Portfolio formation rules

• Assume that you are a US-based currency trader.
• You have a purse worth 10 million USD. So, the initial value of the portfolio is $10,000,000.
• Convert $10,000,000 into five different currencies at the current exchange rates. The currency quotes can be obtained from OANDA.com. ((CAD), (EUR), (GBP), (CHF), (INR),)
• Your conversion rates need to be as accurate as possible.
• All currencies are needed to be priced out to the fourth decimal point.
• You can invest up to 40% of the total in any one currency.
• The portfolio will be held for 30 days, i.e., the length of the holding period is 30 days.
• You can make up to 10 changes to your portfolio during the holding period.
• You will convert the currencies back into the USD at the end of the investment window at prevailing exchange rates.
• The holding period return can be calculated using this simple formula:

Here, $10,000,000 is the value of the portfolio at the beginning of the holding period.

Value of the portfolio in USD at the end of the holding period $10,000,000 $10,000,000 Value of the portfolio in USD at the end of the holding period $10,000,000 $10,000,000