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DC Field | Value | Language |
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dc.contributor.advisor | Budiarti, Retno | - |
dc.contributor.advisor | Purnaba, I Gusti Putu | - |
dc.contributor.author | Irsalina, Dara | - |
dc.date.accessioned | 2021-12-03T06:30:03Z | - |
dc.date.available | 2021-12-03T06:30:03Z | - |
dc.date.issued | 2021 | - |
dc.identifier.uri | http://repository.ipb.ac.id/handle/123456789/110080 | - |
dc.description.abstract | Penelitian ini bertujuan untuk mengkaji pengaruh inflasi terhadap strategi optimal pada investasi dan konsumsi dengan suku bunga dimodelkan menggunakan model Cox-Ingersol-Ross (CIR) dan volatilitas harga saham dimodelkan menggunakan volatilitas model Heston. Aturan program dinamik digunakan sebagai metode untuk mendapatkan Persamaan Hamilton-Jacobi-Ballman (HJB) pada Persamaan fungsi nilai dan memilih power utility sebagai fungsi utilitas. Solusi eksplisit dari investasi dan konsumsi optimal didapatkan dengan menggunakan teknik pemisah dan pemisalan variabel. Nilai-nilai parameter dari model didekati dengan menggunakan metode Euler-Maruyama dan metode Ordinary Least Square (OLS). Asumsikan portfolio investor terdiri atas sebuah aset berisiko dan sebuah aset bebas risiko. Dengan menggunakan data historis bulanan harga saham PT Telekomunikasi Indonesia (TLK) digunakan sebagai aset berisiko dan data historis bulanan BI rate sebagai aset bebas risiko, diperoleh hasil bahwa jumlah investasi pada saham berbanding lurus dengan imbal hasil saham dan inflasi tidak mempengaruhi jumlah investasi pada saham. Sedangkan konsumsi optimal berbanding lurus dengan jumlah kekayaan yang dimiliki namun berlaku sebaliknya terhadap inflasi ketika inflasi meningkat daya konsumsi investor menurun. | id |
dc.description.abstract | The aim of this study is to investigate an optimal investment-consumption strategy under inflation rate with interest rate is described by Cox-Ingersol-Ross (CIR) model and volatility of the stock price is defined by Heston’s volatility model. A dynamic programming principle is used to obtain a Hamilton Jacobi Bellman (HJB) equation for the value function and choose a power utility function as utility function. The explicit solution of optimum investment and consumption are acquired with using separate variable and approach variable technique. The parameter’s values are approached by Euler-Maruyama method and Ordinary Least Square (OLS) method. Assumed that the portfolio of the investor contains a risk-free asset and a risk asset. Using Monthly historical data of TLK stock is used as risk asset and monthly historical data of BI rate is used as risk-free asset, we obtain that the proportion of investment in stock is directly proportional to return of stock and the inflation rate does not have an impact on proportion investment in the stock. Meanwhile the optimal consumption of wealth is directly proportional to investor’s wealth and inversely proportional with inflation rate, which is the investor should consume less money of his wealth when the inflation rate increases. | id |
dc.language.iso | id | id |
dc.publisher | IPB University | id |
dc.subject.ddc | Stochastic Models | id |
dc.subject.ddc | Applied Mathematics | id |
dc.title | Pengaruh Inflasi terhadap Strategi Optimal Investasi dan Konsumsi di Indonesia dengan Tingkat Bunga dan Volatilitas Stokastik | id |
dc.title.alternative | Optimal Investment-Consumption Strategy under Inflation in Indonesia with Stochastic Interest Rate and Volatility | id |
dc.type | Thesis | id |
dc.subject.keyword | Dynamic Programming | id |
dc.subject.keyword | Optimal Control | id |
dc.subject.keyword | Investment-Consumption | id |
Appears in Collections: | MT - Mathematics and Natural Science |
Files in This Item:
File | Description | Size | Format | |
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Cover.pdf Restricted Access | Cover | 2.6 MB | Adobe PDF | View/Open |
Full text.pdf Restricted Access | Fullteks | 4.68 MB | Adobe PDF | View/Open |
Lampiran.pdf Restricted Access | Lampiran | 3.84 MB | Adobe PDF | View/Open |
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