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All Journal International Journal of Global Operations Research International Journal of Quantitative Research and Modeling International Journal of Mathematics, Statistics, and Computing
Putrie, Veronica Clasrissa
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Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Engineering Environmental Science Mathematics Physics

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Use of Constant Type Cost Prorate Method in Calculation of Actuarial Liability of Pension Funds Putrie, Veronica Clasrissa; Nurdyah, Himda Anataya
International Journal of Global Operations Research Vol. 5 No. 3 (2024): International Journal of Global Operations Research (IJGOR), August 2024
Publisher : iora

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/ijgor.v5i3.321

Abstract

The purpose of this study is to calculate the actuarial liability value of pension funds using the Constant Percent type Cost Prorate method. This method is a pension funding method that calculates pension benefits based on the employee's salary since he first entered work. The method in this study is used to calculate the amount of actuarial liabilities that must be issued by the company to employees at the time of normal retirement, namely 58 years. The data used is the data of a Civil Servant of the Social Service in DKI Jakarta who is 55 years old. Normal contributions and actuarial liabilities that must be prepared by pension companies for pension plan participants increase as the age of pension plan participants increases. Based on the calculation results, the accumulated actuarial liabilities that must be prepared by the pension plan company in 2020 are IDR 3,843,981,410. 
Investment Portfolio Optimization Using Mean-Variance Model With Data Envelopment Analysis (DEA) Approach on IDX30 Stocks Putrie, Veronica Clasrissa
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.v6i1.865

Abstract

Globalization and technological advancements are driving the importance of careful financial management, including in investments. Stocks have become a popular investment option as they offer potential profits from dividends and capital gains. However, the large selection of stocks in the Indonesian capital market, especially in the IDX30 index, makes investors face challenges in selecting efficient stocks and compiling optimal portfolios. Therefore, this research combines Data Envelopment Analysis (DEA) and Mean-Variance Model to screen efficient stocks and form an optimal investment portfolio. In this study, DEA is used to assess the efficiency of stocks based on company performance, while the Mean-Variance Model is used to determine the optimal weight in the portfolio by balancing risk and return. Of the 13 stocks analyzed, 9 efficient stocks were identified, namely ADRO, ASII, BBCA, BBNI, BBRI, INDF, KLBF, TLKM, and UNTR. The optimal portfolio is obtained with a risk tolerance value of 0.015, which results in an expected return of 0.00027711 and a variance of 0.00004396.
Stock Making Investment Decisions Using the Capital Asset Pricing Model (CAPM) Analysis of the Business Index-27 on the Indonesian Stock Exchange Putrie, Veronica Clasrissa; Anataya Nurdyah, Himda
International Journal of Mathematics, Statistics, and Computing Vol. 2 No. 3 (2024): International Journal of Mathematics, Statistics, and Computing
Publisher : Communication In Research And Publications

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijmsc.v2i3.119

Abstract

The purpose of this study is to measure the ability of the Capital Asset Princing Model (CPAM) in analyzing investment decision making by predicting the risk and return that will be obtained by investors and helping investors in choosing efficient and inefficient stocks. CAPM is a measuring tool that can be used to determine the level of risk and return obtained and evaluate the rate of return on investment. The purposive sampling technique is used in selecting samples to be used in the study, namely companies listed on the Indonesia Stock Exchange and their shares are consistently included in the Bisnis-27 stock index. The stock criteria used in selecting efficient stocks, namely when individual return results exceed the expected return. The results of this study indicate that there are 8 stocks that meet the efficiency criteria, namely ADRP, AKRA, AMRT, BBNI, BMRI, INKP, JSMR, and PGAS with individual returns results exceed the expected returns. In investment decisions, stocks that are included in these efficient stocks are the priority stocks that investors should buy. Based on the analysis, there is a non-linear relationship between systematic risk and expected stock returns, making an important contribution to investment decision making in the Indonesian stock market.
Investment Portfolio Optimization Using Mean-Variance Model With Data Envelopment Analysis (DEA) Approach on IDX30 Stocks Putrie, Veronica Clasrissa
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.v6i1.865

Abstract

Globalization and technological advancements are driving the importance of careful financial management, including in investments. Stocks have become a popular investment option as they offer potential profits from dividends and capital gains. However, the large selection of stocks in the Indonesian capital market, especially in the IDX30 index, makes investors face challenges in selecting efficient stocks and compiling optimal portfolios. Therefore, this research combines Data Envelopment Analysis (DEA) and Mean-Variance Model to screen efficient stocks and form an optimal investment portfolio. In this study, DEA is used to assess the efficiency of stocks based on company performance, while the Mean-Variance Model is used to determine the optimal weight in the portfolio by balancing risk and return. Of the 13 stocks analyzed, 9 efficient stocks were identified, namely ADRO, ASII, BBCA, BBNI, BBRI, INDF, KLBF, TLKM, and UNTR. The optimal portfolio is obtained with a risk tolerance value of 0.015, which results in an expected return of 0.00027711 and a variance of 0.00004396.
Co-Authors Anataya Nurdyah, Himda Nurdyah, Himda Anataya