Portfolio2 - 7-0.023 0.02343 Constraint on expected...

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Exhibit 35 Scenario model of portfolio selection Scenario input data Returns Scenario Stock 1 Stock 2 Stock 3 Probability 1 -0.07 0.14 0.17 0.143 2 0.06 0.11 -0.04 0.143 3 0.04 0.32 0.13 0.143 4 0.09 0.31 0.73 0.143 5 0.09 0.2 0.02 0.143 6 0.08 0.39 0.13 0.143 7 0.04 -0.07 0.01 0.143 Investment decisions Stock 1 Stock 2 Stock 3 Total Required Fractions to invest 0.445 0.538 0.017 1 = 1 Portfolio returns and squared deviations from mean Scenario Return Sq Dev 1 0.049 0.00660 2 0.082 0.00232 3 0.192 0.00383 4 0.216 0.00744 5 0.145 0.00023 6 0.249 0.01415
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Unformatted text preview: 7-0.023 0.02343 Constraint on expected portfolio return Actual Required 0.130 >= 0.13 Portfolio variance 0.008285 Portfolio stdev 0.0910 Range names used: Probs - F6:F12 Invested - B16:D16 TotInvested - E16 PortReturns - B20:B26 SqDevs - C20:C26 ExpReturn - B30 ReqdReturn - D30 PortVar - B32 A B C D E F G H 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33...
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This note was uploaded on 05/31/2009 for the course MBA 4500 taught by Professor Eyupcetin during the Spring '09 term at Istanbul Technical University.

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