Portfolio Optimization 2 Assets

INPUT VALUES
Expected Return Standard Deviation
Riskfree rate 6%
Asset A 14% 20%
Asset B 8% 15%
Correlation 20%

OUTPUT VALUES
Weight in Asset 1 Standard Deviation Risk Return Trade-Off
Efficient Trade off Curve -60% 24.6% 4.4%
Efficient Trade off Curve -50% 22.7% 5.0%
Efficient Trade off Curve -40% 20.9% 5.6%
Efficient Trade off Curve -30% 19.2% 6.2%
Efficient Trade off Curve -20% 17.6% 6.8%
Efficient Trade off Curve -10% 16.2% 7.4%
Efficient Trade off Curve 0% 15.0% 8.0%
Efficient Trade off Curve 10% 14.0% 8.6%
Efficient Trade off Curve 20% 13.4% 9.2%
Efficient Trade off Curve 30% 13.1% 9.8%
Efficient Trade off Curve 40% 13.2% 10.4%
Efficient Trade off Curve 50% 13.6% 11.0%
Efficient Trade off Curve 60% 14.4% 11.6%
Efficient Trade off Curve 70% 15.5% 12.2%
Efficient Trade off Curve 80% 16.9% 12.8%
Efficient Trade off Curve 90% 18.4% 13.4%
Efficient Trade off Curve 95% 19.2% 13.7%
Efficient Trade off Curve 100% 20.0% 14.0%
Efficient Trade off Curve 110% 21.7% 14.6%
Efficient Trade off Curve 120% 23.6% 15.2%
Efficient Trade off Curve 130% 25.5% 15.8%
Efficient Trade off Curve 140% 27.4% 16.4%
Efficient Trade off Curve 150% 29.4% 17.0%
Efficient Trade off Curve 160% 31.5% 17.6%
Efficient Trade off Curve 170% 33.5% 18.2%
Efficient Trade off Curve 180% 35.6% 18.8%
Efficient Trade off Curve 190% 37.7% 19.4%
Optimal Combination 84.00% 17.4%
Efficient Trade off Line 0% 0.0% 6.0%
Efficient Trade off Line 100% 17.4% 13.0%
Efficient Trade off Line 200% 34.9% 20.1%
Optimization 2 Assets

Expected Return (Riskless)

0
0.08
0.02

Efficient Trade-Off Line 25.0%

20.0%

15.0%
Expected Return

10.0%

5.0%

0.0% Standard Deviation

0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0%

Optimal Portfolio
Weight of Asset 1 84.00%
Weight of Asset 2 16.00%
Expected Return 13.04%
Standard Deviation 17.44%
Coefficient of Variation 0.748

13.0%
 Valuation (USD Treasury Bills)
Input Values
Face Amount $100.00
Discount Amount 10%
Day Basis 360
Maturity 180

Workings
Settlement (Days) 0 1 2
Maturity 180 180 180
Days to Maturity 180 179 178

Mathematics of a Treasury Bill held to M

Discount Amount $5.00 $4.97 $4.94
Price/Present Value $95.00 $95.03 $95.06

Equivalent Yield 10.53% 10.52% 10.52%

Holding Period Yield 5.26% 5.23% 5.20%
Effective Annualised Yield 10.96% 10.96% 10.96%

Valuing a Treasury Bill Bought and Sold

INPUT VALUES
Face Value 100
Day Basis 365
Maturity 91
discount at purchase 10%
discount at sale 8%
Between sale and Maturity (days)[Nsm] 15
Between purchase and Maturity (days)[Npm] 81

OUTPUT VALUES
[Npm-Nsm] or Holding period 66
Realised Yield 10.69%
Value at Sale
Value at Purchase
n (USD Treasury Bills)

