Article Per Year (5 Year)
p-Index From 2021 - 2026
13.246
P-Index
This Author published in this journals
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
Religion Agriculture, Biological Sciences & Forestry Humanities Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Chemistry Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Immunology & microbiology Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Materials Science & Nanotechnology Mathematics Mechanical Engineering Physics Social Sciences Transportation Veterinary Other

Published : 142 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 142 Documents
Search

 10   11   12   13   14 
Investment Portfolio Optimization in Renewable Energy Stocks in Indonesia Using Mean-Variance Risk Aversion Model Vimelia, Willen; Riaman, Riaman; Sukono, Sukono
International Journal of Quantitative Research and Modeling Vol. 5 No. 1 (2024)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v5i1.601

Abstract

Climate change is a phenomenon that has been occurring for quite some time. However, the increasingly felt impacts of climate change necessitate human action to mitigate these effects. One way to address this issue is by transitioning from conventional or non-renewable energy sources to renewable energy. This step undoubtedly has implications for various aspects, such as investments. Naturally, investors are beginning to turn their attention to the field of renewable energy as a new target. Investments are inherently associated with risks and returns One approach to maximizing returns is through portfolio optimization. One well-known method in portfolio optimization is the Mean-Variance method, also known as the Markowitz method, as it was first introduced by Harry Markowitz. In this research, an optimal portfolio is generated with weights of 0.1470 for ADRO; 0.1939 for MEDC; 0.2143 for ITMG and 0.4449 for RAJA. With this composition of optimal portfolio weights, the expected return is obtained at 0.002252, and the return variance is 0.000496.
Investment Portfolio Optimization In Infrastructure Stocks Using The Mean-VaR Risk Tolerance Model Yasmin, Arla Aglia; Riaman, Riaman; Sukono, Sukono
International Journal of Quantitative Research and Modeling Vol. 5 No. 1 (2024)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v5i1.602

Abstract

Infrastructure a crucial role in economic development and the achievement of Sustainable Development Goals (SDGs), with investment being a key activity supporting this. Investment involves the allocation of assets with the expectation of gaining profit with minimal risk, making the selection of optimal investment portfolios crucial for investors. Therefore, the aim of this research is to identify the optimal portfolio in infrastructure stocks using the Mean-VaR model. Through portfolio analysis, this study addresses two main issues: determining the optimal allocation for each infrastructure stock and formulating an optimal stock investment portfolio while minimizing risk and maximizing return. The methodology employed in this research is the Mean-VaR approach, which combines the advantages of Value at Risk (VaR) in risk measurement with consideration of return expectations. The findings indicate that eight infrastructure stocks meet the criteria for forming an optimal portfolio. The proportion of each stock in the optimal portfolio is as follows: ISAT (2.74%), TLKM (33.894%), JSMR (3.343%), BALI (0.102%), IPCC (5.044%), KEEN (14.792%), PTPW (25.863%), and AKRA (14.219%). The results of this study can serve as a foundation for better investment decision-making.
Analysis Volatility Spillover of Stock Index in ASEAN (Case Study: Indonesia, Singapore, Malaysia) Labitta, Kirana Fara; Susanti, Dwi; Sukono, Sukono
International Journal of Quantitative Research and Modeling Vol. 5 No. 1 (2024)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v5i1.603

Abstract

Every country has its own income, including ASEAN countries such as Indonesia, Singapore, and Malaysia. One source of national income can come from stocks, which can be measured by the stock index. The income of each country depends on each other and can be influenced by a phenomenon, such as the Covid-19 pandemic. The Covid-19 pandemic can also cause volatility spillover. This research aims to analyze volatility spillover in ASEAN countries (Indonesia, Singapore, and Malaysia) before and during Covid-19 by looking at the effects of asymmetric volatility. Volatility spillover testing in this study uses the Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model, starting with creating a time series model and then modeling the residuals from that model, then finding the estimated parameter results of asymmetric volatility effects. The results of this study indicate that during the period before Covid-19, there is volatility spillover for Indonesia and Malaysia. Then, during the Covid-19 period, there is volatility spillover for Indonesia and Malaysia, for Indonesia and Singapore, and for Singapore and Malaysia.
Optimal Portfolio Using Roy’s Safety-First Method on Primary Consumer Goods Sector Stocks Dianti, Estu Putri; Riaman, Riaman; Sukono, Sukono
International Journal of Quantitative Research and Modeling Vol. 5 No. 1 (2024)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v5i1.641

