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All Journal EKSAKTA: Journal of Sciences and Data Analysis Media Statistika MATEMATIKA Bionatura Statistika CAUCHY: Jurnal Matematika Murni dan Aplikasi SEMIRATA 2015 Kubik JURNAL ILMU MANAJEMEN DAN BISNIS Jurnal Matematika Sains dan Teknologi Jurnal Teknik Industri: Jurnal Keilmuan dan Aplikasi Teknik Industri BAREKENG: Jurnal Ilmu Matematika dan Terapan Zero : Jurnal Sains, Matematika, dan Terapan Teorema: Teori dan Riset Matematika International Journal of Supply Chain Management Jambura Journal of Mathematics Komputasi: Jurnal Ilmiah Ilmu Komputer dan Matematika Jurnal Ilmiah Matematika dan Pendidikan Matematika (JMP) InPrime: Indonesian Journal Of Pure And Applied Mathematics SMART SPORT KUBIK: Jurnal Publikasi Ilmiah Matematika International Journal of Business, Economics, and Social Development International Journal of Research in Community Services Operations Research: International Conference Series International Journal of Global Operations Research International Journal of Quantitative Research and Modeling International Journal of Ethno-Sciences and Education Research Jurnal Matematika Integratif Agridev Journal : Agribusiness Digitalization & Community Development Mathematical Sciences and Applications Journal International Journal of Technology and Education Research Indonesian Actuarial Journal
Sukono Sukono
Jurusan Matematika, Fakultas Matematika Dan Ilmu Pengetahuan Alam, Universitas Padjadjaran, Bandung, Indonesia
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Journal : Operations Research: International Conference Series

 1   2 
Exploring Investment Decision-Making with CAPM: Case Studies on Ten Raw Materials Companies Listed in Stock Exchange Haq, Fadiah Hasna Nadiatul; Sukono, Sukono
Operations Research: International Conference Series Vol. 5 No. 1 (2024): Operations Research International Conference Series (ORICS), March 2024
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v5i1.294

Abstract

The investment business in Indonesia experienced significant growth in line with the increasing stock trading activity in the capital market. The large number of capital markets in Indonesia means investors have to be careful in determining the shares to be chosen. Based on transaction value, the raw materials sector is the second largest sector that supports the Indonesian capital market. Given the large number of issuers in the raw materials sector, determining investment portfolios is important to obtain optimal results. CAPM can classify stocks as efficient or not based on their expected return value. The results obtained can be used as a consideration in portfolio decision-making. This research identifies 10 stocks in the raw materials sector listed on the IDX. Of the 10 stocks studied, 8 are included in the efficient category, which has a greater return than expected, and 2 are included in the inefficient category. This means that investors who want to invest in raw materials can make a decision to buy these 8 stocks, and it is not recommended to buy shares in 2 inefficient category stocks or sell 2 stocks.
Estimated Value-at-Risk Using the ARIMA-GJR-GARCH Model on BBNI Stock Hidayana, Rizki Apriva; Napitupulu, Herlina; Sukono, Sukono
Operations Research: International Conference Series Vol. 5 No. 2 (2024): Operations Research International Conference Series (ORICS), June 2024
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v5i2.317

Abstract

Stocks are investment instruments that are much in demand by investors as a basis in financial storage. Return and risk are the most important things in investing. Return is a complete summary of investment and the return series is easier to handle than the price series. The movement of risk of loss is obtained from stock investments with profits. One way to calculate risk is value-at-risk. The movement of stocks is used to form a time series so that the calculation of risk can use time series. The purpose of this study was to find out the Value-at-Risk value of BBNI Shares using the ARIMA-GJR-GARCH model. The data used in this study was the daily closing price for 3 years. The time series method used is the model that will be used, namely the Autoregressive Integrated Moving Average (ARIMA)-Glosten Jagannathan Runkle - generalized autoregressive conditional heteroscedastic (GJR-GARCH) model. The stage of analysis is to determine the prediction of stock price movements using the ARIMA Model used for the mean model and the GJR-GARCH model is used for volatility models. The average value and variants obtained from the model are used to calculate value-at-risk in BBNI shares. The results obtained are the ARIMA(1,0,1)-GJR-GARCH(1.1) model and a significance level of 5% obtained value-at-risk of 0.0705.
Forecasting Indonesian Stock Index Using ARMA-GARCH Model Susanti, Dwi; Labitta, Kirana Fara; Sukono, Sukono
Operations Research: International Conference Series Vol. 5 No. 3 (2024): Operations Research International Conference Series (ORICS), September 2024
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v5i3.328