3 4 5 6 7 8 9 10 11
180 180 180 180 180 180 180 180 180
177 176 175 174 173 172 171 170 169

a Treasury Bill held to Maturity

$4.92 $4.89 $4.86 $4.83 $4.81 $4.78 $4.75 $4.72 $4.69
$95.08 $95.11 $95.14 $95.17 $95.19 $95.22 $95.25 $95.28 $95.31

10.52% 10.51% 10.51% 10.51% 10.50% 10.50% 10.50% 10.50% 10.49%

5.17% 5.14% 5.11% 5.08% 5.05% 5.02% 4.99% 4.96% 4.93%
10.96% 10.95% 10.95% 10.95% 10.95% 10.95% 10.95% 10.94% 10.94%

ury Bill Bought and Sold Before Maturity(91 Day TB)

 12 13 14 15 16 17 18 19 20
180 180 180 180 180 180 180 180 180
168 167 166 165 164 163 162 161 160

$4.67 $4.64 $4.61 $4.58 $4.56 $4.53 $4.50 $4.47 $4.44

$95.33 $95.36 $95.39 $95.42 $95.44 $95.47 $95.50 $95.53 $95.56

10.49% 10.49% 10.48% 10.48% 10.48% 10.47% 10.47% 10.47% 10.47%

4.90% 4.86% 4.83% 4.80% 4.77% 4.74% 4.71% 4.68% 4.65%
10.94% 10.94% 10.94% 10.94% 10.93% 10.93% 10.93% 10.93% 10.93%
 21 22 23 24 25 26 27 28 29
180 180 180 180 180 180 180 180 180
159 158 157 156 155 154 153 152 151

$4.42 $4.39 $4.36 $4.33 $4.31 $4.28 $4.25 $4.22 $4.19

$95.58 $95.61 $95.64 $95.67 $95.69 $95.72 $95.75 $95.78 $95.81

10.46% 10.46% 10.46% 10.45% 10.45% 10.45% 10.44% 10.44% 10.44%

4.62% 4.59% 4.56% 4.53% 4.50% 4.47% 4.44% 4.41% 4.38%
10.93% 10.92% 10.92% 10.92% 10.92% 10.92% 10.92% 10.91% 10.91%
 30 31 32 33 34 35 36 37 38
180 180 180 180 180 180 180 180 180
150 149 148 147 146 145 144 143 142

$4.17 $4.14 $4.11 $4.08 $4.06 $4.03 $4.00 $3.97 $3.94

$95.83 $95.86 $95.89 $95.92 $95.94 $95.97 $96.00 $96.03 $96.06

10.43% 10.43% 10.43% 10.43% 10.42% 10.42% 10.42% 10.41% 10.41%

4.35% 4.32% 4.29% 4.26% 4.23% 4.20% 4.17% 4.14% 4.11%
10.91% 10.91% 10.91% 10.91% 10.90% 10.90% 10.90% 10.90% 10.90%
 39 40 41 42 43 44 45 46 47
180 180 180 180 180 180 180 180 180
141 140 139 138 137 136 135 134 133

$3.92 $3.89 $3.86 $3.83 $3.81 $3.78 $3.75 $3.72 $3.69

$96.08 $96.11 $96.14 $96.17 $96.19 $96.22 $96.25 $96.28 $96.31

10.41% 10.40% 10.40% 10.40% 10.40% 10.39% 10.39% 10.39% 10.38%

4.08% 4.05% 4.02% 3.99% 3.96% 3.93% 3.90% 3.87% 3.84%
10.90% 10.89% 10.89% 10.89% 10.89% 10.89% 10.89% 10.89% 10.88%
 48 49 50 51 52 53 54 55 56
180 180 180 180 180 180 180 180 180
132 131 130 129 128 127 126 125 124

