Estimating the value at risk (VaR) is an important aspect of investment. VaR is a standard method... more Estimating the value at risk (VaR) is an important aspect of investment. VaR is a standard method of measuring risk defined as the maximum loss over a certain period of time at a certain level of confidence. The purpose of this study is to estimate the risk of a portfolio represented as a VaR where the volatilities were simulated by th the Monte Carlo and Quasi Monte Carlo methods. The Monte Carlo method involves generating random numbers and the Quasi Monte Carlo method uses Halton's quasi-random sequences. This study uses secondary data, namely daily stock price closing data. Based on the calculation, the VaR of the Quasi Monte Carlo Portfolio produces a maximum loss greater than that of the Monte Carlo Portfolio. This is due to randomization performed with different random number generators for each method and the number of simulations performed. It can be concluded that the Quasi Monte Carlo method is a better method than the Monte Carlo method in estimating the risk of port...
The proportion of a portfolio can not eliminate risk as a whole but can reduce risk compared to i... more The proportion of a portfolio can not eliminate risk as a whole but can reduce risk compared to investing in one type of security. One way to determine the optimal portfolio is to use the rank utility function. The purpose of this study is to determine the optimal portfolio of shares of PT. Adhi Karya (Persero) Tbk. (ADHI) and PT. XL Axiata Tbk. (EXCL) for the period January 2017-December 2018 by determining expected returns, variances, standard deviations, covariates, correlation coefficients between shares, and formulating the portfolio equation into a utility function with a rank of 0.5. This study produces a utility value (U (?)) of 0.996181 which means that the level of satisfaction with the proportion of shares of the portfolio is 99.618183%. This value is very high so the proportion of each share is well performed.
Value at risk is a method that measures financial risk of an security or portfolio. The aims of t... more Value at risk is a method that measures financial risk of an security or portfolio. The aims of the research is to find out the value at risk of an exchange rate using the Heston stochastic volatility model. Heston model is a strochastic volatility model that assumes that volatility of the security follow stochastic process and consider the mean reversion. Based on simulation results, the value of volatility using Heston volatility estimastor is 0.2887, and the value of Heston VaR with 95 percent confident level is 0.0297. Based on result of backtesting, Â there are 48 violations obtained VaR using Heston model, while historical VaR there are 2 violations. Thus, VaR using Heston model is more strict in estimating risk.
Value at Risk (VaR) is the maximum potential loss on a portfolio based on the probability at a ce... more Value at Risk (VaR) is the maximum potential loss on a portfolio based on the probability at a certain time. In this research, portfolio VaR values calculated from historical data and Monte Carlo simulation data. Historical data is processed so as to obtain stock returns, variance, correlation coefficient, and variance-covariance matrix, then the method of Markowitz sought proportion of each stock fund, and portfolio risk and return portfolio. The data was then simulated by Monte Carlo simulation, Exact Monte Carlo Simulation and Expected Monte Carlo Simulation. Exact Monte Carlo simulation have same returns and standard deviation with historical data, while the Expected Monte Carlo Simulation satistic calculation similar to historical data. The results of this research is the portfolio VaR with time horizon T=1, T=10, T=22 and the confidence level of 95 %, values obtained VaR between historical data and Monte Carlo simulation data with the method exact and expected. Value of VaR...
The purpose of this research is to get formula to calculate premium reserve value with prospectiv... more The purpose of this research is to get formula to calculate premium reserve value with prospective calculation for education insurance. This study examines the value of premium reserves for people aged 40 years with a coverage period of 17 years. In determining the value of premium reserve using the prospective calculation. It will be started by completing the value of the Indonesian Mortality Table 2011 using the interest rate of 6.5%, calculating the cash value of the benefit, the annuity value, the net annual premium value, and the net monthly premium value. The results of this study indicate that the value of premium reserves with a prospective calculation for benefits paid at the end of the year and the premium reserve value for benefits paid at the time the insured dies, its value with the value of the cash price set by the insurer at the end of year- 17 on the insurance contract.
