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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 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
Departemen Matematika, Fakultas MIPA, Universitas Padjadjaran
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Calculation of Rice Farming Insurance Premium Price in Magelang City Based on Rainfall Index with Black-Scholes Method Raharjanti, Amalia; Riaman, Riaman; Sukono, Sukono
International Journal of Business, Economics, and Social Development Vol. 5 No. 1 (2024)
Publisher : Rescollacom (Research Collaborations Community)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijbesd.v5i1.581

Abstract

Indonesia is a country with two seasons, the rainy season and the dry season. Unstable rainfall can affect rice production and may cause crop failure. The amount of rice production in Indonesia, one of which is in Magelang City, is quite large, so the losses that may be experienced are quite significant. Therefore, a way to reduce the impact of losses experienced by farmers is needed, one of which is through the rice farming insurance program. The purpose of this study is to determine the premium price of rice farming insurance based on rainfall index based on the exit value and trigger value in each growing season. Insurance using the rainfall index can provide protection to farmers due to too little rainfall or too much rainfall. Too much rainfall can cause damage to rice plants resulting in crop failure. The premium calculation method uses the Black-Scholes principle, while the exit value and trigger value are determined by the Historical Burn Analysis method. The result of this study is to obtain various trigger values and exit values as well as premiums that must be paid by farmers in each normal, high, and low (dry) rainfall condition. This value determines the premium price obtained for normal rainfall which is IDR 735,739.66 to IDR 871,698.64, for high rainfall the premium price obtained is IDR 1,404,184.75 to IDR 1,643,307.75, and for low rainfall (dry season) it is IDR 5,541,806.10 to IDR 6,689,629.88. 
Investment Portfolio Optimization Using Black-Litterman Model in Smart Carbon Economy Transition Kahar, Ramadhina Hardiva; Riaman, Riaman; Sukono, Sukono
International Journal of Business, Economics, and Social Development Vol. 5 No. 1 (2024)
Publisher : Rescollacom (Research Collaborations Community)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijbesd.v5i1.582

Abstract

An optimal investment portfolio needs to be formed before an investor invests because it can help investors determine which financial instruments are suitable to choose in order to get the maximum return or profit and the minimum level of risk. In the current situation, where there is an economic transition to a smart carbon economy or low carbon economy, it is necessary to form the optimal portfolio of stocks to facilitate investors in making investments. The purpose of this study is to form the optimal investment portfolio using the Black-Litterman model in a smart carbon economy. The data used is stock data from 24 companies listed on the LQ45 Low Carbon Leaders index for the period 2022-2023. Based on the research results, the Black-Litterman model generates the optimal portfolio with a 0.1% expected return. Thus, the optimal portfolio results with the Black-Litterman model are estimated to generate a profit of 0.1% for smart carbon stock data listed on the LQ45 Low Carbon Leaders index for the 2022-2023 period.
Optimal Stock Portfolio Analysis using Mean-Value at Risk (Mean-VaR) under Arbitrage Pricing Theory (APT) Banowati, Puspa Dwi Ayu; Subartini, Betty; Sukono, Sukono
International Journal of Business, Economics, and Social Development Vol. 5 No. 1 (2024)
Publisher : Rescollacom (Research Collaborations Community)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijbesd.v5i1.584

Abstract

Investing in Sharia-compliant stocks is one of the rapidly growing investment options, making it a potential choice for investors' portfolios. Therefore, investors need to understand how to select an optimal composition of stocks in their portfolio. This research aims to calculate the expected return on Sharia-compliant stocks and determine the optimal portfolio. The data used in this study includes stocks within the Indonesian Sharia Stock Index (ISSI) in the energy and mining sectors from November 1, 2022, to October 30, 2023. The analytical models employed are the Arbitrage Pricing Theory (APT) and Mean-Value at Risk (Mean-VaR). Based on the research findings, seven stocks form the composition of the optimal stock portfolio. These stocks are AKRA, ANTM, PGAS, INCO, INDY, PTBA, and MDKA, with weights of 20.54%, 19.58%, 19.02%, 14.24%, 10.97%, 8.00%, and 7.66%, respectively. The expected return for the investor is 0.13% per day, with a corresponding risk of 0.23%.
Investment Portfolio Optimization of Mean-Entropic-VaR Model on the Top Ten Stocks from LQ45 in the Indonesian Capital Market Suhaimi, Nurnisaa binti Abdullah; Napitupulu, Herlina; Sukono, Sukono
CAUCHY: Jurnal Matematika Murni dan Aplikasi Vol 10, No 1 (2025): CAUCHY: JURNAL MATEMATIKA MURNI DAN APLIKASI
Publisher : Mathematics Department, Universitas Islam Negeri Maulana Malik Ibrahim Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18860/cauchy.v10i1.30794

