172b number 6 a - PORTFOLIO OPTIMIZATION Input data in Blue...

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Input data in Blue cells only. ONE PLUS INPUTS EXPECTED STANDARD EXP RATE RETURN DEVIATION {1+E®} Riskless Rate ® 5.00% 0.00% 105.00% SPX 16.72% 17.49% 116.72% Sml-Cap 15.25% 20.75% 115.25% Value 14.55% 16.23% 114.55% Growth 14.31% 20.52% 114.31% Eafe 13.97% 25.50% 113.97% Emrg 13.92% 31.80% 113.92% CORRELATIONS SPX SML-CAP Value Growth 100.00% 58.00% 93.00% 96.00% IA Small Stock 58.00% 100.00% 72.00% 54.00% IA All Value 93.00% 72.00% 100.00% 82.00% IA All Growth 96.00% 54.00% 82.00% 100.00% MSCI EAFE 56.00% 34.00% 55.00% 52.00% 32.00% 52.00% 39.00% 31.00% STANDARD DEVIATION RISKY ASSETS 1 2 3 4 17.49% 20.75% 16.23% 20.52% 1 2 3 4 1 3.06% 2.10% 2.64% 3.45% 2 2.10% 4.31% 2.42% 2.30% 3 2.64% 2.42% 2.63% 2.73% 4 3.45% 2.30% 2.73% 4.21% 5 2.50% 1.80% 2.28% 2.72% 6 1.78% 3.43% 2.01% 2.02% A 41.29 B 49.52 C 61.38 DELTA 82.1 GAMMA 0.16 INDEX RISKY ASSET 1 17.49% RISKY ASSET 2 20.75% RISKY ASSET 3 16.23% EFFICIENT
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This note was uploaded on 09/08/2010 for the course BUS 172B at San Jose State University .

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172b number 6 a - PORTFOLIO OPTIMIZATION Input data in Blue...

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