Boarding house is an alternative choice for students to fulfill their need for a place to live. T... more Boarding house is an alternative choice for students to fulfill their need for a place to live. The variety of boarding houses, along with their respective advantages and disadvantages, becomes a challenge for students in determining the boarding house that suits their desires and needs. An in-depth evaluation is needed by comparing boarding houses based on certain criteria. In this study will be known the best boarding house based on four assessment criteria, price, facility, location, and room area. This research was conducted in Mathematics Department, Udayana University, using the combination of Fuzzy Analytic Hierarchy Process (FAHP) and Simple Additive Weighting (SAW) method. Sample in this study amounted to 118 respondents, with purposive sampling was the sampling technique. FAHP method is used to obtain the weight of each criterion, with the use of triangular fuzzy numbers for pairwise comparison scale of FAHP, and the use of the extent analysis method for the synthetic exte...
Facility of student activeness in adaptif tutorial system expected be one of the supporting facil... more Facility of student activeness in adaptif tutorial system expected be one of the supporting facilities. Activity of students in learning process is process that construct their own knowledge. They are actively building an understanding of the issues or anything they encounter in the learning process. Â Because it is constructed from the inside, causing the activity is difficult to assess without having to do face to face, especially the tendency of students to be silent and conceal their ignorance will cause more difficult to assess the students' activity. In this study, the authors designed an extra feature on discrete mathematics tutorial system that has been built, in the form of an online discussion forum to help educators in scoring liveliness (seen from match students' comments and answer key). In this feature, the method used is the method of measuring similarity (similarity text) Rabin Karp to determine the similarity of the comments. Result of the research shows that...
This study aims to analyze mathematically Bungan Sandat songs and arrange the elements in terms o... more This study aims to analyze mathematically Bungan Sandat songs and arrange the elements in terms of the Fibonacci sequence and Golden Ratio. Then the ratio of the beauty of the song before and after arrangements were analyzed using the Wilcoxon test with 16 respondents from the student audience ISI Denpasar. Adjustment arrangements were made ??and given the title Bungan Sandat Fibo because it has proved to be a perfect Fibonacci sequence and Golden Ratio. Bungan Sandat Fibo song has the Fibonacci sequence contain up to 100% and the Golden Ratio is more perfect than the song before experienced arranger. In addition, based on the value of statistical tests, proven track Bungan Sandat Fibo more beautiful than Bungan Sandat song.
Tujuan dari penelitian ini adalah untuk mengetahui efektivitas metode Ringkas Belajar Perkalian d... more Tujuan dari penelitian ini adalah untuk mengetahui efektivitas metode Ringkas Belajar Perkalian dapat mengatasi kesulitan siswa dalam perkalian susun, pelajaran matematika. Penelitian ini menggunakan model rancangan penelitian eksperimental, yaitu pre experimental design dengan jenis desain pre test and post test group design. Prosedur pelaksanaan eksperimen pada penelitian ini terdiri dari rangkaian kegiatan berupa: pelaksanaan pre test, pemberian perlakuan, dan pelaksanaan post test. Eksperimen ini melibatkan dua kelompok subjek yang memperoleh perlakuan pemberian metode klasik dan metode ringkas. Subjek penelitian adalah siswa kelas 4 SD No. 2 Bebalang, Kabupaten Bangli. Teknik analisis data yang digunakan adalah deskriptif kualitatif terhadap data yang diperoleh dari hasil observasi dan wawancara, dan analisis data kuantitatif terhadap data-data yang diperoleh dari hasil pre test dan post test. Hipotesis penelitian diuji dengan menggunakan uji t (t test) untuk sampel berpasanga...
