- Create a portfolio of two crypto currencies and one risk free asset. Use all the portfolio concepts learnt in CH 6 and CH 7.
i) Select and download 2 crypto currencies data going back two years ending 1st February 2022
(Just google the historical exchange rate)
ii) Show the currencies that you selected as well as their expected returns, variances and covariance (for each pair in your portfolio)
iii) Download the risk free rate for the same time period.
iv) Find the weights of the optimal complete portfolio.
v) Find the expected returns and the SD of the optimum portfolio. (use sharp ratio to find optimum portfolio)
vi) The risk aversion (A) value is 1.5.
vii) Repeat the above for the two risky and one risk free portfolio.
viii) Select the better portfolio from the two.
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