Scribd
Upload
32 views

Mushtaq Hussain Khan MM133038: Assignment # 01 Markowitz Efficient Portfolio Frontier Currency Months Dollar Euro R$

The document shows the exchange rates of the US Dollar and Euro against other currencies from September 2012 to September 2013. It includes the monthly average exchange rates and calculates the risk and return for portfolios consisting of different weightings of the Dollar and Euro. Risk and return data is presented to plot the efficient frontier for portfolios consisting of these two currencies.

Uploaded by

Muneeb Aman
Copyright
© © All Rights Reserved
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
32 views

Mushtaq Hussain Khan MM133038: Assignment # 01 Markowitz Efficient Portfolio Frontier Currency Months Dollar Euro R$

The document shows the exchange rates of the US Dollar and Euro against other currencies from September 2012 to September 2013. It includes the monthly average exchange rates and calculates the risk and return for portfolios consisting of different weightings of the Dollar and Euro. Risk and return data is presented to plot the efficient frontier for portfolios consisting of these two currencies.

Uploaded by

Muneeb Aman
Copyright
© © All Rights Reserved
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
You are on page 1/ 6

Mushtaq Hussain Khan Assignment # 01

MM133038 Markowitz Efficient Portfolio Frontier


Currency
Months Dollar Euro R$
Sep.2012 94.7 122.5
Oct.2012 95.8 124.2 0.011616
Nov.2012 96.5 125.4 0.007307
Dec.2012 97.1 128.3 0.006218
Jan.2013 97.6 132.5 0.005149
Feb.2013 98.1 128.9 0.005123
Mar.2013 98.3 125.6 0.002039
Apr.2013 98.4 128.8 0.000509
May.2013 98.3 127.4 -0.000508
June.2013 98.8 129.1 0.005086
July.2013 101.8 134.9 0.030364
Aug.2013 104.2 138.0 0.023576
Sep.2013 105.5 142.5 0.012476
Averages 0.00907949
Risk for both Currencies ($ & €)

From Above Informantion Risk & Re


Return for Dollar = Ṝ$ = 0.00907949 Matrix
Risk = б$ = 0.00891856 Ṝр
Return for Euro = Ṝ€ = 0.01290531
Risk = б€ = 0.02197787 0.00871588
Covariance = б$€ = 0.000112
Weights б²р
W$ + W€ = 1
W€ = 1 - W$ -0.095 0.00007648
W$ = (б€²- б$€) ⁄ (б$² + б€² - 2б$€) 1.095

Snapshot of Values of Risk & Return


Dollar
Expected Returns 0.00907949
Risk 0.00891856

Markowitz Portfolio Frontier


0.025
Expected Returns
Markowitz
Dollar
Portfolio Frontier
0.00907949157146
0.025 Euro 0.01290531294502
Portfolio 0.00871587729383
0.02

R 0.015
I
S 0.01
K
0.005

0
0.5 1 1.5 2 2.5 3 3.5
RETURN
# 01
tfolio Frontier

R$ - Ṝ$ (R$ - Ṝ$)² R€ R€ - Ṝ€ (R€ - Ṝ€)²

0.002536 0.00000643 0.013551 0.000646 0.00000042


-0.001773 0.00000314 0.010148 -0.002757 0.00000760
-0.002862 0.00000819 0.023043 0.010137 0.00010276
-0.003930 0.00001545 0.032499 0.019594 0.00038393
-0.003957 0.00001565 -0.026721 -0.039626 0.00157025
-0.007041 0.00004957 -0.025826 -0.038731 0.00150011
-0.008571 0.00007346 0.025396 0.012491 0.00015602
-0.009588 0.00009193 -0.010870 -0.023775 0.00056524
-0.003993 0.00001594 0.013422 0.000517 0.00000027
0.021285 0.00045305 0.045000 0.032095 0.00103009
0.014496 0.00021014 0.022754 0.009849 0.00009700
0.003397 0.00001154 0.032466 0.019561 0.00038263
0.00007954 0.01290531 0.00048303
0.008918561 0.02197787

Risk & Return for Portfolio are calculated by


Matrix Multipication (MMULT) formula
W$ W€ Ṝ$
Ṝ€
1.095 -0.095 0.009079
0.012905
W$ W€ б$² б$€
б$€ б€²
1.095 -0.095 0.0000795 0.000112
0.000112 0.0004830

Risk & Return


Euro Portfolio
0.01290531 0.00871588
0.02197787 0.00007648

rtfolio Frontier
Risk
rtfolio Frontier
0.00891856139819
0.021977869
0.00007647819

Expected Returns
Risk

2.5 3 3.5
(R$ - Ṝ$)(R€ - Ṝ€)

0.00000164
0.00000489
-0.00002901
-0.00007701
0.00015678
0.00027270
-0.00010706
0.00022795
-0.00000206
0.00068314
0.00014277
0.00006644
0.00011176
Fact Sheet
Date Country Currency Selling TT & OD Buying TT Clear Buying OD/T.CHQ
Sep.2012
Dollar USA USD 94.7 94.5 94.3
Euro Euro EUR 122.5 122.2 121.9
Oct.2012
Dollar USA USD 95.8 95.6 95.4
Euro Euro EUR 124.2 123.9 123.7
Nov.2012
Dollar USA USD 96.5 96.3 96.1
Euro Euro EUR 125.4 125.2 124.3
Dec.2012
Dollar USA USD 97.1 96.9 96.7
Euro Euro EUR 128.3 128.1 127.8
Jan.2013
Dollar USA USD 97.6 97.4 97.2
Euro Euro EUR 132.5 132.2 131.9
Feb.2013
Dollar USA USD 98.1 97.9 97.7
Euro Euro EUR 128.9 128.7 128.4
March.2013
Dollar USA USD 98.3 98.1 97.9
Euro Euro EUR 125.6 125.4 125.1
April.2013
Dollar USA USD 98.4 98.2 97.9
Euro Euro EUR 128.8 128.5 128.3
May.2013
Dollar USA USD 98.3 98.1 97.9
Euro Euro EUR 127.4 127.1 126.9
June.2013
Dollar USA USD 98.8 98.6 98.4
Euro Euro EUR 129.1 128.9 128.6
July.2013
Dollar USA USD 101.8 101.6 101.4
Euro Euro EUR 134.9 134.7 134.4
August.2013
Dollar USA USD 104.2 104.0 103.9
Euro Euro EUR 138.0 137.7 137.5
Sep.2013
Dollar USA USD 105.5 105.3 105.1
Euro Euro EUR 142.5 142.2 141.9

You might also like