Project is any work that has a beginning and ending, consisting of several jobs/activities that m... more Project is any work that has a beginning and ending, consisting of several jobs/activities that must be carried out in a certain order. Contractors typically use the Gantt Chart Method in scheduling home construction projects so that it is difficult to know the impact caused by the late completion of work on scheduling the entire project. The purpose of this study is to determine the time needed to complete two housing units using the Precedence Diagram Method and the Line of Balance Method. The data used in this research are the dependency relationship between activities, time schedule, cost analysis plan (RAB), and SNI unit price analysis. The analysis process carried out in this study is to calculate the time needed to complete two housing units using two methods, namely the Precedence Diagram Method and the Line of Balance method. The results of this study indicate the time needed to build two housing units using the Precedence Diagram Method 7 days faster than using the Line of...
This research aims at knowing the comparison among Tsukamoto method, Mamdani method, and Sugeno m... more This research aims at knowing the comparison among Tsukamoto method, Mamdani method, and Sugeno method in deciding the production of incense at CV. Dewi Bulan. The research discussed about Tsukamoto method, Mamdani method and Sugeno method which consisted of four step, they are: fuzzyfication, forming a fuzzy rules, fuzzy logic analysis, and defuzzyfication. In conclusion, Sugeno method was found to be the best to be used in deciding the number of incense sticks production, comparing with the others. Sugeno method has probability of error value about 1,314%.
Traditional Balinese clothing is a typical Balinese clothing that is characterized by Balinese cu... more Traditional Balinese clothing is a typical Balinese clothing that is characterized by Balinese customs used as a form of cultural protection that reflects the nature of politeness, shade, peace, and pride for the wearer. The Governor of Bali in the Regulation of the Governor of Bali Number 79 of 2018, concerning the Day for the Use of Balinese Traditional Clothing states that one of the objectives of using Balinese traditional clothing is to maintain and maintain the preservation of Balinese Traditional Clothing in order to strengthen identity, character and character, to recognize the values the aesthetic, ethical, moral, and spiritual values ??contained in Balinese culture and encourage increased use of local Balinese fashion products and industries. The purpose of this study was to determine the factors that influence academic perceptions of the use of traditional clothing in the school environment. This research was conducted in high schools in Denpasar, using the factor analysi...
In this paper, we present a novel approach to data-driven neuro-fuzzy modeling, which aims to cre... more In this paper, we present a novel approach to data-driven neuro-fuzzy modeling, which aims to create accurate monthly inflow and outflow forecast of money (M0) in Bali Province. The data is monthly time series included some religious ceremony identification variables and a monthly dummy variable from January 2011 to March 2019. Well known, Bali Province has unique cultures, the only one province which Hinduism majority religion in Indonesia, and listed as top tourism destination in the world. The neuro-fuzzy models were created using ANFIS architecture and sliding window time series analysis, then simulated using walk forward validation, interpreted using MAPE, and NRMSE. Based on the simulation of the last 24 months, the model of inflow obtained MAPE 23.33% (worth considering) and NRMSE 18.68% (accurate). Meanwhile, the model of outflow obtained MAPE 19.24% (accurate) and NRMSE 8.71% (very accurate). These models and their pieces of information could assist the central bank in Bali...
Bali has an increasing tourism potential. This is evidenced by the increasing number of foreign t... more Bali has an increasing tourism potential. This is evidenced by the increasing number of foreign tourist visits to Bali Province each year. Although Bali's tourism trends have continued to increase over the past few years, efforts to improve the quality of Bali tourism need to be made. One way is to do forecasting. To support improvement efforts in Bali's tourism sector, the author created a forecasting system for foreign tourists to Bali province using artificial neural network methods with back propagation algorithms. Artificial Neural Networks with back propagation algorithms are neural network algorithms by finding optimal weight values. The forecast results using the binary sigmoid activation function were obtained by 489,862 foreign tourists in November 2019 with MAPE at 1.62% and 487,342 foreign tourists in December 2019 with MAPE of 11.78%. The forecast results using the bipolar sigmoid activation function were obtained by 493,200 foreign tourists in November 2019 wit...
