artasevia Artasevia Diah Safitri Dina Rahma Prihatiningsih Dwi Harti Pujiana Dwi Ispriyanti Eka Anisha Eny Sulistyowati Faris Reza Hutama Fatiya Nur Umma Fredy Yoseph Marianto Hanik Malikhatin Hasbi Yasin Hasbi Yasin Henny Setyowati Juria Ayu Handini Khoirul Anam Lina Tanasya Luwi Syaefihardiansyah Maria Odelia Mas'ad Mas'ad Meiliawati Aniska Mia Anastasia Sinulingga Muhammad Hauzan Ariq Mustafid Mustafid Mutik Dian Prabaning Tyas Najwa Mayang Vianisa Nanda Rahma Feryansyah Nemat Mukti Putri Nidaul Khoir Nur Fitriyah Nur Khofifah Purwati Ayuningtyas Puspita Kartikasari Puspita Kartikasari Putri Devitasari Reno Penggalih Surya Wardhani Reyuli Andespa Ria Epelina Situmorang Rita Rahmawati Rukun Santoso Salsabila Syifa Binsanno Setiani Setiani Sudarno Sudarno Sugito Sugito Suparti Suparti Syafi’us Syuraihi Syifa Gumay Tarno Tarno Tatik Widiharih Trimono Trimono Trimono, Trimono Tutut Dewi Astuti Tutut Dewi Astuti Valentin Asman Lestari Yustian Dwi Saputra