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All Journal CAUCHY: Jurnal Matematika Murni dan Aplikasi BAREKENG: Jurnal Ilmu Matematika dan Terapan International Journal of Quantitative Research and Modeling
Fasa, Rayyan Al Muddatstsir
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Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Energy Engineering Environmental Science Mathematics Mechanical Engineering Physics Transportation

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Mean-Variance Portfolio Optimisation Model for Comparison of Stock Portfolio Composition on the American Stock Exchange before and after the Boycott of Companies Supporting Israel (Case Study: AAPL, SBUX, AMZN, GOOGL, MCD) Fasa, Rayyan Al Muddatstsir; Sukono, Sukono; Salih, Yasir
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.v5i3.744

Abstract

The background of this research is related to the boycott of companies that support Israel, which affects the composition of stock portfolios on the American Stock Exchange. The focus of this research is on key companies such as Apple (AAPL), Starbucks (SBUX), Amazon (AMZN), Google (GOOGL), and McDonald's (MCD). The problem to be solved is the identification of changes in optimal asset allocation in investment portfolios before and after the boycott. Using a mean-variance portfolio optimization model, historical stock price data is analyzed to model the transformation of portfolio composition as well as the associated risk level. The purpose of this study is to provide an in-depth understanding of the impact of the boycott on the investment portfolio structure of related companies on the American Stock Exchange. The result of this research is that there is a change in the allocation of assets held against stocks before the boycott and after the boycott. This research is expected to provide useful insights for investors, financial analysts, and other stakeholders in managing their investment portfolios, especially in anticipating and adjusting investment strategies amid dynamic changes in the stock market.
DETERMINING AGRICULTURAL INSURANCE PREMIUMS USING THE BLACK-SCHOLES APPROACH BASED ON LINEAR REGRESSION OF POTATO PRODUCTION AND PRICES Purwani, Sri; Sutisna, Sarah; Fasa, Rayyan Al Muddatstsir
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 18 No 4 (2024): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol18iss4pp2713-2720

Abstract

Price fluctuations, which often occur in the agricultural sector, cause farmers to experience losses when selling prices are not balanced with production costs. The government is trying to minimize farmers' losses by issuing an agricultural insurance program. One of the problems with agricultural insurance is determining the premium that farmers must pay so as not to disadvantage the insurance company. This paper explores the price of insurance premiums associated with potato cultivation in West Java, Indonesia. In addition, this research analyzes the factors that influence prices by focusing on the relationship between potato production levels and market prices. Therefore, a comprehensive data set of potato production data and associated prices is used. Regression analysis, as a statistical technique, is used to model the relationships. The Black-Scholes method then uses the obtained result to determine insurance premiums. This method is used due to a theoretical framework for pricing options that allows selecting an option's fair price using a structured, defined methodology that has been tried and tested. The premium values that depend on the trigger value are then obtained with a range of prices between IDR 5,687,670 and IDR 18,067,953 for an insured amount of IDR 39,403,000 per contract period. The premium price range allows farmers to choose the right agricultural insurance policy. It also allows insurance companies to determine insurance premiums for potato cultivation.
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. 
Co-Authors Herlina Napitupulu Purwani, Sri Salih, Yasir Sukono . Sutisna, Sarah