fm3_chapter12

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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
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HORT SALES H 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
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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
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ORT SALES asible portfolio H 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
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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
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ORT SALES asible portfolio H 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19
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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
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fm3_chapter12 - A 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17...

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