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Author

Deva Putra Setyawan

2 papers indexed here

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Open access Aug 2026

Data-Driven Uncertainty Set Construction with ARIMA–GARCH Modeling for Robust Portfolio Optimization

Portfolio optimization models are highly sensitive to estimation errors in expected returns and covariance matrices, often resulting in unstable allocations. Robust optimization mitigates parameter uncertainty by optimizing against worst-case realizations within a specified uncertainty set, whose construction criticall...

D. Setyawan, D. Chaerani, S. Sukono et al. · 0 citations
Open access Aug 2026

Comparative Analysis of Statistical, Machine Learning, and Deep Learning Models for USD/IDR Prediction Using Macroeconomic Indicators and Explainable Artificial Intelligence

The USD/IDR exchange rate is a key daily barometer of Indonesia's economic health. Accurate forecasting is vital for trade, inflation, and monetary stability. However, its volatile and nonlinear dynamics pose challenges. While research has applied statistical models, machine learning, and deep learning, few studies off...

D. Setyawan, Astrid Sulistya Azahra, Mugi Lestari · 0 citations

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