Open AccessKelly's Strategy Analysis in Optimizing Investment Portfolios in Foreign Exchange
Author(s) -
Evi Sulfiah Ningsih*,
Puspa Liza,
Binti Ghozali
Publication year - 2019
Publication title -
international journal of recent technology and engineering
Language(s) - English
Resource type - Journals
ISSN - 2277-3878
DOI - 10.35940/ijrte.b1063.0782s719
Subject(s) - portfolio , foreign exchange risk , currency , foreign portfolio investment , foreign exchange , investment strategy , portfolio investment , financial economics , foreign exchange market , business , value (mathematics) , modern portfolio theory , foreign direct investment , economics , monetary economics , finance , microeconomics , return on investment , mathematics , macroeconomics , statistics , open ended investment company , production (economics) , market liquidity
Investments in financial markets not only pay attention to promising profits, but also need to consider the risks that follow. Risks can be minimized by establishing an investment portfolio. This research was conducted with the aim of analyzing optimal portfolios on foreign exchange investments, so that investments made provide maximum returns at certain risks, or minimal risk on certain returns. The data analyzed in this study are foreign exchange traded at Bank Indonesia. Data analysis is carried out quantitatively using the Kelly Strategy model. The steps: (i) Calculation of individual foreign exchange returns, (ii) Determine the average value of individual foreign exchange returns, (iii) Determine the optimal portfolio using the Kelly strategy approach, and (iv) Determine portfolio returns and risks. Based on the results of the analysis obtained the allocation of weights that provide returns and risks to the optimal portfolio. A 95% USD currency is an optimal portfolio of the five currencies used. So that it can be used as a consideration for investors, in making investment decisions in the foreign exchange being analyzed.