Fig8-30 - 9 12.0% 20.5%-1.9% Portfolio Variance 0.00110 10...

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Portfolio Analysis Page 1 Annual Return Covariance Matrix Year IBC NMC NBS IBC NMC NBS 1 11.2% 8.0% 10.9% IBC 0.00258 -0.00025 0.00440 2 10.8% 9.2% 22.0% NMC -0.00025 0.00276 -0.00542 3 11.6% 6.6% 37.9% NBS 0.00440 -0.00542 0.03677 4 -1.6% 18.5% -11.8% 5 -4.1% 7.4% 12.9% IBC NMC NBS Total 6 8.6% 13.0% -7.5% Portfolio 36.0% 57.0% 7.1% 100% 7 6.8% 22.0% 9.3% 8 11.9% 14.0% 48.7% Expected Return 11.46%
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Unformatted text preview: 9 12.0% 20.5%-1.9% Portfolio Variance 0.00110 10 8.3% 14.0% 19.1% Risk Aversion Value 1 11 6.0% 19.0%-3.4% Weighted Objective 12 10.2% 9.0% 43.0% Average 7.64% 13.43% 14.93% Portfolio Selection Problem Maximize: H16 By changing: G11:I11 Subject to: J11=1 0<=G11:I11<=1...
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