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: 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