Abstract

In an investment portfolio, investors certainly choose a portfolio according to their preferences for return and risk. The problem is the allocation of investment weights in forming a portfolio, if the risk is in the form of Entropic-Value-at-Risk (EVaR). The purpose of this study is to determine the allocation of investment weights that maximize returns and minimize portfolio risk. The method used in this study is through investment portfolio optimization in the form of Mean-EVaR. The stages carried out are selecting the ten best stocks in the LQ45 index, estimating and testing the suitability of the return distribution, determining expectations, variance and covariance between stock returns, and optimizing the allocation of investment portfolio weights using the Mean-EVaR model. Based on the results of the analysis, it was obtained that the optimal portfolio weight allocation is 0.01073, 0.23284, 0.04617, 0.08052, 0.00470, 0.09021, 0.14669, 0.00427, 0.22672 and 0.15715, to be allocated successively to the stocks ACES, BBRI, EXCEL, ITMG, PTBA, ADRO, BBTN, GGRM, KLBF and AKRA. In this optimal portfolio, the average portfolio return is obtained at 0.00055 with an EVaR risk of 0.01632. It is hoped that the results of this study can provide a significant contribution to investors in making investments, especially in the ten stocks analyzed.
Mean-Variance Portfolio Optimization with Lot Size Constraints in Energy Stocks: A Monte CarloApproach Vimelia, Willen; Riaman, Riaman; Sukono, Sukono
CAUCHY: Jurnal Matematika Murni dan Aplikasi Vol 10, No 1 (2025): CAUCHY: JURNAL MATEMATIKA MURNI DAN APLIKASI
Publisher : Mathematics Department, Universitas Islam Negeri Maulana Malik Ibrahim Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18860/cauchy.v10i1.32159

Abstract

Stock investment requires portfolio optimization strategies that maximize returns and consider risks and practical constraints, such as target lot sizes. These constraints are crucial to ensuring the realistic implementation of portfolios in compliance with market regulations, particularly in Indonesia, where 1 lot equals 100 shares. However, existing research on the Mean-Variance model and Monte Carlo simulation has rarely incorporated target lot constraints, limiting the applicability of these models in real-world scenarios. To bridge this gap, this study conducts a systematic literature review (SLR) on portfolio optimization in Indonesia's energy sector stocks, focusing on the Mean-Variance model, risk aversion, Monte Carlo simulation, and target lot constraints. The PRISMA framework guides this SLR, with bibliometric analysis performed using RStudio. A rigorous selection process from Scopus and ScienceDirect databases yielded 13 relevant articles for in-depth analysis creates a more practical and effective approach to portfolio management. This advancement enables investors to achieve balanced portfolios that are both theoretically robust and feasible in practice. The study contributes significantly to optimizing investment strategies for Indonesia’s energy sector and opens avenues for further research into practical portfolio optimization methods.
Systematic Literature Review (SLR) on Annuity Modeling of Plantation Replanting Cost Reserves Based on the Cobb-Douglas Model Fasa, Rayyan Al Muddatstsir; Napitupulu, Herlina; Sukono, Sukono
CAUCHY: Jurnal Matematika Murni dan Aplikasi Vol 9, No 1 (2024): CAUCHY: JURNAL MATEMATIKA MURNI DAN APLIKASI
Publisher : Mathematics Department, Universitas Islam Negeri Maulana Malik Ibrahim Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18860/ca.v9i1.25831

Abstract

Annuity is a financial concept that involves a series of periodic payments or receipts. In oil palm plantation management, the annuity concept is adapted to model and estimate the reserves required for replanting costs over time. The Cobb-Douglas model is a model that considers the contribution of various factors in the production process. This model can be used to estimate the income of plantations. This study discusses the Systematic Literature Review on Annuity Modeling of Plantation Replanting Cost Reserves through the application of the Cobb-Douglas Model using the Reporting Method of Choice for Systematic Review and Meta-Analysis (PRISMA) method. The study systematically collected and analyzed relevant literature from Scopus, Science Direct, Dimensions, and SAGE databases. The review followed a structured methodology that included four main stages: Identification, Screening, Eligibility, and Inclusion. Analysis was conducted on the datasets obtained at the Eligibility and Inclusion stages. Statistical techniques facilitated by the "bibliometrix" package in RStudio software were used to process the findings. In addition, the results can be accessed through the "biblioshiny ()" command, allowing easy access through a web interface for in-depth exploration. Based on the inclusion and exclusion criteria carried out in this study, it can be concluded that there is no research that discusses the topic of annuity modeling of plantation replanting cost reserves using the Cobb-Douglas model specifically. This can be further research on this topic. 
Optimization Modeling of Investment Portfolios Using The Mean-VaR Method with Target Return and ARIMA-GARCH Yasmin, Arla Aglia; Riaman, Riaman; Sukono, Sukono
CAUCHY: Jurnal Matematika Murni dan Aplikasi Vol 10, No 1 (2025): CAUCHY: JURNAL MATEMATIKA MURNI DAN APLIKASI
Publisher : Mathematics Department, Universitas Islam Negeri Maulana Malik Ibrahim Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18860/cauchy.v10i1.30042

