Judul: Four Essays on Optimal Sustainable and Shariah Investment in Indonesia
Abstrak: Sustainable Responsible Investment (SRI) is expected to provide not only financial and social impact but also sustainable benefits in the long run. An investor must consider between the fund performance and volatility in a crisis. This study will try to fill the above-mentioned gaps focusing on how sustainable and Shariah investment in Indonesia can achieve the SDGs by developing various strategic options to optimize the portfolio model from 2009 to 2020. The first essay aims to compare the performance with the ratio of Sharpe versus Coefficient Variance (CV) and to estimate the determinants and correlations between the return and volatility of SRI and Shariah considered to be another kind of ethical index. The framework also applies the ARIMA model and the volatility- asymmetric model with additional exchange rate and crisis-period data to determine the return and volatility of each index, which is generalized by the Asymmetric E- GARCH. The study showed that only SRI-KEHATI and LQ45 were affected by the highest volatility during the Covid-19 crisis. The impact of the exchange rate and the consequences of the recession on yields and uncertainty is insignificant on Sharia, which is applicable to the high-risk and high-return theory. The second essay discusses the reaction of mixture variables to the ESG Index in Indonesia's business climate since Environmental, Sustainable Governance (ESG) as another perspective of the Sustainable Responsible Investment Index (SRI) is on a global trend. The VAR VECM model was used to research the relationship between the ESG and other endogenous variables: Dow Jones index, Fed rate, JCI index, exchange rate, and BI-rate. The market-based impact analysis on Indonesia's SRI Index will not only benefit investors' portfolio and risk management plans, but will also have significant implications for regulators, in particular the Financial Services Authority (FSA or OJK) of Indonesia and the Bank of Indonesia. The third essay reveals that SRI-KEHATI has the highest average risk and return among others. It also demonstrates that SRI-KEHATI is ideally suited to gain financial, social and ethical returns at the same time. We also find from the Mann- Whitney and Kruskal-Wallis U test that one of the reasons for the success of SRI- KEHATI is the major allocation to the four major banks. There is a significant difference between SRI-KEHATI and the results of the four banks that have been market movers all the while, so investors can choose a cherry pick approach that focuses on those stocks instead. The fourth essay innovates the replacement of the SRI-KEHATI and JII index members with two Islamic bank stocks shown that their performance is superior with manageable risk. The return of the Shariah SKEHATI index is higher than the return of the previous SRI-KEHATI index with a lower standard deviation. This also means that two Islamic banks boost return and remove mafsadat, purifying the SRI-KEHATI Index to become more Sharia. The addition of two Islamic bank stocks in the Jakarta Islamic Index has raised the return, variance, and standard deviation in the same Shariah universe. Granger Causality's results concluded that Shariah is significantly the leading predictor and clear superiority as
Keyword: equity, shariah, stability, sustainable responsible investment, volatility

Judul: Optimal Portfolio Formation of SRI KEHATI Index Stocks on the Indonesia Stock Exchange (2019-2023 Period)
Abstrak: Kondisi perekonomian Indonesia yang stabil menunjukkan hal positif dan meningkatkan jumlah investor pada pasar modal di Indonesia. Salah satu instrument pada pasar modal yaitu saham. Tujuan penelitian ini membentuk portofolio optimal yang menjadi rekomendasi para investor. Penelitian ini menggunakan CAPM dan model Markowitz, yang melibatkan penggunaan data sekunder. Proses pemilihan sampel penelitian melibatkan penggunaan teknik non-probability sampling, khususnya purposive sampling. Penelitian ini berfokus pada Indeks SRI-KEHATI periode Januari 2019-Desember 2023. Terdapat 7 saham efisien menggunakan metode CAPM yaitu BBCA, BBNI, BBRI, BMRI, JSMR, KLBF, dan UNTR. Kombinasi 7 saham model Markowitz membentuk dua preferensi. Preferensi pertama menghasilkan proporsi alokasi dengan rumus yaitu expected return portofolio tahunan sebesar 40,55% dan risiko portofolio tahunan sebesar 30,33%. Preferensi kedua menghasilkan proporsi alokasi dengan solver yaitu expected return portofolio tahunan sebesar 46,79% dan risiko portofolio tahunan sebesar 32,91%., The stable economic conditions in Indonesia have had a positive impact, leading to an increase in the number of investors in the Indonesian capital market. One of the key instruments in this market is stocks. The aim of this research is to create an optimal portfolio that can be recommended to investors. The study utilizes the CAPM and Markowitz models, and involves the use of secondary data. The research sample selection process makes use of non-probability sampling techniques, specifically purposive sampling. This research focuses on the SRI KEHATI Index for the period from January 2019 to December 2023. Using the CAPM method, 7 efficient stocks have been identified, namely BBCA, BBNI, BBRI, BMRI, JSMR, KLBF, and UNTR. The combination of 7 stocks using the Markowitz model forms two preferences. The first preference generates an allocation proportion with a formula that results in an annual portfolio expected return of 40.55% and an annual portfolio risk of 30.33%. The second preference generates an allocation proportion with a solver that results in an annual portfolio expected return of 46.79% and an annual portfolio risk of 32.91%.
Keyword: Optimal Portofolio, SRI KEHATI, Markowitz Model

Judul: Penyusunan Overlap Graph menggunakan Suffix Tree pada DNA Sequence
Abstrak: The DNA sequence assembly is very important in genome analysis. This step aims to reconstruct contigous DNA fragment (contigs) from short fragment by concatenating fragments based on the overlap region among them. This method employs overlap graph for solving the problems. In this graph, nodes represent fragments and edges represent overlap. This research developed a software for constructing overlap graph using suffix tree. The evaluation was conducted by measuring the number of nodes, number of edges, and the execution time in many values of minimum overlap. The minimum overlap is defined as the minimum length of substring which is considered as the overlap region between two fragments. The evaluation results showed that the number of nodes, the number of edges, and the execution time were increased with the decreasing of the minimum overlap value.
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