Semiparametric Single-Index Predictive Regression

The Driving Severity Number (DSN) — A Step Toward Quantifying Treadwear Test Conditions

Tire Science and Technology ◽

10.2346/1.2148771 ◽

1986 ◽

Vol 14 (3) ◽

pp. 139-159 ◽

Cited By ~ 4

Author(s):

A. G. Veith

Keyword(s):

Signal Processing ◽

Ambient Temperature ◽

Lateral Acceleration ◽

Force Distribution ◽

Single Index ◽

Tire Force ◽

Test Conditions ◽

Wheel Revolution ◽

High Degree ◽

Revolution Counter

Abstract A system, called the “Driving Severity Monitor” (DSM), has been developed for characterizing tire force distribution as related to treadwear in either normal tire use or in tire fleet testing in a convoy. The system consists of an accelerometer for monitoring lateral accelerations, a wheel revolution counter, and a module for signal processing and read-out. The output of the DSM is reduced to a single index, the Driving Severity Number (DSN), which characterizes a vehicle journey. The DSN is equal to the sum of squares of lateral acceleration measured once per tire revolution during a trip, divided by the number of wheel revolutions. The DSN had a high degree of correlation (R ≧ 0.95) with treadwear in two wear programs when pavement abrasiveness was held constant. This supports the concept that the three basic treadwear components: tire force distribution, pavement abrasiveness, and ambient temperature, can be separated for better understanding of tire treadwear.

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ANALISIS PORTOFOLIO OPTIMAL DENGAN MENGGUNAKAN MODEL INDEKS TUNGGAL PADA SAHAM IDX BUMN20 DI BURSA EFEK INDONESIA JANUARI 2018-JANUARI 2019

JEM17: Jurnal Ekonomi Manajemen ◽

10.30996/jem17.v4i2.3023 ◽

2019 ◽

Vol 4 (2) ◽

Author(s):

Mochamad Andik Firmansyah

Keyword(s):

Stock Exchange ◽

Optimal Portfolio ◽

Rate Of Return ◽

Portfolio Risk ◽

Expected Return ◽

Purposive Sampling ◽

Single Index ◽

Index Model ◽

Market Return ◽

Single Index Model

Penelitian ini bertujuan untuk menentukan level of expected return dan the best risk of optimal portfolio formation dengan menggunakan Single Index Model pada saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dari bulan Januari 2018 sampai January 2019. Saham IDX BUMN 20 yang tercatat di Indonesia Stock Exchange dengan populasi sebanyak 20 perusahaan. Dengan menggunakan populasi sebesar 20 perusahaan maka peneliti menggunakan purposive sampling, dan ternyata hanya 18 perusahaan saja yang ditemukan memenuhi kriteria penelitian ini. Penelitian ini juga menggunakan metode Kuantitatif Deskriptif. Analisa data pada penelitian ini untuk menentukan saham-saham mana saja yang termasuk the optimal portfolio, dan juga the level of proportion of 1 funds yang termasuk juga dalam kategori the optimal portfolio dan the level of expected return serta the best risk of the optimal portfolio yang terbentuk dengan menggunakan Single Index Model. Hasil dari penelitian ini menunjukan bahwa terdapat 5 perusahaan dengan kategori the optimal portfolio dari 18 sampel perusahaan pada saham IDX BUMN 20 dengan tingkat tertinggi dari level of proportion of 1 funds ditemukan pada PTBA share sat 1.89333 or 189,333%, di lain pihak dengan tingkat terendah adalah pada TLKM shares at -2.13488 or -213.488% yang berarti bahwa saham TLKM adalah negatif dan harus dijual dalam jangka waktu pendek sebesar 213,488% dari dana yang dimiliki oleh para inventor dan menghasilkan rate of return yang diharapkan dari formasi optimal portfolio sebesar 0.17583 or 17.583% lebih tinggi dari yang diharapkan oleh market return sebesar 0.00264 or 0.264% dan memiliki tingkat portfolio risk borne sebesar 0.10384 or 10,384%, lebih kecil dari the risk of market sebesar 0.03367 or 3,367% dan beta market sebesar 1.Kata Kunci : Portfolio, Optimal Portfolio, Single Index Model.

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ANALISIS DIVERSIFIKASI INTERNASIONAL : PEMBENTUKAN PORTOFOLIO OPTIMAL INDEKS SAHAM DUNIA (Studi Kasus Pada Indeks Saham Aktif Dunia Versi The Wall Street Journal)

JMM17: Jurnal Ilmu Ekonomi dan Manajemen ◽

10.30996/jmm.v6i02.2995 ◽

2019 ◽

Vol 6 (02) ◽

Author(s):

Rony Mahendra ◽

Erwin Dyah Astawinetu

Keyword(s):

Wall Street Journal ◽

Optimal Portfolio ◽

Stock Index ◽

Wall Street ◽

Expected Return ◽

Single Index ◽

Index Model ◽

Single Index Model ◽

Stock Indices ◽

The Wall Street Journal

The research objective is to establish an optimal portfolio and know the difference between risk and return stock index portfolio candidates and non-candidates. Method used in the preparation of this research portfolio is the single index model, while the samples of this study are active world stock indices version of The Wall Street Journal during the period August 2012 - August 2016 and The Global Dow is used as the benchmark stock index. In establishing the optimal portfolio is used two perspectives: the Rupiah perspective and the U.S. Dollar perspective. The results showed there were three stock indices from the perspective of Rupiah and 8 share index menurutperspektif U.S. Dollar that make up the optimal portfolio, with the cut-of-pointsebesar 0,01393menurut Rupiah perspective and the perspective of 0.0078 US Dollars Based on the perspective of return expectations Rupiah obtained by 0.0258 with a risk of 0.06512. Berdarkan perspective of US Dollars, obtained return expectations at 0.0154 with a risk of 0.0292. From the test results showed that the hypothesis, the return on both perspectives there are significant differences between the index of the candidate, with a non-candidate. Then the risk of stock index, among the candidates, with a non-candidate, the Rupiah perspective there is no difference, but in the perspective of US Dollars, there are significant differences.Keywords: Single Index Model, candidate portfolio, optimal portfolio, expected return, excess return to beta, cut-off-point

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