fm3_problems09 - Exercise 1 A 1 2 3 4 5 6 7 8 9 10 11 12 13...

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Exercise 1 Page 1 DATA FOR 6 FURNITURE COMPANIES La-Z-Boy Kimball Flexsteel Leggett Miller Shaw La-Z-Boy 0.1152 0.0398 0.1792 0.0492 0.0568 0.0989 Kimball 0.0398 0.0649 0.0447 0.0062 0.0349 0.0269 Flexsteel 0.1792 0.0447 0.3334 0.0775 0.0886 0.1487 Leggett 0.0492 0.0062 0.0775 0.1033 0.0191 0.0597 Miller 0.0568 0.0349 0.0886 0.0191 0.0594 0.0243 Shaw 0.0989 0.0269 0.1487 0.0597 0.0243 0.1653 Constant 10% raw normalized portfolio weights 3.1708 0.7203 ### 0.4861 0.1104 -2.4405 -0.5544 1.3533 0.3074 0.0614 0.0140 1.7712 0.4023 1.0000 ### c = 0% c = 10% transposes 42.02% 72.03% c = 0% 15.79% 11.04% 42.02% 15.79% -41.86% 28.09% -41.86% -55.44% c = 10% 28.09% 30.74% 72.03% 11.04% -55.44% 30.74% 25.12% 1.40% 30.85% 40.23% mean 31.35% 37.07% ### variance 4.10% 6.15% ### covariance 0.05 ### sample portfolio calculation proportion 0.3 mean 35.35% ### variance 5.42% ### sigma mean 23.28% 35.35% 1 20.25% 31.35% 1.1 19.90% 30.78% 1.2 19.56% 30.21% 1.3 19.24% 29.64% 1.4 18.95% 29.07% 1.5 18.69% 28.49% 1.6 18.45% 27.92% 1.7 18.23% 27.35% 1.8 18.05% 26.78% 1.9 17.89% 26.21% 2 17.77% 25.64% 2.1 17.67% 25.07% 2.2 17.61% 24.49% 2.3 17.57% 23.92% 2.4 17.57% 23.35% Variance- covariance matrix 17.0% 17.5 20.0% 22.0% 24.0% 26.0% 28.0% 30.0% 32.0% mean A B C D E F G H 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54
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Exercise 1 Page 2 2.5 17.60% 22.78% 2.6 17.66% 22.21% A crude test to see if we can generate positive portfolio weights we vary r to see what the portfolio proportions are (in a data table). No portfolio proportions seem to give a positive weight to the third asset. Portfolio weights
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This note was uploaded on 01/23/2011 for the course FGB 780 taught by Professor Edwardchang during the Spring '09 term at Missouri State University-Springfield.

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fm3_problems09 - Exercise 1 A 1 2 3 4 5 6 7 8 9 10 11 12 13...

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