03rec8_PT

03rec8_PT - 43.71% 15.00% 2.11-0.18-0.93 15.00% 0.1579...

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

View Full Document Right Arrow Icon
Stock 1 Stock 2 r_f E(r) 10% 8% 5% Var 0.04 0.03 0.03 0.09 Without r_f: Targe return w_1 w_2 w_f expected return var std 20% 6 -5 0 20.00% 1.8900 137.48% 19.00% 5.5 -4.5 0 19.00% 1.5475 124.40% 18.00% 5 -4 0 18.00% 1.2400 111.36% 17.00% 4.5 -3.5 0 17.00% 0.9675 98.36% 16.00% 4 -3 0 16.00% 0.7300 85.44% 15.00% 3.5 -2.5 0 15.00% 0.5275 72.63% 14.00% 3 -2 0 14.00% 0.3600 60.00% 13.00% 2.5 -1.5 0 13.00% 0.2275 47.70% 12.00% 2 -1 0 12.00% 0.1300 36.06% 11.00% 1.5 -0.5 0 11.00% 0.0675 25.98% 10.00% 1 0 0 10.00% 0.0400 20.00% 9.00% 0.5 0.5 0 9.00% 0.0475 21.79% 8.00% 0 1 0 8.00% 0.0900 30.00% 7.00% -0.5 1.5 0 7.00% 0.1675 40.93% 6.00% -1 2 0 6.00% 0.2800 52.92% 5.00% -1.5 2.5 0 5.00% 0.4275 65.38% 4.00% -2 3 0 4.00% 0.6100 78.10% 3.00% -2.5 3.5 0 3.00% 0.8275 90.97% 2.00% -3 4 0 2.00% 1.0800 103.92% 1.00% -3.38 4.38 0 1.25% 1.2929 113.71% sum std 1,303.41
Background image of page 1

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

View Full DocumentRight Arrow Icon
With r_f: Targe return w_1 w_2 w_f expected return var std 20% 3.16 -0.26 -1.89 20.00% 0.3553 59.60% 19.00% 2.95 -0.25 -1.7 19.00% 0.3095 55.63% 18.00% 2.74 -0.23 -1.51 18.00% 0.2668 51.66% 17.00% 2.53 -0.21 -1.32 17.00% 0.2274 47.68% 16.00% 2.32 -0.19 -1.12 16.00% 0.1911
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: 43.71% 15.00% 2.11-0.18-0.93 15.00% 0.1579 39.74% 14.00% 1.89-0.16-0.74 14.00% 0.1279 35.76% 13.00% 1.68-0.14-0.54 13.00% 0.1011 31.79% 12.00% 1.47-0.12-0.35 12.00% 0.0774 27.82% 11.00% 1.26-0.11-0.16 11.00% 0.0568 23.84% 10.00% 1.05-0.09 0.04 10.00% 0.0395 19.87% 9.00% 0.84-0.07 0.23 9.00% 0.0253 15.89% 8.00% 0.63-0.05 0.42 8.00% 0.0142 11.92% 7.00% 0.42-0.04 0.61 7.00% 0.0063 7.95% 6.00% 0.21-0.02 0.81 6.00% 0.0016 3.97% 5.00% 1 5.00% 0.0000 0.00% 4.00%-0.21 0.02 1.19 4.00% 0.0016 3.97% 3.00%-0.42 0.04 1.39 3.00% 0.0063 7.95% 2.00%-0.63 0.05 1.58 2.00% 0.0142 11.92% 1.00%-0.67-0.22 1.89 1.00% 0.0310 17.62% sum std. 500.67 5.00% 10.00% 15.00% 20.00% 25.00% Column E Column E 0.00% 20.00% 40.00% 60.00% 80.00% 100.00% 120.00% 140.00% 160.00% 0.00%...
View Full Document

This note was uploaded on 01/19/2011 for the course 15 15.407 taught by Professor Wang during the Fall '03 term at MIT.

Page1 / 4

03rec8_PT - 43.71% 15.00% 2.11-0.18-0.93 15.00% 0.1579...

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