Tutorial 7.Answers.xlsx - GIVEN Asset A B Expected Return 14.0 8.0 Step 0.0333333333 Correlation XA(Weight Expected Return 0.0 0.0333 0.0667 0.1000

Tutorial 7.Answers.xlsx - GIVEN Asset A B Expected Return...

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da3733607952109fe5c9e4b05b0ff86546643657.xlsx - 2RiskyAsset 04/22/2018 - 08:08:32 GIVEN Asset Expected Return A 14.0% B 8.0% Step 0.0333333333 Correlation Expected Return 0.0 0.080 0.0333 0.082 0.0667 0.084 0.1000 0.086 0.1333 0.088 0.1667 0.090 0.2000 0.092 0.2333 0.094 0.2667 0.096 0.3000 0.098 0.3333 0.100 0.3667 0.102 0.4000 0.104 0.4333 0.106 0.4667 0.108 0.5000 0.110 0.5333 0.112 0.5667 0.114 0.6000 0.116 0.6333 0.118 0.6667 0.120 0.7000 0.122 0.7333 0.124 0.7667 0.126 X A (Weight)
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da3733607952109fe5c9e4b05b0ff86546643657.xlsx - 2RiskyAsset 04/22/2018 - 08:08:32 0.8000 0.128 0.8333 0.130 0.8667 0.132 0.9000 0.134 0.9333 0.136 0.9667 0.138 1.0000 0.140 X A part of wealth invested in A X B =1-X A. 0≤X A ≤1 E(R P )=X A E(R A )+(1-X A )E(R B )
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da3733607952109fe5c9e4b05b0ff86546643657.xlsx - 2RiskyAsset 04/22/2018 - 08:08:32 Standard Deviation 6.0% 3.0% Correlation 1 Correlation -1 1 -1 Standard Deviation Absolute Value of STDEV 0.030 0.030 0.031 0.027 0.032 0.024 0.033 0.021 0.034 0.018 0.035 0.015 0.036 0.012 0.037 0.009 0.038 0.006 0.039 0.003 0.040 0.000 0.041 0.003 0.042 0.006 0.043 0.009 0.044 0.012 0.045 0.015 0.046 0.018 0.047 0.021 0.048 0.024 0.049 0.027 0.050 0.030 0.051 0.033 0.052 0.036 0.053 0.039 1 2 2 2 2 1 2 1 P A A A B A A A B AB X X X X   
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da3733607952109fe5c9e4b05b0ff86546643657.xlsx - 2RiskyAsset 04/22/2018 - 08:08:32 0.054 0.042 0.055 0.045 0.056 0.048 0.057 0.051 0.058 0.054 0.059 0.057 0.060 0.060 1/ 2 2 1 1 1 se 1 1 se 1 P A A A B A A A B A A A B A A A B A A A B A A A B X X X X X X X X X X X X
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da3733607952109fe5c9e4b05b0ff86546643657.xlsx - 2RiskyAsset 04/22/2018 - 08:08:32 Correlation 0 Correlation 0.5 0 0.5 Standard Deviation Standard Deviation 0.030 0.030 0.029 0.030 0.028 0.030 0.028 0.030 0.027 0.031 0.027 0.031 0.027 0.032 0.027 0.032 0.027 0.033 0.028 0.034 0.028 0.035 0.029 0.036 0.030 0.036 0.031 0.038 0.032 0.039 0.034 0.040 0.035 0.041 0.036 0.042 0.038 0.043 0.040 0.045 0.041 0.046 0.043 0.047 0.045 0.048 0.047 0.050 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00% Opportunity Sets of R E(R) 1/2
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da3733607952109fe5c9e4b05b0ff86546643657.xlsx - 2RiskyAsset 04/22/2018 - 08:08:32 0.048 0.051 0.050 0.053 0.052 0.054 0.054 0.056 0.056 0.057 0.058 0.059 0.060 0.060 0.00 0.01 0.02 0.00% 2.00%
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da3733607952109fe5c9e4b05b0ff86546643657.xlsx - 2RiskyAsset 04/22/2018 - 08:08:32 . Risky Portfolios Correlation 1 Correlation -1 Correlation 0.5 Correlation 0
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da3733607952109fe5c9e4b05b0ff86546643657.xlsx - 2RiskyAsset 04/22/2018 - 08:08:32 0.03 0.04 0.05 0.06 0.07 Standard deviation
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Date : Prices (ENI.MI) (ENEL.MI) (UCG.MI) 12/26/2005 23.43 6.64 49.22 12/19/2005 23.6 6.74 48.67 12/12/2005 23.8 6.8 47.36 12/5/2005 23.51 6.76 45.08 11/28/2005 23.55 6.72 45.42 11/21/2005 23.62 6.67 45.25 11/14/2005 23.13 6.86 44.57 11/7/2005 22.33 6.78 44.11 10/31/2005 22.62 6.72 42.12 10/24/2005 21.91 6.55 38.44 10/17/2005 21.72 6.66 38.65 10/10/2005 22.37 6.79 39.37 10/3/2005 22.83 6.97 38.42 9/26/2005 24.71 7.17 39.67 9/19/2005 24.47 7.23 39.24 9/12/2005 24.68 7.28 39.92 9/5/2005 24.2 7.28 40.17 8/29/2005 24.09 7.23 39.54 8/22/2005 23.2 7.03 38.63 8/15/2005 23.91 6.99 39.07 8/8/2005 24.18 6.94 38.84 8/1/2005 23.24 6.91 37.26 7/25/2005 23.43 7.07 36.96 7/18/2005 22.88 7.02 36.71 7/11/2005 22.81 7.01 37.19 7/4/2005 23.03 7.13 36.94 6/27/2005 21.43 7.23 37.3 6/20/2005 21.35 7.07 36.71 6/13/2005 22.07 7.36 37.34 6/6/2005 21.56 7.5 34.63 5/30/2005 21.18 7.36 34.25
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5/23/2005 20.85 7.39 35.1 5/16/2005 20.21 7.21 37.76 5/9/2005 19.55 7.18 37.72
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