Abstract

The stock market is an institution that provides a facility for buying and selling stocks. Covid-19 is an issue that has affected the stock markets of many countries, including Indonesia. Due to the pandemic, the condition of stocks before and during Covid-19 is certainly different. Stocks can be measured using stock indices. To predict future stock conditions, it is necessary to forecast the stock index. Therefore, this research aims to forecast the Indonesian stock index before and during Covid-19 using the ARMA-GARCH time series model. The results show that the best forecasting model for before Covid-19 data is ARMA(0,2)-GARCH(1,0), and for the data during Covid-19, it is ARMA(3,3)-GARCH(3,3). These findings can help investors make better investment decisions in the future.
Actuarial Calculation of Pension Funds Using Attained Age Normal (AAN) at PT Taspen Cirebon Branch Office: For Normal Pension Amalia, Hana Safrina; Subartini, Betty; sukono, sukono
Operations Research: International Conference Series Vol. 5 No. 3 (2024): Operations Research International Conference Series (ORICS), September 2024
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v5i3.332

Abstract

The pension program for Civil Servants (PNS) in Indonesia is managed by PT Taspen (Persero), which is responsible for ensuring the welfare of employees after retirement. One of the important components in the management of this pension fund is the actuarial calculation, which serves to determine the amount of normal contributions that must be paid by participants and the actuarial obligations that are the company's dependents. This calculation uses the right actuarial method to maintain the financial stability of the company and ensure that pension benefits can be optimally provided to participants. This study focuses on the use of the Attained Age Normal (AAN) method in calculating pension funds for pension program participants at PT Taspen Cirebon Branch Office. In addition, this study also compares the results of the AAN method calculation with another method, namely Projected Unit Credit (PUC), to see the advantages and disadvantages of each method. The AAN method calculates liabilities based on the current age of the participant, thus providing more conservative results and tending to be stable in the long term. The results showed that the AAN method produced a higher total normal contribution compared to the PUC method. Normal contributions calculated by the AAN method for participants of the PT Taspen pension program at the Cirebon Branch Office showed an increase of 2,095,355.33 rupiah at the age of 32 years. On the other hand, the PUC method produces a lower normal contribution, which is 827,843.62 rupiah for the same age. In terms of actuarial obligations, the AAN method also shows a more significant increase than PUC. These results show that the AAN method is more stable in the calculation of actuarial liabilities, although it requires larger contributions. Thus, although the Attained Age Normal (AAN) method results in higher normal contributions, it provides better assurance in maintaining the company's financial balance in the long term. This study provides a recommendation that PT Taspen can consider the AAN method as a more conservative alternative in pension fund management.
