Innocents Abroad: Currencies and International Stock Retruns
Case Study Solution
Solution Table of Contents
1.        Return and Standard Deviation Analysis – Case 1st Bullet Answers
2.        Cross Country Correlations – Case 2nd Bullet Answers
3.        EAFE vs. S&P Analysis and Decomposition – Case 3rd Bullet Answers
4.        EAFE vs. S&P 500 Portfolio Scenarios – Case 4th Bullet Answers
5.        Minimum Variance Portfolio w/ Minimum 15% Return – Additional Questions #2
6.        Portfolio Scenarios – Global Min Var Portfolio –  Additional Questions #3
7.        Average Yearly Returns - $USD Denominated – Full Period
8.        Port – Min Variance - $USD Denominated – Full Period
9.        Port – Max Sharpe - $USD Denominated – Full Period
10.        Port – Max Profit, Limit Short Sell, Incl. U.S. - $USD Denominated – Full Period
11.        Average Yearly Returns - $USD Denominated – Sub Periods
12.        Port – Min Variance - $USD Denominated – 1981-1991
13.        Port -  Max Sharpe - $USD Denominated – 1981-1991
14.        Port – Max Profit, Limit Short Sell, Incl. U.S. - $USD Denominated – 1981-1991
15.        Port – Min Variance - $USD Denominated – 1992-2003
16.        Port – Max Sharpe - $USD Denominated – 1992-2003
17.        Port – Max Profit, Limit Short Sell, Incl. U.S. - $USD Denominated – 1992-2003
18.        Average Yearly Returns – Local Currency – Full Period
19.        Port – Min Variance – Local Currency – Full Period
20.        Port – Max Sharpe – Local Currency – Full Period
21.        Port – Max Profit, Limit Short Sell, Incl. U.S. – Local Currency – Full Period
22.        Average Yearly Returns – Local Currency – Sub Periods
23.        Port – Min Variance – Local Currency – 1981-1991
24.        Port – Max Sharpe – Local Currency – 1981-1991
25.        Port – Max Profit, Limit Short Sell, Incl. U.S. – Local Currency – 1981-1991
26.        Port – Min Variance – Local Currency – 1992-2003
27.        Port – Max Sharpe – Local Currency – 1992-2003
28.        Port – Max Profit, Limit Short Sell, Incl. U.S. – Local Currency – 1992-2003
29.        Appendix A – Given Data and Our Calculations
30.        Appendix B – Given Data and Our Calculations
31.        Appendix C – Given Data and Our Calculations
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