Optimization of Foreign Exchange using Kelly Criteria Model

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.