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ANALISIS PORTOFOLIO OPTIMAL UNTUK PENGAMBILAN KEPUTUSAN INVESTASI PADA PASAR VALUTA ASING

Murti, Hari (2014) ANALISIS PORTOFOLIO OPTIMAL UNTUK PENGAMBILAN KEPUTUSAN INVESTASI PADA PASAR VALUTA ASING. Other thesis, University of Muhammadiyah Malang.

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Abstract

Develop optimal portfolio of foreign exchange is a very important strategy for investors and international business entrepreneurs to obtain the expected results. Inaccuracy in the prediction of the foreign exchange portfolio can eliminate the opportunity to benefit from foreign exchange transactions. Develop optimal portfolio of foreign exchange, is one of the keys to making investment decisions involving the transfer of funds from one currency to another currency in a given period. This study aimed to making investment decisions the foreign exchange market that gives the highest return on investment with a certain risk and making investment decisions that provide the foreign exchange market with the lowest risk level of return on the optimal portfolio is formed. In this study were 16 foreign exchange contained in the list of Indonesian banks' foreign exchange data used is the data rate of the center weekly for October 1, 2012 - 29 November 2013 Based on calculations using the method of 16 foreign exchange Markowitz sampled with 14 foreign currencies entered into a candidate portfolio. During the observation period of 14 foreign exchange be a member of the portfolio, there are 11 foreign exchange entering an efficient portfolio is in foreign exchange BND, CHF, DKK, EUR, GBP, HKD, NZD, SEK, SGD, THB and USD. Optimal portfolio that can deliver the highest return with a certain degree of risk, namely, the foreign exchange DKK and EUR, the optimal portfolio which can deliver the lowest risk level with a certain rate of return that is, the foreign exchange THB and USD.

Item Type: Thesis (Other)
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
Depositing User: Fitri Ramandhany
Date Deposited: 25 Feb 2016 08:49
Last Modified: 25 Feb 2016 08:49
URI : http://eprints.umm.ac.id/id/eprint/20442

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