Judul: Optimalisasi eksekusi saham dengan biaya likuiditas taklinear
Abstrak: Generally, transaction in capital market considers two things. i.e. transaction cost and transaction risk. The transaction cost arises from temporary and permanent market impact. Tempofmy market impact represents a liquidity cost, while permanent market impact represents the effect of information on share price. On the other hand, the risk of share transaction consists of uncertain liquidity cost and the volatility risk, which is related to the uncertainty of share price. This paper studies the trading strategy that minimizes the transaction cost with the assumption that liquidity cost is a nonlinear function and subject to its uncertainty risk. Furthermore, this paper examines the influence ofa nonlinear liquidity cost to the trading strategy. The results are as follows. For quadratic liquidity cost, if the trading rate increases, then the liquidity cost will also increase with higher rate. On the other hand, for square root function, if the trading rate increases, then the liljuidity cost will also in~,rease but smaller rate.
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Judul: Eksekusi optimal transaksi portofolio dengan model biaya linear
Abstrak: In investment, wealth is allocated by forming portfolio which consists of risk free and risky assets (stocks). There are some factors that influence portfolio transaction, i.e. volatility risk and transaction costs. The aim of portfolio transaction is to produce a future cash flow in terms of dividend and capital gain. The cash flow is obtained by constructing an optimal portfolio subject to minimum risk of trading strategies. Optimal portfolio can be formed by minimizing cost function, which is a combination of volatility risk and transaction costs arising from permanent and temporary market impact. This optimization can also generally be done by minimizing implementation of shortfall costs using linear market impact cost model. The construction of efficient strategies for optimal portfolio is obtained by a constrained optimization problem that minimize the expected value of implementation shortfall for any levels of maximum implemented shortfall variance. The constrained optimization problem can be solved using Lagrange multiplier, so that the unconstrained optimization problem will minimize cost function. Cost function is assumed to be a quadrature, which is strictly convex for any positive risk levels. Therefore, by solving the optimization problem, one can obtain explicit trajectories of optimal strategies. By solving initial value problem of difference equation, one can obtain the specific optimal solution of a trading trajectory, and for each risk aversion there is a unique corresponding trading trajectory that minimize cost function. Key words: volatility risk, market impact, implementation shortfall, trading trajectory, trading strategy, cost function.
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Judul: Daerah penyebaran dan variasi morfologi ular putih (Micropechis ikaheka) di Papua
Abstrak: The objectives of the research were to identify the area of distribution and the specific habitat of the white snake (Micropechis ikaheka) in Papua (Western New Guinea), and also to explain the morphological variation among the populations of that snake. About eight months of field work were taken to conduct the survey (April 2002; June 2006; and March to Augusts 2007) in several areas in the mainland and off-shore islands of Papua. Observation were carried out in the field at night and during the day to collect the snake. Also, studies were done on a collection of specimens that were found in the Museum Zoologicum Bogoriense LIPI in Cibinong, Conservation International in Jayapura and the Biology Laboratory of the Papua State University in Manokwari. The results showed that the white snake Micropechis ikaheka can be divided into three separate groups based on the color of the scales, i.e. Black, Brown and Yellow. The black one is the new group found in this research, and also there was one individual snake with transitional coloration between the brown group and the yellow group. However, M. ikaheka is common and has a relatively wide distribution in New Guinea, but every group has a specific and limited area of distribution. The group with black color is distributed in the islands of Waigeo and Batanta and the group with yellow color is distributed starting from Manokwari, Sorong, upto the islands of Salawati, Batanta and Waigeo. Meanwhile, the brown colored sanke is distributed from the island of Yapen, mainland of waropen, Mamberamo, Jayawijaya, Mindiptana upto Papua New Guinea.
Keyword: The white snake, Micropechis ikaheka, Are of distribution, Morphological variation, Famili Elopidae