Kelly’s Strategy Analysis in Optimizing Investment Portfolios in Foreign Exchange
Evi Sulviah Ningsih1, Sukono2, Endang Rusyaman3, Jajang Badruzaman4, Puspa Liza Binti Ghozali5
1Evi Sulviah Ningsih, Master, Program Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Indonesia.
2Sukono, Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Indonesia.
3Endang Rusyaman, Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Indonesia.
4Jajang Badruzaman, Department of Accounting, Faculty of Economic, Siliwangi University, Indonesia.
5Puspa Liza Binti Ghozali, Faculty of Informatic and Computing, Universiti Sultan Zainal Abidin, Indonesia.
Manuscript received on 03 August 2019 | Revised Manuscript received on 26 August 2019 | Manuscript Published on 05 September 2019 | PP: 245-250 | Volume-8 Issue-2S7 July 2019 | Retrieval Number: B10630782S719/2019©BEIESP | DOI: 10.35940/ijrte.B1063.0782S719
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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open access article under the CC-BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Abstract: 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.
Keywords: Investment, Financial Market, Kelly Strategy Approach.
Scope of the Article: Industrial, Financial and Scientific Applications of All Kind