Path: TopS1-Final ProjectSchool of Business and Management2010

OPTIMAL PORTFOLIO BASED ON HOURLY TRADING IN FOREIGN EXCHANGE: EMPIRICAL STUDY ON FIVE MAJOR CURRENCY PAIRS (FEBRUARY 2010- APRIL 2010)

Undergraduate Theses from JBPTITBPP / 2012-07-18 12:05:51
Oleh : MARTIN ARIANE WIBISANA (NIM 19007009); Pembimbing: Ir. Achmad Herlanto Anggono, MBA., School of Business and Management
Dibuat : 2010, dengan 7 file

Keyword : forex, currency, forex portfolio, value at risk

This paper will try to find the way to manage the risk and return in hourly forex trading by using Markowitz modern portfolio and value at risk (VaR) as a consideration of the risk limitation of the portfolio and evaluate whether the portfolio is efficient enough according to the comparison of its return to its risk.

The object of this research is the five most traded exchange currency pairs, which are Australian Dollar/US Dollar (AUD/USD), Euro/US Dollar (EUR/USD), Great Britain Pound Sterling/US Dollar (GBP), Swiss Franc/US Dollar (CHF/USD), and Japanese Yen/US Dollar (JPY/USD). The hourly price data of these currency pairs are obtained during the three months of internship period (February 2010 – April 2010) in Valbury Asia Futures.

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  • Pembimbing: Ir. Achmad Herlanto Anggono, MBA., Editor: Vika A. Kovariansi

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