ch20efficient_frontiers_i

ch20efficient_frontiers_i - D Bordered Covariance Matrix...

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D. Bordered Covariance Matrix for the Efficient Frontier Portfolio with Mean of 14.0% (same mean as the equally weighted portfolio-weights altered by the Solver) US SPY NetherlandGermany UK Japan Italy France Spain Weights 0.04 0.37 0.00 0.59 0.00 0.00 0.00 0.00 0.04 0.33 1.20 0.00 0.97 0.00 0.00 0.00 0.00 0.37 1.20 26.48 0.00 22.94 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.59 0.97 22.94 0.00 55.20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 1.00 2.50 50.63 0.00 79.12 0.00 0.00 0.00 0.00 Portfolio variance 132.25 Portfolio SD 11.50 Portfolio mean 30.00 Mean SD US SPY NetherlandGermany UK Japan Italy France Spain 14.00 9.17 0.14 0.00 0.24 0.23 0.20 0.00 0.10 0.10 16.00 9.05 0.15 0.00 0.25 0.25 0.18 0.00 0.11 0.07 18.00 8.97 0.16 0.00 0.26 0.27 0.16 0.00 0.11 0.04 19.00 8.93 0.16 0.00 0.27 0.28 0.16 0.00 0.12 0.02
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This note was uploaded on 10/28/2009 for the course MBA MBA608 taught by Professor Martin during the Spring '09 term at Beirut Arab University.

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ch20efficient_frontiers_i - D Bordered Covariance Matrix...

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