OPTIMAL FOREIGN CURRENCIES INVESTMENT PORTFOLIO IN INDONESIA

SADIKIN, ALI and SARAGIH, MAGDALENA OPTIMAL FOREIGN CURRENCIES INVESTMENT PORTFOLIO IN INDONESIA. OPTIMAL FOREIGN CURRENCIES INVESTMENT PORTFOLIO IN INDONESIA, 1. ISSN 2462-1978

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Abstract

The observation intended to define the optimal portfolio towards foreign currencies investment in Indonesia using Markowitz model. The observation described the portfolio exchange rates of Rupiah towards other currencies to find the analysis results could be implemented only in Indonesia’s foreign exchange market. The population is whole of foreign currencies amounted 168 currencies, but the samples used in this study were 22 currencies published on Bank of Indonesia website. The sampling technic used in this observation was Convenience Sampling/Accidental Sampling because samples were choosen based on the easiness of getting data. The data being applied in this observation is daily middle exchange rate from 2012 October 1st until 2013 June 30rd. The whole of calculation used Microsoft Excel 2010 with Solver optimization as an equipment to analyze. Construction optimal portfolio that have been made by using Markowitz model and Solver Optimization’s help in Microsoft Excel consist of 14 samples, as follows : USD, EUR, CHF, SEK, DKK, SGD, HKD, MYR, CNY, SAR, KWD, KRW, THB and PHP. The biggest proportion of all currencies is United States Dollar, the second one is China Yuan and the third one is Phillipine Peso. The results of construction optimal portfolio having the rate of return amounted 0,01039% with the rate of risk 0,00017%. Keywords: porfolio optimization, foreign currencies, Markowitz Model, Solver

Item Type: Article
Subjects: A General Works > AI Indexes (General)
Depositing User: Mr Arief Mirathan - Eka Setya Wijaya
Date Deposited: 19 May 2017 01:00
Last Modified: 19 May 2017 01:00
URI: http://eprints.unlam.ac.id/id/eprint/1712

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