Abstract

Before carrying out investment activities, investors need to form an optimal investment portfolio. This study aims to form an optimal portfolio in primary consumer goods sector stocks that sell the basic needs of the community so that stocks in the sector tend to be stable. The method used in forming the optimal portfolio is Roy's Safety-first method. The portfolio formed produces 6 combinations of stocks consisting of WIIM, DSNG, MRAT, CAMP, SIMP, and MBTO stocks respectively with a proportion of funds of 44.05%, 16.38%, 18.61%, 15.06%, 4.32%, and 1.59% with an expected return portfolio of 3.10% and a portfolio risk of 1.65%.
Prediction of Motor Vehicle Insurance Claims Using ARMA-GARCH and ARIMA-GARCH Models Maraya, Nisrina Salsabila; Susanti, Dwi; Sukono, Sukono
International Journal of Quantitative Research and Modeling Vol. 5 No. 2 (2024)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v5i2.672

Abstract

Motorized vehicles are one of the means of transportation used by Indonesian people. As of 2021, the Central Statistics Agency (BPS) recorded the growth of motorized vehicles in Indonesia reaching 141,992,573 vehicles. Lack of control over the number of motorized vehicles results in losses for various parties, such as accidents, damage and other unwanted losses. The size of insurance claims has the potential to fluctuate, because it is influenced by several factors, such as policy changes, market conditions and economic conditions. This research aims to predict the size of motor vehicle insurance claims using the ARMA-GARCH model which is used to predict the size of vehicle insurance claims by dealing with non-stationarity and heteroscedasticity in time series data. Based on research, the best model obtained is the ARMA(3,3)-GARCH(1,0) model which produces nine significant parameters. Meanwhile, based on the MAPE value, it shows that the ARMA(3,3)-GARCH(1,0) model is quite accurate. The results of this research can be taken into consideration in predicting the size of insurance claims in the future.
Based Stock Valuation Analysis on Fuzzy Logic for Investment Selection (Case Study: PT. XL Axiata Tbk. and PT. Telkom Indonesia Tbk.) Audina, Maudy Afifah; Susanti, Dwi; Sukono, Sukono
International Journal of Quantitative Research and Modeling Vol. 5 No. 2 (2024)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v5i2.673

Abstract

The stock value of a company fluctuates with capital market conditions, requiring investors to consider various factors for precise investment decisions. Stock valuation determines the fair price of a company's stock, guiding buying and selling transactions. This research uses Discounted Cash Flow (DCF), Price to Earnings (P/E), and Enterprise Value to EBITDA (EV/EBITDA) to ascertain fair stock prices, integrating results with Mamdani fuzzy logic to determine investment weights. The result of this research is that both EXCL and TLKM hold significant weight in the investment portfolio with TLKM has slightly higher stock weight than EXCL. This suggests TLKM offers more potential for profitable future investments. Investors can use these results in portfolio management for investment selection
Forecasting Indonesian Stock Index Using ARMA-GARCH Model Susanti, Dwi; Labitta, Kirana Fara; Sukono, Sukono
International Journal of Quantitative Research and Modeling Vol. 5 No. 2 (2024)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v5i2.686

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. This research aims to predict the Indonesian stock index in the before and during Covid-19 period, using ARMA-GARCH time series model. According to the results obtained for before Covid-19 data, the best predictive model is the ARMA(0,2)-GARCH(1,0), and for the data during Covid-19, it is ARMA(3,3)-GARCH(3,3). Since the MAE is close to zero, it indicates that the model is quite accurate. These findings can help investors make better investment decisions in the future.
Actuarial Pension Fund Using the Projected Unit Credit (PUC) Method: Case Study at PT Taspen Cirebon Branch Office Amalia, Hana Safrina; Subartini, Betty; Sukono, Sukono
International Journal of Quantitative Research and Modeling Vol. 5 No. 3 (2024)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v5i3.745

