Judul: Optimalisasi eksekusi saham dengan peningkatan risiko perdagangan
Abstrak: Pada umumnya transaksi saham di pasar modal mempertimbangkan dua hal, yaitu biaya transaksi dan risiko transaksi. Adapun biaya transaksi saham dipengaruhi oleh dampak temporer (biaya likuiditas) dan dampak permanen (biaya informasi). Sedangkan risiko dari transaksi saham terdiri atas risiko volatilitas yaitu risiko yang berhubungan dengan keacakan harga saham, dan risiko ketidakpastian biaya likuiditas. Dalam karya ilmiah ini dibahas tentang strategi perdagangan yang dapat meminimumkan biaya transaksi dengan kendala adanya risiko ketidakpastian. Untuk meminimumkan biaya transaksi maka perlu dicari waktu eksekusi optimal, banyaknya saham yang akan dijual pada suatu waktu atau banyaknya saham awal yang diperdagangkan, yaitu dengan menggunakan metode kalkulus variasi. Jika ketidakpastian biaya likuiditas dalam perdagangan tidak bergantung pada rata-rata perdagangan maka seorang penjual yang menghindari risiko akan mempercepat program penjualannya dengan tujuan untuk mengurangi risiko, sedangkan penjual yang lebih berani mengambil risiko akan memperlambat perdagangannya dengan tujuan meminimumkan biaya transaksi. Jika ketidakpastian biaya likuiditas dalam perdagangan bergantung pada rata-rata perdagangan maka banyaknya saham awal optimal yang diperdagangkan bergantung pada tingkat penghindaran risiko seorang penjual, yaitu ketika seorang penjual semakin menghindari risiko maka banyaknya saham awal optimal yang diperdagangkan akan semakin sedikit, dan sebaliknya jika penjual semakin berani mengambil risiko maka banyaknya saham optimal yang diperdagangkan akan semakin banyak.
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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: Studi Taksonomi Katak Subgenus Papurana (Lesson, 1831) dari Halmahera (Anura, Ranidae, Hylarana), Studi Taksonomi Katak Subgenus Papurana (Lesson, 1831) dari Halmahera (Anura, Ranidae, Hylarana
Abstrak: I reevaluated taxonomic of subgenus Papurana position from Halmahera based on morphological and molecular analyses. My results show that two separate species occur on the Halmahera Island, each nested within two distinct clades (hereafter papua clade and celebensis clade), one of which corresponds to H. moluccana (celebensis clade) and the other to an unidentified species (papua clade). By p-distance ranging from 6.9 to 11.5% on the 16S rRNA gene, the unidentified species (Hylarana sp.) is genetically different from all congeners of the papua clade. The Hylarana sp. can be distinguished from all congeners by following combination of charactes: vomer teeth in two oblique rows with narrow inter-vomer distance; snout rounded dorsally; dorsum with few scattered cone-shaped tubercles that are black with white tips; distinct skin folds (ridges) on the dorsal side of the thigh coinciding with dark brown cross bars; a marbled pattern on the ventral side of the thigh and yellowish groin. I also present new data for H. daemeli, H. volkerjane, and H. arfaki from the western region of Papua. Furthermore, I found that H. celebensis has numerous mtDNA lineages, indicating cryptic diversity within the celebensis clade. The discovery of two separate species on Halmahera necessitates more research into the biogeographic history of Hylarana in Northern Moluccas.
Keyword: frog, Halmahera, Hylarana, morphology, Papurana, phylogenetic