Co-Authors Abdul Talib Bon Abiodun Ezekiel Owoyemi Achmad Bachrudin Adhitya Ronnie Effendie, Adhitya Ronnie Agung Prabowo Agung Prabowo Agung Prabowo Agus Santoso Agus Santoso Agus Sugandha Agustini Tripena Br Surbakti Aisyah Nurul Aini Amalia, Hana Safrina Amitarwati, Diah Paramita Apipah Jahira, Juwita Asep K Supriatna Asep Saepulrohman Asep Solih Awalluddin, Asep Solih Asri Rula Hanifah Audina, Maudy Afifah Aulia Kirana Aziza Ayu Nurjannah Bakti Siregar Banowati, Puspa Dwi Ayu Basuki , Basuki Basuki Bayyinah, Ayyinah Nur Betty Subartini Bimasota Aji Pamungkas bin Mamat, Mustafa Budi Pratikno Candra Budi Wijaya Carissa, Katherine Liora Dara Selvi Mariani Dedy Rosadi Dedy Rosadi Dewi Ratnasari DEWI RATNASARI Dhika Surya Pangestu Diah Chaerani Diah Paramita Amitarwati Diana Ekanurnia Dianti, Estu Putri Dihna, Elza Rahma Dini Aulia Dwi Susanti Dwi Susanti Dwi Susanti Dwi Susanti Dwi Susanti Dwi Susanti Eddy Djauhari Edi Kurniadi Ema Carnia Emah Suryamah, Emah Eman Lesmana Endang Rusyaman Endang Soeryana Hasbullah Fasa, Rayyan Al Muddatstsir Febrianty, Popy Firdaus, Muhammad Rayhan Forman Ivana S. S. S. Gani Gunawan Ghazali, Puspa Liza Grida Saktian Laksito Hadiana, Asep Id Haq, Fadiah Hasna Nadiatul Hasbullah, Soeryana Hasriati Hasriati Hazelino Rafi Pradaswara Herlina Napitupulu Herlina Napitupulu Hidayana, Rizki Apriva Ibrahim M Sulaiman Ihda Hasbiyati Iin Irianingsih Ira Sumiati Ismail Bin Mohd Januaviani, Trisha Magdalena Adelheid Jumadil Saputra Jumadil Saputra Kahar, Ramadhina Hardiva kalfin Kalfin Kalfin, Kalfin Khairi, M. Ihsan Labitta, Kirana Fara Laksito, Grida Saktian M. Ihsan Khairi Maraya, Nisrina Salsabila Maulana Malik Maulida, Ghafira Nur Ma’mur, Lutfi Praditia Melina Melina Mochamad Suyudi Mohamad Nurdin, Dadang Muhammad Arief Budiman Muhammad Iqbal Al-Banna Ismail Mustafa Mamat Mustafa Mamat Mustafa Mamat Mustafa Mamat Mustafa Mamat Nabilla, Ulya Nahda Nabiilah Nita Rulianah Noriszura Ismail Norizan Mohamed Novianti, Saqila Novieyanti, Lienda Novinta S, Fujika Novitasari, Ela Nugraha, Dwita Safira Nur Mahmudah Nurdyah, Himda Anataya Nurfadhlina Abdul Halim Nurul Fadilah Okta Yohandoko, Setyo Luthfi Pardede, Ester Priyatna, Yayat Puspa Liza Ghazali Putri, Aulya Putri, Linda Damayanti Putri, Sherina Anugerah Raharjanti, Amalia Rahman, Rezki Aulia Ramdhania, Tya Shafa Ratih Kusumadewi Riadi, Nadia Putri Riaman Riaman Riaman Riaman Riaman Riaman Riaman Riaman, Riaman Riaman, Riaman Rini Cahyandari Riza Adrian Ibrahim Rosadi, D. - Rulianah, Nita Saefullah, Rifki Salamiah, Mia Salih, Yasir Sampath, Sivaperumal Saputra, Jumadil Shindi Adha Gusliana Sianturi, Sri Novi Elizabeth Sisilia Sylviani Siti Sabariah Abas Soeryana Hasbullah Sri Purwani Stanley Pandu Dewanto Subanar - Subanar . Subanar Subanar Subiyanto Subiyanto Sudradjat Supian Suhaimi, Nurnisaa binti Abdullah Sulastri, S Sumiati, Ira Supian, Sudradjat Supriyanto Supriyanto Suroto Suroto Susanto, Sunarta Sutiono Mahdi Sutisna, Sarah Suyudi, Mochamad Suyudi, Mochammad T.P Nababan Tampubolon, Carlos Naek Tua Tika Fauzia Tiswaya, Waway Titi Purwandari Titin Herawati Umar A Omesa Valentina Adimurti Kusumaningtyas Verrany, Maria Jatu Vimelia, Willen Wahid, Alim Jaizul Wan Muhamad Amir W Ahmad Widyani, Azizah Rini Wiliya Wiliya Yasir Salih Yasmin, Arla Aglia Yhenis Apriliana Yulianus Brahmantyo Yulison Herry Chrisnanto Yuningsih, Siti Hadiaty Yuyun Hidayat Zahra, Ami Emelia Putri Zinedine Amalia Noor Mauludy Reihan