OPTIMIZATION FOREIGN EXCHANGE PORTFOLIO AT MANDIRI MONEY CHANGER JAKARTA BANDARA SOEKARNO HATTA TERMINAL II D/E

• Main Author: TARIGAN (NIM : 29110058) Pembimbing : Dr. Ir. Budhi Arta Surya, DAVID
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/18253
• Institution: Institut Teknologi Bandung

Growing number of foreign tourists visiting Indonesia, increasing volume of import and export, as well as the number of Indonesian Workers (TKI) working abroad provides opportunities in the business of money changers or often referred to as Authorized Money Changer. Money changer business basically taking profit from the difference between the buying and selling rates of currencies are traded. Volume of transactions is key target in the business because the exchange rate is slightly different among money changers. Money changer business like other financial institution also highly regulated by central bank (Bank Indonesia). Before offering their services to the market, money changer owner must have the permit issued by the central bank.Foreign exchange trading business as well as other businesses also have some risks, including exchange rate risk, market risk, and reputation risk. The most commonly risk encountered by foreign exchange trader is exchange rate risk due to volatility changes in exchange rates in the financial markets. It is anticipated by fulfilling the minimum capital adequacy asked by regulator (sentral bank) and portfolio management of foreign exchange (banknotes).This final project mainly focused on determining optimum portfolio for 14 foreign currency (banknotes) that are not selling by the branch through auction scheme. The analysis using 5 years historical data for 14 foreign currency USD, AUD, BND, CAD, CNY, CHF, EUR, GBP, HKD, JPY, MYR, NZD, SGD, THB obtained from bloomberg. Optimum portfolio simulation are conducting using excel solver add in.Optimum portfolio recommended to the Mandiri Branch Jakarta Soekarno Hatta Terminal IID/E to maximize return should consists of AUD (28,7%), BND (12,3%), CNY (28%), CHF (6,5%), and JPY (24,5%). The portfolio return is 0,09725 % (week) or 5,1% a year with portfolio standard deviation is 1,20651%. Although from calculation the result of portfolio average return and standard deviation is only slightly different between annual and semi-annual rebalancing, the result proof that semi-annual rebalancing strategies can decrease level of risk (standard deviation) by 1,50% and also increase the return by 0,24%.