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9UIUC%20FIN%20300%20MVP%20SP10

# 9UIUC%20FIN%20300%20MVP%20SP10 - x,y W x =[0.180 2...

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UNIVERSITY OF ILLINOIS College of Business - Department of Finance - Finance 300 (Financial Markets) Professor James Jackson Portfolio Construction Analysis Using Variance and Standard Deviation What are the weights of the assets in the of the minimum variance portfolio? σ x σ y COV x , y w x w y 0.400 0.200 0.0240 0.1053 0.8947 W x = [ σ 2 y - COV xy ] / [ σ 2 x + σ 2 y – (2 * COV x,y ) ] W x = [0.200 2 - 0.0240] / [0.400 2 + 0.200 2 – (2 * 0.0240)] W x = [0.016] / [0.16 + 0.04 – (0.048)] W x = 0.1053 W y = (1 - 0.1053) W y = 0.8947 σ x σ y COV x , y w x w y 0.450 0.250 0.0280 0.1651 0.8349 W x = [ σ 2 y - COV xy ] / [ σ 2 x + σ 2 y – (2 * COV x,y ) ] W x = [0.250 2 - 0.0280] / [0.450 2 + 0.250 2 – (2 * 0.0280)] W x = [0.0345] / [0.2025+ 0.0625– (0.056)] W x = 0.1651 W y = (1 - 0.1651) W y = 0.8349

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σ x σ y COV x , y w x w y 0.350 0.180 0.0220 0.0938 0.9062 W x = [ σ 2 y - COV xy ] / [ σ 2 x + σ 2 y – (2
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Unformatted text preview: x,y ) ] W x = [0.180 2- 0.0220] / [0.350 2 + 0.180 2 – (2 * 0.0220)] W x = [0.0104] / [0.1225 + 0.0324 – (0.044)] W x = 0.0938 W y = (1 - 0.0938) W y = 0.9062 σ x σ y COV x , y w x w y 0.180 0.180 0.0220 0.5000 0.5000 W x = [ σ 2 y- COV xy ] / [ σ 2 x + σ 2 y – (2 * COV x,y ) ] W x = [0.180 2- 0.0220] / [0.180 2 + 0.180 2 – (2 * 0.0220)] W x = [0.0104] / [0.0324 + 0.0324 – (0.044)] W x = 0.5000 W y = (1 - 0.5000) W y = 0.5000 σ x σ y COV x , y w x w y 0.180 0.140 0.0120 0.2714 0.7286 W x = [ σ 2 y- COV xy ] / [ σ 2 x + σ 2 y – (2 * COV x,y ) ] W x = [0.140 2- 0.0120] / [0.180 2 + 0.140 2 – (2 * 0.0120)] W x = [0.0076] / [0.0324 + 0.0196– (0.024)] W x = 0.2714 W y = (1 - 0.2714) W y = 0.7286 2...
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