DYNAMIC CHART (3 STOCKS)

DYNAMIC CHART (3 STOCKS) - A PORTFOLIO WEIGHTS 1 23.04%...

Info iconThis preview shows pages 1–4. Sign up to view the full content.

View Full Document Right Arrow Icon
PORTFOLIO OPTIMIZATION ONE PLUS INPUTS EXPECTED STANDARD EXP RATE RETURN DEVIATION {1+E®} ONES Riskless Rate ® 3.00% 0.00% 103.00% Risky Asset 1 8.00% 19.00% 108.00% 100.00% Risky Asset 2 9.00% 20.00% 109.00% 100.00% Risky Asset 3 10.00% 20.00% 110.00% 100.00% CORRELATIONS 1 2 3 1 100.00% 0.00% 0.00% 2 0.00% 100.00% 0.00% 3 0.00% 0.00% 100.00% STANDARD DEVIATION RISKY ASSETS 1 2 3 19.00% 20.00% 20.00% 1 2 3 1 3.61% 0.00% 0.00% 2 0.00% 4.00% 0.00% 3 0.00% 0.00% 4.00% A 77.7 B 84.67 C 92.26 DELTA 0.41 GAMMA 0.22 INDEX RISKY ASSET 1 19.00% 8.00% RISKY ASSET 2 20.00% 9.00% RISKY ASSET 3 20.00% 10.00% 0 25.00% 7.35% EFFICIENT FRONTIER CURVE EFFICIENT TRADE OFF LINE INDIVIDUAL ASSET STANDARD DEVIATION EXPECTED RETURN EXPECTED RETURN 0.00% 5.00% 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00% EFFICIENT TRADE O EXPECTED RETURN 1 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 30.00% 35.00% 40.00% PORTFOLIO WEIGHT
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Background image of page 2
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Background image of page 4
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: A PORTFOLIO WEIGHTS 1 23.04% 7.51% 2 21.13% 7.67% 3 19.28% 7.83% 4 17.53% 8.00% 5 15.90% 8.16% 6 14.43% 8.32% 7 13.17% 8.48% 8 12.19% 8.64% 9 11.56% 8.80% 10 11.34% 8.97% 11 11.56% 9.13% 12 12.19% 9.29% 13 13.17% 9.45% 14 14.43% 9.61% 15 15.90% 9.77% 16 17.53% 9.93% 17 19.28% 10.10% 18 21.13% 10.26% 19 23.04% 10.42% 20 25.00% 10.58% OPTIMAL COMBINATION 11.45% 9.08% EFFICIENT TRA 0.00% 0.00% 3.00% 100.00% 11.45% 9.08% 200.00% 22.90% 15.16% 29.88% 32.36% 37.76% OPTIMAL COMBINATION OF RISKY ASSETS IN TANGENT PORTFOLIO % 10.00% 15.00% 20.00% 25.00% 30.00% OFF LINE &EFFICIENT FRONTIER CURVE Column E Column F Column G STANDARD DEVIATION 2 3 TS IN AN OPTIMAL (TANGENT) PORTFOLIO Column I ASSET NUMBER...
View Full Document

This note was uploaded on 09/08/2010 for the course BUS 172B at San Jose State University .

Page1 / 4

DYNAMIC CHART (3 STOCKS) - A PORTFOLIO WEIGHTS 1 23.04%...

This preview shows document pages 1 - 4. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online