Portfolio Optimization (6 ASSETS)

Portfolio Optimization (6 ASSETS) - PORTFOLIO OPTIMIZATION...

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PORTFOLIO OPTIMIZATION ONE PLUS INPUTS EXPECTED STANDARD EXP RATE RETURN DEVIATION {1+E®} Riskless Rate ® 5.00% 0.00% 105.00% 14.72% 17.49% 114.72% IA All Value 14.55% 16.23% 114.55% IA All Growth 14.31% 20.52% 114.31% IA Monthly Convertible Bond 11.81% 12.96% 111.81% LB Aggregate Bond 9.25% 6.34% 109.25% LB Hi-Yld 10.76% 13.51% 110.76% CORRELATIONS 1 2 3 4 1 100.00% 0.00% 0.00% 0.00% 2 0.00% 100.00% 0.00% 0.00% 3 0.00% 0.00% 100.00% 0.00% 4 0.00% 0.00% 0.00% 100.00% 5 0.00% 0.00% 0.00% 0.00% 6 0.00% 0.00% 0.00% 0.00% STANDARD DEVIATION RISKY ASSETS 1 2 3 4 17.49% 16.23% 20.52% 12.96% 1 2 3 4 1 3.06% 0.00% 0.00% 0.00% 2 0.00% 2.63% 0.00% 0.00% 3 0.00% 0.00% 4.21% 0.00% 4 0.00% 0.00% 0.00% 1.68% 5 0.00% 0.00% 0.00% 0.00% 6 0.00% 0.00% 0.00% 0.00% A 457.51 B 507.19 C 562.45 DELTA 90.85 GAMMA 0.04 INDEX 17.49% IA All Value 16.23% IA All Growth 20.52% EFFICIENT FRONTIER CURVE STANDARD DEVIATION EXPECTED RETURN
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IA Monthly Convertible Bond 12.96% LB Aggregate Bond
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This note was uploaded on 09/08/2010 for the course BUS 172B at San Jose State.

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Portfolio Optimization (6 ASSETS) - PORTFOLIO OPTIMIZATION...

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