Аpplication of markowitz portfolios based on currency baskets to commodity trade

Abstract

Розглянуто оптимальну структуру кошика валют для мінімізації ризиків торговельних операцій. Проаналізовано принципи побудови оптимального кошика валют, розроблено засадні положення оптимального портфеля Марковіца. Надано пропозиції щодо урахування периферійних валют у структурі платіжного кошика. The article proposes an application of currency basket payments together with Markovitz portfolio idea, to reduce a foreword transactions risk in commodity trade. It follows the line of earlier papers, where the basket payments idea was developed assuming baskets composed of national currencies and precious metals (Gold and Silver), to be used in construction of optimal Markovitz portfolio. The individual basket for each commodity was optimized by minimizations of its value prediction error variance, but the classical portfolio involving the transaction return ratios was considered. This paper is to show, that in transactions concerning similar goods, better results may be reached by using Markovitz portfolios optimized with respect to the transaction returns, i.e. operating directly on the quantities employed in construction of the optimal baskets. Results of application of the idea to selected petroleum products are shown. Variability of the baskets structure in consecutive intervals, from 2000-2004 to 2011, is discussed. Significant role of peripheral currencies, among others of Polish zloty, is exhibited.