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ESTIMASI RISIKO PORTOFOLIO SAHAM PERUSAHAAN PERKEBUNAN DI BURSA EFEK INDONESIA MENGGUNAKAN VALUE AT RISK NON-NORMAL Aulia Ikhsan; Tatang Sutisna; Siti Widiati
Jurnal Gaussian Vol 12, No 1 (2023): 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.12.1.146-158

Abstract

Stock investment portfolio aims to minimize the investment risk. However, problems of the portfolio formation are determining funds allocation for each stock and measuring its risk. Fund allocation is determined using the Mean-Variance Efficient Portfolio method, while risk measurement is carried out using Value at Risk (VaR). Nevertheless, problem on VaR is determining a fit distribution which would be involved to obtain quantile values at certain probability. This study discusses way of funds allocation determination and VaR value calculation that is aimed to analyze their impact in estimating the VaR value. The study used stock price return rate data of plantation companies listed on Indonesia Stock Exchange such as Astra Agro Lestari Tbk. (AALI), BISI International Tbk. (BISI), and PP London Sumatra Indonesia Tbk. (LSIP). The result showed BISI stock has high volatility so that its funds allocation is relatively smaller. The distribution identified for portfolio return rate is Logistics Distribution with the estimated parameters  0.0001187447 and 0.008810698. Portfolio VaR value at the 95% confidence level is -0.02582382. We conclude the determination of funds allocation does not minimize risk and the calculation of VaR with distributions do not match the data result a relatively higher VaR value.
Analysis of Oil Palm Farmer Households Food Security and Nutrition Based on the Share of Food Expenditures and Energy Consumption Siti Widiati; Tatang Sutisna; Aulia Ikhsan; Suherman Suherman
Journal of Nutrition Science Vol 4, No 1 (2023): May, 2023
Publisher : Universitas Teuku Umar

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35308/jns.v4i1.7647

Abstract

Compared to farmers who cultivate food and horticultural commodities, oil palm farmers have different business characteristics and incomes. The income of the oil palm farming farmer will affect the food security of the farmer's household family. This study aims to determine the level of food security in the households of smallholder oil palm plantation farmers through a review of the share of food expenditure as well as energy adequacy and minimum energy consumption per capita. The research uses a quantitative descriptive method using structured interview data collection techniques and survey techniques. The respondents were oil palm farmer households who joined oil palm farmer groups in Cipuendeuy Village, Malingping District, Lebak Regency, Banten Province. Quantitative data analysis uses analysis of the Adequacy of Energy Rate (AKE) and Adequacy of Protein (AKP), to analyze the level of household food security. Analysis of the share of food expenditure showed the largest food expenditure of households of oil palm farmers was allocated for grains as much as 31.3%, while the smallest food expenditure was tubers at 1.59%. Based on the share of food expenditure, households of oil palm farmers are in a food secure condition, with 75% of households with a share of food expenditure <60%. The average household energy consumption of oil palm farmers is 1,707.39 kcal per capita/day with a household energy adequacy level of 83.79%. The average protein consumption per capita/day is 80.79 grams with a protein adequacy level of 80.63%. Analysis of the level of food security shows that 41.66% of households are at the level of food secure, 33% are at the level of food insecure, 8.33 are at the level of food vulnerability and 16.66% of households are food insecure.