Myopia is a vision disorder that causes the sufferers unable to see distant objects. The degree o... more Myopia is a vision disorder that causes the sufferers unable to see distant objects. The degree of myopia in humans can changes, both increasing and decreasing. The increasing of myopia degree is proportional to the potential of other visual disorders, such as cataracts, retinal detachment, and glaucoma. Therefore, the increasing of myopia degree needs to be watched out. Several previous studies only considered the time factor in predicting the changes of myopia degree. In fact, the changes of myopia degree also influenced by some factors that related to individual identity and behavior. This study aims to predict the changes of myopia degree in humans based on some factors that causes myopia.. This study uses data that has been scaled with the fuzzy membership function to be processed with ANN for predicting the changes of myopia degree. By ANN 6-2-3 architecture that uses 80 training data, 20 testing data, and 1 predictive data, the prediction result of the changes of myopia degr...
The characteristics of a function are usually investigated by looking at the continuity of the fu... more The characteristics of a function are usually investigated by looking at the continuity of the function. But what happens if a function does not have continuous properties? To what extent can the characteristics of continuous function be maintained for discontinuous cases? The stochastic function that is widely involved in solving problems in the field of average financial mathematics is a discontinuous function. This is reflected by the acquisition of a smooth curve from the modeling drawing obtained. Today, the nature of continuous functions in [a, b] has been widely studied and developed. Some properties of the continuous function can be extended to the appropriate discontinuous function. In this paper, there will be some integral reviews for discontinuous functions which are closely related to stochastic functions.
Agricultural insurance is an insurance in agriculture sector that is relatively newly introduced ... more Agricultural insurance is an insurance in agriculture sector that is relatively newly introduced in Indonesia. Agricultural insurance based on rainfall index is one of the risk management tool to keep farmers in case of crop failure. This study aims to determine the steps in determining the value of rainfall index on agricultural insurance and calculate the value of agricultural insurance premiums based on simulated rainfall index by Stochastic weather generator with mixed exponential distribution. The results of this study provide value if the amount of rainfall 103,71 mm so that the amount of premium payments equal to Rp19.016, and if the rainfall is high 128.35 mm then the amount of premium payment equal to Rp1.088.000.
The purpose of this research is to know the performance of Fuzzy Evolutionary Algorithm in solvin... more The purpose of this research is to know the performance of Fuzzy Evolutionary Algorithm in solving one type of Vehicle Routing Problem that is Capacitated Vehicle Routing Problem (CVRP). There are 8 different CVRP data to be solved. The performance of the algorithm can be determined by comparing the value obtained by AFE with the optimal value of the data. The result of this research is fuzzy evolution algorithm yields the best average relative error from all data for distance that is equal to 69,5855% and for minimum vehicle equal to 26%.
Udayana University is one of the universities that have developed an e-learning system that is co... more Udayana University is one of the universities that have developed an e-learning system that is coupled with the IMISSU (Integrated Management Information System of the Udayana) system and is known as the ELSE-U (E-Learning Smart and Elegant of Udayana). This system was built with the aim of accommodating online lectures. But in reality there are still many lecturers, especially in the Mathematics Department who have not utilized the learning media. Many reasons related to the media have not been utilized. In this study, a material development strategy and learning using ELSE-U will be initiated for conceptual mathematics material in order to obtain optimal benefits. In addition, the measurement of the level of acceptance and use of the utilization of ELSE-U in learning is carried out using the Technology Acceptance Model (TAM) method. The results showed that the internal and external factors of students did not affect the perceived ease of use in the use of ELSE-U, organizational fa...
This study aimed to apply glowworm swarm optimization (GSO) algorithm as an alternate way to obta... more This study aimed to apply glowworm swarm optimization (GSO) algorithm as an alternate way to obtain optimal bandwidth in geographically weighted regression (GWR) model with adaptive kernel function. The result showed that GSO was able to obtain optimal bandwidth with lower cross validation (CV) value than the traditional way that was using k-nearest neighbor (KNN) algorithm. Unfortunately, the running time of GSO was far slower than KNN was.
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