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PEMBENTUKAN PORTOFOLIO OPTIMAL DALAM PENGAMBILAN KEPUTUSAN INVESTASI PADA PASAR VALUTA ASING

ASHARI, DAVID WINATA (2012) PEMBENTUKAN PORTOFOLIO OPTIMAL DALAM PENGAMBILAN KEPUTUSAN INVESTASI PADA PASAR VALUTA ASING. Other thesis, University of Muhammadiyah Malang.

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Abstract

The purpose of study is to know optimal portfolio in the foreign exchange market using weekly middle rates of 10 major currencies traded in Indonesia foreign exchange market. Markowitz portfolio model find the optimal portfolio composition is 27 percent from Canadian Dollars, 26 percent from Japanese yen, 19 percent from Singapore Dollars, 13 percent from Malaysian Ringgit, 11 percent from Swiss franc and 4 percent from Australian Dollars. Portfolio provides 0.0011 of expected return with 0.0063 of risk level, a comparison made between portfolios and single assets obtained a conclusion that the portfolio result from diversification of single assets is better alternative than investing only in single asset.

Item Type: Thesis (Other)
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
H Social Sciences > HJ Public Finance
Divisions: Faculty of Economics > Department of Management (61201)
Depositing User: Fitri Ramandhany
Date Deposited: 12 Nov 2015 08:19
Last Modified: 12 Nov 2015 08:19
URI : http://eprints.umm.ac.id/id/eprint/19216

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