Abstract

This research develops a portfolio optimization model using the Mean-Value at Risk (Mean-VaR) approach with a target return constraint, addressing the gap in models that specific return objectives. The ARIMA-GARCH model is utilized to predict stock returns and volatility, offering precise inputs for optimization. By applying the Lagrange method and Kuhn-Tucker conditions, the model determines optimal portfolio weights that balance risk and return. Using data from infrastructure stocks on the Indonesia Stock Exchange (January 2019-September 2024), the model’s effectiveness is validated through numerical simulations. The results illustrate efficient frontiers for target returns of 5x10^-6, 0.001, and 0.0019, revealing that higher return targets proportionally increase risk. ARIMA-GACRH’s advantage lies in its ability to capture both mean and variance dynamics, ensuring reliable volatility estimates for informed decision-making. This study contributes to portfolio optimization literature by emphasizing target return constraints and demonstrating the practical utility of volatility modeling. The findings provide a robust framework for investors to align portfolios with financial goals and risk tolerance. Future work could explore broader market contexts or integrated additional constraints for enhanced applicability.
Training on Economic Empowerment for Fishermen Community in Ambulu Village, Losari Sub-District, Cirebon Regency, West Java, Indonesia Sukono, Sukono; Riaman, Riaman; Hasbullah, Soeryana
International Journal of Ethno-Sciences and Education Research Vol. 1 No. 2 (2021): International Journal of Ethno-Sciences and Education Research (IJEER)
Publisher : Research Collaboration Community (Rescollacom)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijeer.v1i2.122

Abstract

The welfare of fishermen in Indonesia is still very low and many of them have not been able to meet their family's daily needs. This is caused by various factors that affect their economic condition. This paper aims to conduct economic empowerment training for fisheries communities in Ambulu Village, Losari District, Cirebon Regency, West Java, Indonesia. In this study, 115 respondents Ambulu village fishermen are included in the study. The reviewed factors include social factors, work system factors, and economic factors themselves in meet the needs of fishermen's family. As much as 79.13% of respondents were able to meet their daily needs, while 20.87% were unable to meet their daily needs. This shows that other efforts are needed from fishermen to fulfil their daily needs in order to improve their welfare.
Determination of Missing Digit on the Year Number of Prasasti Sirah Keting Prabowo, Agung; Sukono, Sukono
International Journal of Ethno-Sciences and Education Research Vol. 1 No. 2 (2021): International Journal of Ethno-Sciences and Education Research (IJEER)
Publisher : Research Collaboration Community (Rescollacom)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijeer.v1i2.123

Abstract

In writing the inscription, several things need to be considered, one of which is the number of years. One example of an inscription that engraves the number of years up to thousands is the Sirah Keting Inscription. The condition of the inscription when it was found was worn, including the year number. According to J. L. A. Brandes and W. F. Stutterheim, the Sirah Kĕting inscription dates to 1026 Śaka, while according to the reading of Louis-Charles Damais, the year number is 1126 Śaka. The correctness of the differences in the reading of the number of years can be traced by using the Bratakesawa Tabulation, Damais Tabulation, Zeller Formual, and Sivaraman Formula. The four methods used gave the same results. The missing number in the hundreds position is 1 so that the number of years inscribed on the Sirah Keting Inscription is 1126 Saka or 1204 AD.
Study on Structural Equation Modeling for Analyzing Data Khairi, M. Ihsan; Susanti, Dwi; Sukono, Sukono
International Journal of Ethno-Sciences and Education Research Vol. 1 No. 3 (2021): International Journal of Ethno-Sciences and Education Research (IJEER)
Publisher : Research Collaboration Community (Rescollacom)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijeer.v1i3.295