$3.67 $3.64 $3.61 $3.58 $3.56 $3.53 $3.50 $3.47 $3.44

$96.33 $96.36 $96.39 $96.42 $96.44 $96.47 $96.50 $96.53 $96.56

10.38% 10.38% 10.37% 10.37% 10.37% 10.37% 10.36% 10.36% 10.36%

3.81% 3.78% 3.75% 3.72% 3.69% 3.66% 3.63% 3.60% 3.57%
10.88% 10.88% 10.88% 10.88% 10.88% 10.87% 10.87% 10.87% 10.87%
 57 58 59 60 61 62 63 64 65
180 180 180 180 180 180 180 180 180
123 122 121 120 119 118 117 116 115

$3.42 $3.39 $3.36 $3.33 $3.31 $3.28 $3.25 $3.22 $3.19

$96.58 $96.61 $96.64 $96.67 $96.69 $96.72 $96.75 $96.78 $96.81

10.35% 10.35% 10.35% 10.34% 10.34% 10.34% 10.34% 10.33% 10.33%

3.54% 3.51% 3.48% 3.45% 3.42% 3.39% 3.36% 3.33% 3.30%
10.87% 10.87% 10.86% 10.86% 10.86% 10.86% 10.86% 10.86% 10.85%
 66 67 68 69 70 71 72 73 74
180 180 180 180 180 180 180 180 180
114 113 112 111 110 109 108 107 106

$3.17 $3.14 $3.11 $3.08 $3.06 $3.03 $3.00 $2.97 $2.94

$96.83 $96.86 $96.89 $96.92 $96.94 $96.97 $97.00 $97.03 $97.06

10.33% 10.32% 10.32% 10.32% 10.32% 10.31% 10.31% 10.31% 10.30%

3.27% 3.24% 3.21% 3.18% 3.15% 3.12% 3.09% 3.06% 3.03%
10.85% 10.85% 10.85% 10.85% 10.85% 10.84% 10.84% 10.84% 10.84%
 75 76 77 78 79 80 81 82 83
180 180 180 180 180 180 180 180 180
105 104 103 102 101 100 99 98 97

$2.92 $2.89 $2.86 $2.83 $2.81 $2.78 $2.75 $2.72 $2.69

$97.08 $97.11 $97.14 $97.17 $97.19 $97.22 $97.25 $97.28 $97.31

10.30% 10.30% 10.29% 10.29% 10.29% 10.29% 10.28% 10.28% 10.28%

3.00% 2.97% 2.95% 2.92% 2.89% 2.86% 2.83% 2.80% 2.77%
10.84% 10.84% 10.83% 10.83% 10.83% 10.83% 10.83% 10.83% 10.82%
 84 85 86 87 88 89 90 91 92
180 180 180 180 180 180 180 180 180
96 95 94 93 92 91 90 89 88

$2.67 $2.64 $2.61 $2.58 $2.56 $2.53 $2.50 $2.47 $2.44

$97.33 $97.36 $97.39 $97.42 $97.44 $97.47 $97.50 $97.53 $97.56

10.27% 10.27% 10.27% 10.27% 10.26% 10.26% 10.26% 10.25% 10.25%

2.74% 2.71% 2.68% 2.65% 2.62% 2.59% 2.56% 2.53% 2.51%
10.82% 10.82% 10.82% 10.82% 10.82% 10.82% 10.81% 10.81% 10.81%
 93 94 95 96 97 98 99 100 101
180 180 180 180 180 180 180 180 180
87 86 85 84 83 82 81 80 79

$2.42 $2.39 $2.36 $2.33 $2.31 $2.28 $2.25 $2.22 $2.19

$97.58 $97.61 $97.64 $97.67 $97.69 $97.72 $97.75 $97.78 $97.81

10.25% 10.24% 10.24% 10.24% 10.24% 10.23% 10.23% 10.23% 10.22%

2.48% 2.45% 2.42% 2.39% 2.36% 2.33% 2.30% 2.27% 2.24%
10.81% 10.81% 10.81% 10.80% 10.80% 10.80% 10.80% 10.80% 10.80%
 102 103 104 105 106 107 108 109 110
180 180 180 180 180 180 180 180 180
78 77 76 75 74 73 72 71 70

