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The observation intended to define the optimal portfolio towards
foreign currencies investment in Indonesia using Markowitz model.
The observation described the portfolio exchange rates of Rupiah
towards other currencies to find the analysis results could be
implemented only in Indonesia’s foreign exchange market. The
population is whole of foreign currencies amounted 168 currencies, but
the samples used in this study were 22 currencies published on Bank of
Indonesia website. The sampling technic used in this observation was
Convenience Sampling/Accidental Sampling because samples were
choosen based on the easiness of getting data. The data being applied in
this observation is daily middle exchange rate from 2012 October 1st
until 2013 June 30rd. The whole of calculation used Microsoft Excel
2010 with Solver optimization as an equipment to analyze.
Construction optimal portfolio that have been made by using
Markowitz model and Solver Optimization’s help in Microsoft Excel
consist of 14 samples, as follows : USD, EUR, CHF, SEK, DKK, SGD,
HKD, MYR, CNY, SAR, KWD, KRW, THB and PHP. The biggest
proportion of all currencies is United States Dollar, the second one is
China Yuan and the third one is Phillipine Peso. The results of
construction optimal portfolio having the rate of return amounted
0,01039% with the rate of risk 0,00017%.
Keywords: porfolio optimization, foreign currencies, Markowitz
Model, Solver |
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