Abstract

The pension fund program is a program held by the government to ensure the welfare of Civil Servants (PNS) in retirement as old-age security. The pension program for civil servants is managed by a pension fund, PT Taspen (Persero). Actuarial calculations of pension funds need to be carried out to determine the amount of normal contributions and actuarial liabilities that must be paid by pension plan participants and companies. The actuarial calculation of pension funds used by PT Taspen in managing civil servant pension funds is the Accrued Benefit Cost which determines in advance the benefits that will be obtained by participants. The Projected Unit Credit (PUC) method is one part of the Accrued Benefit Cost. This study aims to determine normal contributions and actuarial liabilities using the Projected Unit Credit (PUC) method for civil servant pension program participants of PT Taspen (Persero) Cirebon Branch Office. The calculation results show that the PUC method provides a more accurate calculation of the estimated normal contributions and actuarial liabilities of the company. This study is expected to be a reference for other companies in managing employee pension funds using an actuarial approach.
Mean-Variance Optimal Portfolio Selection with Risk Aversion on Transportation and Logistics Sector Stocks Based on Multi-Criteria Decision-Making Putri, Aulya; Riaman, Riaman; Sukono, Sukono
International Journal of Quantitative Research and Modeling Vol. 6 No. 1 (2025)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v6i1.895

Abstract

The importance of the transportation and logistics sector to a country's economy, coupled with the growth of this sector in Indonesia, requires investment support for this sector to continue to grow. Therefore, stocks in the transportation and logistics sector are attractive for investment portfolio consideration. The optimal portfolio selection is to minimize the risk with the expected return. In the formation of an investment portfolio, the problem is how to determine the weight of capital allocation in order to get the maximum return while still considering the risk in each stock, by considering several criteria in decision making. This study was conducted to determine the best stock selection in the transportation and logistics sector listed on the Indonesia Stock Exchange, and determine the optimal weight in the investment portfolio. The method used is Multi-Criteria Decision Making (MCDM), namely Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) using 15 financial metrics as relevant criteria in stock selection. Furthermore, to determine the allocation weight to form an optimal stock portfolio using the Mean-Variance model with Risk Aversion. The stocks analyzed were 28 stocks in the transportation and logistics sector. The results of research based on MCDM selected 9 stocks, namely MITI, BIRD, HATM, TMAS, JAYA, PPGL, BPTR, ASSA, and RCCC. However, TMAS, PPGL, and BPTR stocks are not included in portfolio formation because they have a negative average return. Based on the optimization results, the allocation weights of the 6 stocks included in the optimal portfolio are BIRD (37.7%), JAYA (24.6%), MITI (12.9%), HATM (9.9%), ASSA (7.5%), and RCCC (7.4%). The results of this study are expected to be a consideration in making investment decisions.
Comparison of Stock Price Forecasting with ARIMA and Backpropagation Neural Network (Case Study: Telkom Indonesia) Carissa, Katherine Liora; Subartini, Betty; Sukono, Sukono
International Journal of Quantitative Research and Modeling Vol. 6 No. 1 (2025)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v6i1.896

Abstract

The growth of capital market investors in Indonesia is increasing every year. The most popular investment instrument is stocks. One of the stocks on the Indonesia Stock Exchange (IDX) is the Telkom Indonesia (TLKM). Through stock investment, investors can make a profit by utilizing stock prices in the market. However, stock price fluctuations are uncertain. Therefore, modeling is needed to be able to predict stock prices more accurately. The purpose of this study was to find an appropriate time series model and Neural Network model architecture, and to measure the accuracy of the two models in predicting future stock prices of TLKM. The study was conducted using the Autoregressive Integrated Moving Average (ARIMA) model and Backpropagation Neural Network (BPNN). For comparison, the Mean Absolute Percentage Error (MAPE) method was used. The data used in both models were the stock prices of Telkom Indonesia (TLKM) from September 1, 2023 to September 30, 2024. The result shows that the best ARIMA model, selected based on the least Akaike Information Criterion (AIC) value, is ARIMA(0,1,3) with a MAPE value of 1.20%. Meanwhile, the best BPNN model selected from the smallest testing Mean Squared Error (MSE) value, is BPNN(1,3,1) with a MAPE value of 1.17%. Among those two models, the BPNN model is more accurate because it has less MAPE value compared to the ARIMA one. The results of this research can be considered in forecasting TLKM stock price in the future.
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