APPLICATION OF SIMULATED ANNEALING TO DETERMINE TABARRU-FUND OF PROFIT AND LOSS SHARING MODEL IN SYARIAH INVESTMENT

• Main Author: Lazulfa, Indana
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/44491
• Institution: Institut Teknologi Bandung

Simulated Annealing (SA) is one of neighborhood search method that allows inferior solutions to be accepted. It is a kind of meta-heuristic algorithms which is usually give good feasible solutions very quickly. SA is a kind of global optimization techniques based on natural phenomena, from physical process of annealing. The method will use for the optimization problem in syariah invest- ment model with tabarru-fund. One of nancial concept based on syariah Islam is musyarakah as nancial system with its principle of sharing prot and loss from an investment. Today, the nancial institutions who provide capital to the commercial activities, is dominated by banks and usurers (rentenir). They asked for additional loans that they gave, on some term usually considered usury(riba). In this paper, we develop an investment model based on syariah. It is in the form of equity capital (in the form of money) for microeconomic investment with prot and loss sharing. We will determine the optimal portion of sharing with simulation of syariah investment model. We also give investment model which had been improved from last model with tabarru fund [4]. Tabarru is a set of funds derived from contributions of participants (traders). Those fund is used for bearing uncertainty loss. In this model, tabarru fund represents as the premium that must be paid by traders if they still have a prot after paying o principal. The problem is to determine how much of the premium from each trader that satisfy all the requirements and minimize the remain of tabarru-fund in the end of period. We can write the problem as min F(a) = ???? 1 1 + sdt(a) (2) viii subject to sdt(a) = 0; (3) a > 0 (4) where sdt is the rest of tabarru-fund in the end of period, a is multiplied of premium. We also can write that problem as unconstrained problem as follows. min F(a) = ???? 1 1 + sdt(a) + 1H1[sdt(a)](sdt(a) ???? 0)2 + 2H2[a](a ???? 0)2 (5) dimana H1[sdt(a)] = 8< : 1 ; jika sdt(a) 6= 0; 0 ; jika sdt(a) = 0: H2[a] = 8< : 1 ; jika a 0; 0 ; jika a > 0: where 1; 2 > 0 are the penalty parameters which are applied when the constraints are violated. Their values are very large so the value of function will also be large. The result of simulation of syariah investment model with tabarru-fund is better than the results from rentenir model and syariah model (musyarakah). We can see it from traders portion of syariah tabarru-fund model which is highest. Furthermore, the investors portion of syariah tabarru-fund model is higher than the investors portion of musyarakah model. So, syariah tabarru-fund model has such a good improvement.