fm3_chapter12

# fm3_chapter12 - A 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17...

This preview shows pages 1–8. Sign up to view the full content.

Variance-covariance matrix Means 0.10 0.03 -0.08 0.05 8% 0.03 0.20 0.02 0.03 9% -0.08 0.02 0.30 0.20 10% 0.05 0.03 0.20 0.90 11% c 3.0% <-- This is the constant Optimal portfolio without short sale restrictions (Chapter 9, Proposition 1) 0.6219 #MACRO? 0.0804 0.3542 -0.0565 Total 1 #MACRO? Portfolio mean 8.62% #MACRO? Portfolio sigma 19.39% #MACRO? 28.99% #MACRO? PORTFOLIO OPTIMIZATION ALLOWING SH Follows Proposition 1, Chapter 9 x 1 x 2 x 3 x 4 θ = Theta = (mean-constant)/sigma A B C D E F G 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19

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

View Full Document
HORT SALES H 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Variance-covariance matrix Means 0.10 0.03 -0.08 0.05 8% 0.03 0.20 0.02 0.03 9% -0.08 0.02 0.30 0.20 10% 0.05 0.03 0.20 0.90 11% c 3.0% <-- This is the constant Here we start with an arbitrary feasible portfolio and use Solver 0.5856 0.0965 0.3179 0.0000 Total 1 #MACRO? Portfolio mean 8.73% #MACRO? Portfolio sigma 20.32% #MACRO? 28.21% #MACRO? PORTFOLIO OPTIMIZATION WITHOUT SHO Solution with Solver, starting from an arbitrary fea x 1 x 2 x 3 x 4 θ = Theta = (mean-constant)/sigma A B C D E F G 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19

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

View Full Document
ORT SALES asible portfolio H 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Variance-covariance matrix Means 0.10 0.03 -0.08 0.05 8% 0.03 0.20 0.02 0.03 9% -0.08 0.02 0.30 0.20 10% 0.05 0.03 0.20 0.90 11% c 8.5% <-- This is the constant Here we start with an arbitrary feasible portfolio and use Solver 0.0000 0.2515 0.4885 0.2601 Total 1 #MACRO? Portfolio mean 10.01% #MACRO? Portfolio sigma 45.25% #MACRO? 3.33% #MACRO? PORTFOLIO OPTIMIZATION WITHOUT SHO Solution with Solver, starting from an arbitrary fea x 1 x 2 x 3 x 4 θ = Theta = (mean-constant)/sigma A B C D E F G 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19

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

View Full Document
ORT SALES asible portfolio H 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
Variance-covariance matrix Means 0.10 0.03 -0.08 0.05 8% 0.03 0.20 0.02 0.03 9% -0.08 0.02 0.30 0.20 10% 0.05 0.03 0.20 0.90 11% c 8.0% <-- This is the constant Here we start with an arbitrary feasible portfolio and use Solver 0.2004 0.2587 0.4219 0.1190 Total 1 #MACRO? Portfolio mean

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

View Full Document
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

### Page1 / 22

fm3_chapter12 - A 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17...

This preview shows document pages 1 - 8. Sign up to view the full document.

View Full Document
Ask a homework question - tutors are online