2-Security Portfolios

2-Security Portfolios - Given E(1) Sigma(1) 5% E(2) 20%...

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Given E(1) 5% E(2) 15% Sigma(1) 20% Sigma(2) 40% Case 1 2 3 4 5 rho12= 1 0.5 0 -0.5 -1 Portfolio x(1) x(2) E(p) SDp SDp SDp SDp SDp 1 -0.3 1.3 18% 46% 49% 52% 55% 58% 2 -0.28 1.28 18% 46% 48% 51% 54% 57% 3 -0.25 1.25 18% 45% 48% 50% 53% 55% 4 -0.23 1.23 17% 45% 47% 49% 51% 54% 5 -0.2 1.2 17% 44% 46% 48% 50% 52% 6 -0.18 1.18 17% 44% 45% 47% 49% 51% 7 -0.15 1.15 17% 43% 45% 46% 48% 49% 8 -0.13 1.13 16% 43% 44% 45% 46% 48% 9 -0.1 1.1 16% 42% 43% 44% 45% 46% 10 -0.08 1.08 16% 42% 42% 43% 44% 45% 11 -0.05 1.05 16% 41% 42% 42% 43% 43% 12 -0.03 1.03 15% 41% 41% 41% 41% 42% 13 0 1 15% 40% 40% 40% 40% 40% 14 0.03 0.98 15% 40% 39% 39% 39% 39% 15 0.05 0.95 15% 39% 39% 38% 38% 37% 16 0.08 0.93 14% 39% 38% 37% 36% 36% 17 0.1 0.9 14% 38% 37% 36% 35% 34% 18 0.13 0.88 14% 38% 36% 35% 34% 33% 19 0.15 0.85 14% 37% 36% 34% 33% 31% 20 0.18 0.83 13% 37% 35% 33% 31% 30% 21 0.2 0.8 13% 36% 34% 32% 30% 28% 22 0.23 0.78 13% 36% 33% 31% 29% 27% 23 0.25 0.75 13% 35% 33% 30% 28% 25% Composition of Risk-minimizing portfolios. 24 0.28 0.73 12% 35% 32% 30% 27% 24% Case 25 0.3 0.7 12% 34% 31% 29% 26% 22% 1 2 3 4 5 26 0.33 0.68 12% 34% 31% 28% 24% 21% x1* 2 1 0.8 0.71 0.67 27 0.35 0.65 12% 33% 30% 27% 23% 19% x2* -1 0 0.2 0.29 0.33 28 0.38 0.63 11% 33% 29% 26% 22% 18% 29 0.4 0.6 11% 32% 29% 25% 21% 16% 30 0.43 0.58 11% 32% 28% 25% 20% 15% 31
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2-Security Portfolios - Given E(1) Sigma(1) 5% E(2) 20%...

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