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All Journal IAES International Journal of Artificial Intelligence (IJ-AI) ICMSA Jurnal Mitra Manajemen Applied Information System and Management International Journal of Supply Chain Management Data Science: Journal of Computing and Applied Informatics Jurnal Kajian Peradaban Islam Jurnal Kajian Peradaban Islam eProceedings of Engineering COUNT: Journal of Accounting, Business and Management
Anton Abdulbasah Kamil
Telkom University
Religion Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Engineering Environmental Science Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Mathematics Social Sciences Transportation

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Journal : icmsa

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THE DOWNSIDE RISK OPTIMAL PORTFOLIO SELECTION PROBLEM Anton Abdulbasah kamil et al.
Proceedings of ICMSA Vol 1, No 1 (2005): ICMSA 2005
Publisher : Proceedings of ICMSA

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Abstract

One of the basic problems of applied finance is the optimal selection ofstocks, with the aim of maximizing future returns and minimizing therisk using a specified risk aversion factor. Variance is used as the riskmeasure in classical Markowitz model, thus resulting in a quadraticprograrnming. As an altemative, mean absolute deviation was proposedas a risk measure to replace the original risk measure, variance. Thisproblem is a straight-forward extension of the classic Markowitz mean-varianceapproach and the optimal portfolio problem can be formulatedas a linear programming problem. Taking the downside risk as the riskleads to different optimal portfolio. The effect of using only downsiderisk on optimal portfolio is analyzed in this paper by taking the meanabsolute negative deviation as the risk measure. This method isapplied to the opimal selection of stocks listed in Bursa Malaysia andthe return of the optimal portfolio is compared to the classicalMarkowitz model and mean absolute deviation model. The result showthat the optimal portfolios using downside risk measure outperforms theother two models.Keywords;-Portfolio optimizatiorr, Linear Programming, Downside risk.
BARGAINING GAME AND EQUITY SHARING SYSTEM IN EMPLOYMENT PROBLEM Anton Abdulbasah Kamil
Proceedings of ICMSA Vol 1, No 1 (2005): ICMSA 2005
Publisher : Proceedings of ICMSA

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Abstract

Profit sharing has been proposed as a solution to underemploymentresulting from collective bargaining, but the empirical results areambiguous and the theoretical basis for this claim is weak. This papershows equity sharing can, in theory, solve the principle shortcomings ofprofit sharing. First, equity sharing can resolve both underemployment andover employment. Second, the results do not depend on assuming thatinsiders and the firm are prevented from bargaining over employmentlevel. Third the system does not require government intervention sinceboth sides can benefit from adopting equity sharing.Keywords: Bargaining game, profit sharing model, equity sharing.
Co-Authors Abdi Rahim Damanik Ajeng Kirana Kusumawardhani Al Khowarizmi Amelia Putri Anisa Dede Hertina Dwi Sela Tresnasari Efendi, Syahril Elsa Wahyu Harliana Endang Chumadiyah Endang Chumaidiyah Fajar Rizky Fernanda Farda Hasun Ferdinand J. Paraguas Husni Amani Juliana Juliana Kurjono, Kurjono Ma. Divina S. Paraguas Mardiani, Rika Mohamad Faisal Abdul Karim MOHD NAIN HJ. AWANG Nadia Utari Olorogun, Lukman Ayinde Ong Yih Ying R. Gobithasan Riki Winanjaya Samlawi, Faqih Watts, Michael J. Yana Setiawan