Historická analýza a optimalizácia menového portfólia
AN HISTORICAL ANALYSIS AND OPTIMISATION OF MONEY MARKET PORTFOLIO

Summary/Abstract: Questions about profitability of using exchange rates changes at various kinds of finan-cial investments are a subject of a frequent analysis and speculations as well. At present the question is alive mainly in connection with conjectures about possible exchange rate losses at the conversion of dollars returns from the sale of Slovak Gas Industry into Slo-vak currency. But the goal of the paper is not to analyse this special case. The paper concentrates the attention on historical analysis and optimisation of portfolio of selected international money market tools. In general, for an international investor, fluctuations in asset prices must be converted from the local currency into the currency in which portfolio performance is evaluated. Exchange rates changes are therefore critical for measuring and comparing the returns from different countries. In the paper the special money market that consists of three months tools of Slovak (BRIBID3M), Czech (PRIBOR3M), Polish (WIBOR3M), Hungarian (BUBOR3M), Switzerland (SF003M) and British (BP003M) money markets together with a one USD (SBWMUD3U) and EMU (SDWMEU3L) three months tool of money market, is cre-ated. The paper looks for an answer to the question what kind of currencies was efficient for investors to hold from historical point of view. Monthly returns for period from Sep-tember 1996 to May 2002 are used at the analysis. Together with them the data about monthly exchange rates of Slovak currency with corresponding currencies of assumed money market tools were used as well. Characteristics of the money market tools as average returns and standard deviations of returns are used in the analysis. Returns of assumed money market tools after the conversion into the Slovak currency where the corresponding monthly exchange rates were taken into account are used as well. It is evident that higher returns in SKK go together with higher risk that is measured with standard deviation of returns. We would also like to note that the whole analysis is simplified in this way that transaction costs connected with conversions of returns into Slovak currency are not taken into account. On the described market of assets the frontier of investment opportunities is construc-ted in such a way to consists of the assets portfolios that ensure required (expected) re-turns at as low risk as possible. The part of the frontier, from the point that corresponds to the portfolio with global minimum risk, as it is known from a modern portfolio theory, creates the set of efficient portfolios. From the technical point of view one need to solve a series of quadratic programming problems that are known as Markowitz portfolio selection problems....

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