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