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

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)

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
)

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           

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
  
 
   
   
 
  
 
  
    



    



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

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%

da3733607952109fe5c9e4b05b0ff86546643657.xlsx - 2RiskyAsset 04/22/2018 - 08:08:32
.
Risky Portfolios
Correlation 1
Correlation -1
Correlation 0.5
Correlation 0

da3733607952109fe5c9e4b05b0ff86546643657.xlsx - 2RiskyAsset 04/22/2018 - 08:08:32
0.03 0.04 0.05 0.06 0.07
Standard deviation

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

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