Optimal Diversification

Optimal Diversification - Directions: Change the numbers...

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Unformatted text preview: Directions: Change the numbers shaded in grey to see how the pictur Asset A Asset B risk-free E[r] 1.56 0.91 0.02 stdev 6.5600 5.4600 Corr 0.8400 Cov 30.0868 w (1-w) Sharpe Ratio Plot a Portfolio 1.7333-0.7333 2.038 68.835 8.297 0.24 w (1-w) Sharpe Ratio-1.0 2.0 0.256 41.933 6.476 0.04-0.9 1.9 0.321 39.580 6.291 0.05-0.8 1.8 0.386 37.481 6.122 0.06-0.7 1.7 0.452 35.635 5.970 0.07-0.6 1.6 0.517 34.043 5.835 0.09-0.5 1.5 0.582 32.704 5.719 0.10-0.4 1.4 0.647 31.619 5.623 0.11-0.3 1.3 0.712 30.787 5.549 0.12-0.2 1.2 0.778 30.208 5.496 0.14-0.1 1.1 0.843 29.883 5.467 0.15 100% Asset B 0.0 1.0 0.908 29.812 5.460 0.16 0.1 0.9 0.973 29.993 5.477 0.17 0.2 0.8 1.038 30.429 5.516 0.18 0.3 0.7 1.104 31.117 5.578 0.19 0.4 0.6 1.169 32.059 5.662 0.20 0.5 0.5 1.234 33.255 5.767 0.21 0.6 0.4 1.299 34.704 5.891 0.22 0.7 0.3 1.364 36.406 6.034 0.22 0.8 0.2 1.430 38.362 6.194 0.23 0.9 0.1 1.495 40.571 6.370 0.23 100% Asset A 1.0 0.0 1.560 43.034 6.560 0.23 1.1-0.1 1.625 45.750 6.764 0.24 1.2-0.2 1.690 48.719 6.980 0.24 1.3-0.3 1.756 51.942 7.207 0.24 1.4-0.4 1.821 55.419 7.444 0.24 1.5-0.5 1.886 59.148 7.691 0.24 1.6-0.6 1.951 63.132 7.946 0.24 1.7-0.7 2.016 67.368 8.208 0.24 1.8-0.8 2.082 71.858 8.477 0.24 1.9-0.9 2.147 76.602 8.752 0.24 2.0-1.0 2.212 81.599 9.033 0.24 2.1-1.1 2.277 86.849 9.319 0.24 2.2-1.2 2.342 92.353 9.610 0.24 2.3-1.3 2.408 98.110 9.905 0.24 2.4-1.4 2.473 104.121 10.204 0.24 2.5-1.5 2.538 110.385 10.506 0.24 2.6-1.6 2.603 116.903 10.812 0.24 2.7-1.7 2.668 123.674 11.121 0.24 2.8-1.8 2.734 130.698 11.432 0.24 2.9-1.9 2.799 137.976 11.746 0.24 E[r p ] Var[r p ] Stdev[r p ] E[r p ] Var[r p ] Stdev[r p ] 3.0-2.0 2.864 145.507 12.063 0.24 3.1-2.1 2.929 153.292 12.381 0.23 3.2-2.2 2.994 161.330 12.702 0.23 3.3-2.3 3.060 169.622 13.024 0.23 3.4-2.4 3.125 178.167 13.348 0.23 3.5-2.5 3.190 186.965186....
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This note was uploaded on 03/17/2011 for the course BUS M 410 taught by Professor Brianboyer during the Fall '10 term at BYU.

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Optimal Diversification - Directions: Change the numbers...

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