Optimization of Foreign Exchange using Kelly Criteria Model
Evi Sulfiah Ningsih1, Sukono2, Endang Rusyam3
1Evi Sulfiah Ningsih, Master Program in Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Jl. Raya Bandung-Sumedang Km 21, Jatinangor, Sumedang, West Java, Indonesia.
2Sukono, Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Jl. Raya Bandung-Sumedang Km 21, Jatinangor, Sumedang, West Java, Indonesia.
3Endang Rusyam, Department of Mathematics, Faculty of Mathematics and Natural Sciences, Universitas Padjadjaran, Jl. Raya Bandung-Sumedang Km 21, Jatinangor, Sumedang, West Java, Indonesia.
Manuscript received on November 20, 2019. | Revised Manuscript received on November 28, 2019. | Manuscript published on 30 November, 2019. | PP: 7963-7967 | Volume-8 Issue-4, November 2019. | Retrieval Number: D4282118419/2019©BEIESP | DOI: 10.35940/ijrte.D4282.118419
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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: This research is expected to be able to analyze the foreign exchange assets of investors by using Kelly criteria optimally, so that investors can obtain the expected benefits with minimal risk. The analysis used in this study is quantitative with the following steps: (i) determine the value of foreign exchange asset returns, (ii) determine the variance of foreign exchange assets, (iii) determine the optimal portfolio using Kelly criteria. The results of the analysis obtained weight allocation that provides return and risk to the portfolio that has been formed optimally. EUR is the most optimal portfolio with a weighting of 63% of the five foreign currencies invested. The results of this study can be used as a consideration for investors in loading the right investment decisions.
Keywords: Optimal Portfolio, Return, risk, Kelly Strategy..
Scope of the Article: Optimal Design of Structures.