Abstract

Structural Equation Model (SEM) is a combination of two separate statistical methods, namely factor analysis developed in psychology and psychometry and simultaneous equation model developed in econometrics. Factor analysis was first introduced by Galton in 1869 and Pearson (Pearson and Lee, 1904). Spearman's (1904) research is the development of a general factor analysis model in his research relating to the structure of mental abilities, Spearman stated that the intercorrelation test between mental abilities can determine general ability factors and special ability factors. SEM is a combination of factor analysis and path analysis into one comprehensive statistical method. Path analysis itself is the forerunner of the structural equation of Sewwl Wright's research in the field of biometrics. Wright's contribution is to be able to show that the correlation between variables is related to the parameters of a model described by a path (path diagram). In SEM there are 2 variables, namely latent variables (exogenous and endogenous) and indicator variables. SEM has 2 equation models, namely the measurement equation model and the structural equation model. SEM also has 2 errors, namely the error for the measurement equation model and the error for the structural equation model. In general, SEM is formed from the relationship between latent variables and their respective indicator variables. To test whether the existing indicator variables are valid indicators for measuring the latent construct, Confirmatory Factor Analysis (CFA) is used. Data analysis with SEM must meet the existing SEM assumptions. The model feasibility test is carried out based on the goodness of fit criteria. The stages in SEM analysis are theoretical model development, flow chart drawing, flow chart conversion into equation form, input matrix and model parameter estimation techniques, model problem identification, evacuating model parameter estimates, model interpretation and model modification.
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 Alem Huga Martono Amalia, Hana Safrina Amitarwati, Diah Paramita Anastasia Audrey Wijaya Apipah Jahira, Juwita Arla Aglia Yasmin Asep K Supriatna Asep Saepulrohman Asep Solih Awalluddin, Asep Solih Asri Rula Hanifah Aulia Kirana Aulya Putri Ayyinah Nur Bayyinah Aziza Ayu Nurjannah Azizah Rini Widyani Bakti Siregar Banowati, Puspa Dwi Ayu Basuki , Basuki Basuki Bayyinah, Ayyinah Nur Betty Subartini Betty Subartini 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 Dihna, Elza Rahma Dini Aulia Dwi Susanti Dwi Susanti Dwi Susanti Dwi Susanti Dwi Susanti Dwi Susanti Eddy Djauhari Edi Kurniadi Edi Kurniadi Ema Carnia Emah Suryamah, Emah Eman Lesmana Endang Rusyaman Endang Soeryana Hasbullah Estu Putri Dianti Fadia Irsya Septiana 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 Hana Safrina Amalia Haq, Fadiah Hasna Nadiatul Hasbullah, Soeryana Hasriati Hasriati Hazelino Rafi Pradaswara Herlina Napitupulu Hidayana, Rizki Apriva Himda Anataya Nurdyah Ibrahim M Sulaiman Ihda Hasbiyati Iin Irianingsih Ira Sumiati Ismail Bin Mohd Januaviani, Trisha Magdalena Adelheid Jehan Rizky Faustina Hartono Jessica Novia Sitepu Jessica Sie Jumadil Saputra Jumadil Saputra Kahar, Ramadhina Hardiva kalfin Kalfin Kalfin, Kalfin Katherine Liora Carissa Khairi, M. Ihsan Kirana Fara Labitta Labitta, Kirana Fara Laksito, Grida Saktian Linda Damayanti Putri Lutfi Praditia Ma’mur M. Ihsan Khairi Maraya, Nisrina Salsabila Maudy Afifah Audina Maulana Malik Maulida, Ghafira Nur Ma’mur, Lutfi Praditia Melina Melina Mochamad Suyudi Mohamad Nurdin, Dadang Muhammad Arief Budiman Muhammad Arief Budiman Muhammad Iqbal Al-Banna Ismail Mustafa Mamat Mustafa Mamat Mustafa Mamat Mustafa Mamat Mustafa Mamat Nabilla, Ulya Nadia Putri Riadi Nahda Nabiilah Naia Rafida Mumtaz Nisrina Salsabila Maraya 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 Popy Febrianty Priyatna, Yayat Puspa Liza Ghazali Putri, Aulya Putri, Linda Damayanti Putri, Sherina Anugerah Raharjanti, Amalia Rahman, Rezki Aulia Ramdhania, Tya Shafa Ratih Kusumadewi Rayyan Al Muddatstsir Fasa Riadi, Nadia Putri Riaman Riaman Riaman Riaman Rini Cahyandari Riza Adrian Ibrahim Rosadi, D. - Ruben Clynton Oey 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 Novi Elizabeth Sianturi 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 Titi Purwandari Titin Herawati Umar A Omesa Valentina Adimurti Kusumaningtyas Verrany, Maria Jatu Vimelia, Willen Wahid, Alim Jaizul Wan Muhamad Amir W Ahmad Waway Tiswaya Widyani, Azizah Rini Wiliya Wiliya Willen Vimelia 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