fm3_problems12

fm3_problems12 - A 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16...

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A B C D E F A 0.0100 0.0000 0.0000 0.0000 0.0000 0.0000 B 0.0000 0.0400 0.0000 0.0000 0.0000 0.0000 C 0.0000 0.0000 0.0900 0.0000 0.0000 0.0000 D 0.0000 0.0000 0.0000 0.1500 0.0000 0.0000 E 0.0000 0.0000 0.0000 0.0000 0.2000 0.0000 F 0.0000 0.0000 0.0000 0.0000 0.0000 0.3000 Constant 10.00% Start -5.00% Iterations 15 Press [Ctrl] + a to run macro Jump 0.01 Portfolio weights 0 A 0.0000 B 0.0000 C 0.0000 D 0.0000 E 0.0000 F 1.0000 Sum 1 Portfolio mean 5.50% ### Portfolio sigma 54.77% ### Theta -8.22% ### Two efficient portfolios with shortsales Constant 0% 1% A 0.3947 0.0000 ### B 0.1974 0.2446 C 0.1316 0.2174 D 0.1053 0.1957 E 0.0987 0.1957 F 0.0724 0.1467 Sum 1 1 Expected 0.0250 0.0371 ### Sigma 0.0993 0.1628 ### Covariance 0.0146 ### One portfolio Proportion of first 0.25 Proportion of second 0.75 Expected return 3.41% ### Sigma 14.50% ### 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
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fm3_problems12 - A 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16...

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