$2.17 $2.14 $2.11 $2.08 $2.06 $2.03 $2.00 $1.97 $1.94

$97.83 $97.86 $97.89 $97.92 $97.94 $97.97 $98.00 $98.03 $98.06

10.22% 10.22% 10.22% 10.21% 10.21% 10.21% 10.20% 10.20% 10.20%

2.21% 2.19% 2.16% 2.13% 2.10% 2.07% 2.04% 2.01% 1.98%
10.79% 10.79% 10.79% 10.79% 10.79% 10.79% 10.78% 10.78% 10.78%
 111 112 113 114 115 116 117 118 119
180 180 180 180 180 180 180 180 180
69 68 67 66 65 64 63 62 61

$1.92 $1.89 $1.86 $1.83 $1.81 $1.78 $1.75 $1.72 $1.69

$98.08 $98.11 $98.14 $98.17 $98.19 $98.22 $98.25 $98.28 $98.31

10.20% 10.19% 10.19% 10.19% 10.18% 10.18% 10.18% 10.18% 10.17%

1.95% 1.93% 1.90% 1.87% 1.84% 1.81% 1.78% 1.75% 1.72%
10.78% 10.78% 10.78% 10.77% 10.77% 10.77% 10.77% 10.77% 10.77%
 120 121 122 123 124 125 126 127 128
180 180 180 180 180 180 180 180 180
60 59 58 57 56 55 54 53 52

$1.67 $1.64 $1.61 $1.58 $1.56 $1.53 $1.50 $1.47 $1.44

$98.33 $98.36 $98.39 $98.42 $98.44 $98.47 $98.50 $98.53 $98.56

10.17% 10.17% 10.16% 10.16% 10.16% 10.16% 10.15% 10.15% 10.15%

1.69% 1.67% 1.64% 1.61% 1.58% 1.55% 1.52% 1.49% 1.47%
10.77% 10.76% 10.76% 10.76% 10.76% 10.76% 10.76% 10.75% 10.75%
 129 130 131 132 133 134 135 136 137
180 180 180 180 180 180 180 180 180
51 50 49 48 47 46 45 44 43

$1.42 $1.39 $1.36 $1.33 $1.31 $1.28 $1.25 $1.22 $1.19

$98.58 $98.61 $98.64 $98.67 $98.69 $98.72 $98.75 $98.78 $98.81

10.14% 10.14% 10.14% 10.14% 10.13% 10.13% 10.13% 10.12% 10.12%

1.44% 1.41% 1.38% 1.35% 1.32% 1.29% 1.27% 1.24% 1.21%
10.75% 10.75% 10.75% 10.75% 10.74% 10.74% 10.74% 10.74% 10.74%
 138 139 140 141 142 143 144 145 146
180 180 180 180 180 180 180 180 180
42 41 40 39 38 37 36 35 34

$1.17 $1.14 $1.11 $1.08 $1.06 $1.03 $1.00 $0.97 $0.94

$98.83 $98.86 $98.89 $98.92 $98.94 $98.97 $99.00 $99.03 $99.06

10.12% 10.12% 10.11% 10.11% 10.11% 10.10% 10.10% 10.10% 10.10%

1.18% 1.15% 1.12% 1.10% 1.07% 1.04% 1.01% 0.98% 0.95%
10.74% 10.74% 10.73% 10.73% 10.73% 10.73% 10.73% 10.73% 10.72%
 147 148 149 150 151 152 153 154 155
180 180 180 180 180 180 180 180 180
33 32 31 30 29 28 27 26 25

$0.92 $0.89 $0.86 $0.83 $0.81 $0.78 $0.75 $0.72 $0.69

$99.08 $99.11 $99.14 $99.17 $99.19 $99.22 $99.25 $99.28 $99.31

10.09% 10.09% 10.09% 10.08% 10.08% 10.08% 10.08% 10.07% 10.07%

0.93% 0.90% 0.87% 0.84% 0.81% 0.78% 0.76% 0.73% 0.70%
10.72% 10.72% 10.72% 10.72% 10.72% 10.71% 10.71% 10.71% 10.71%
 156 157 158 159 160 161 162 163 164
180 180 180 180 180 180 180 180 180
24 23 22 21 20 19 18 17 16

$0.67 $0.64 $0.61 $0.58 $0.56 $0.53 $0.50 $0.47 $0.44

$99.33 $99.36 $99.39 $99.42 $99.44 $99.47 $99.50 $99.53 $99.56

10.07% 10.06% 10.06% 10.06% 10.06% 10.05% 10.05% 10.05% 10.04%

0.67% 0.64% 0.61% 0.59% 0.56% 0.53% 0.50% 0.47% 0.45%
10.71% 10.71% 10.71% 10.70% 10.70% 10.70% 10.70% 10.70% 10.70%
 165 166 167 168 169 170 171 172 173
180 180 180 180 180 180 180 180 180
15 14 13 12 11 10 9 8 7

$0.42 $0.39 $0.36 $0.33 $0.31 $0.28 $0.25 $0.22 $0.19

$99.58 $99.61 $99.64 $99.67 $99.69 $99.72 $99.75 $99.78 $99.81

10.04% 10.04% 10.04% 10.03% 10.03% 10.03% 10.03% 10.02% 10.02%

0.42% 0.39% 0.36% 0.33% 0.31% 0.28% 0.25% 0.22% 0.19%
10.69% 10.69% 10.69% 10.69% 10.69% 10.69% 10.68% 10.68% 10.68%
 174 175 176 177 178 179 180 181 182
180 180 180 180 180 180 180
6 5 4 3 2 1 0

$0.17 $0.14 $0.11 $0.08 $0.06 $0.03 $0.00

$99.83 $99.86 $99.89 $99.92 $99.94 $99.97 $100.00

10.02% 10.01% 10.01% 10.01% 10.01% 10.00% 10.00%

0.17% 0.14% 0.11% 0.08% 0.06% 0.03% 0.00%
10.68% 10.68% 10.68% 10.68% 10.67% 10.67% #DIV/0!
183 184 185 186 187 188 189 190 191 192
193 194 195 196 197 198 199 200 201 202
203 204 205 206 207 208 209 210 211 212
213 214 215 216 217 218 219 220 221 222
223 224 225 226 227 228 229 230 231 232
233 234 235 236 237 238 239 240 241 242
243 244 245 246 247 248 249 250 251 252
253
 Valuation of a Fixed Deposit (ZAR Acco
INPUT VALUES
Principal/Investment ZAR 100,000.00
Day Basis 365
Tax rate 15%
Tenure (Days) 1 7 14
Indicative Rates 2.00% 5% 10%

OUPUT VALUES
Interest Before Tax ZAR 5.48 ZAR 95.89 ZAR 383.56
Tax Amont ZAR 0.82 ZAR 14.38 ZAR 57.53
Interest After Tax ZAR 4.66 ZAR 81.51 ZAR 326.03
Maturity Value ZAR 100,004.66 ZAR 100,081.51 ZAR 100,326.03
on of a Fixed Deposit (ZAR Accounts)

30 60 90 120 180
13% 15% 18% 21% 25%

ZAR 1,068.49 ZAR 2,465.75 ZAR 4,438.36 ZAR 6,904.11 ZAR 12,328.77
ZAR 160.27 ZAR 369.86 ZAR 665.75 ZAR 1,035.62 ZAR 1,849.32
ZAR 908.22 ZAR 2,095.89 ZAR 3,772.60 ZAR 5,868.49 ZAR 10,479.45
ZAR 100,908.22 ZAR 102,095.89 ZAR 103,772.60 ZAR 105,868.49 ZAR 110,479.45