Fig8-26 v2 - 0.00440 2 10.8% 9.2% 22.0% NMC-0.00025...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
Portfolio Analysis Page 1 1 Annual Return Covariance Matrix Year IBC NMC NBS IBC NMC NBS 1 11.2% 8.0% 10.9% IBC 0.00258 -0.00025 0.00440 2 10.8% 9.2% 22.0% NMC -0.00025 0.00276 -0.00542 3 11.6% 6.6% 37.9% NBS 0.00440 -0.00542 0.03677 4 -1.6% 18.5% -11.8% 5 -4.1% 7.4% 12.9% IBC NMC NBS Total 6 8.6% 13.0% -7.5% Portfolio 100.0% 0.0% 0.0% 100% 7 6.8% 22.0% 9.3% 8 11.9% 14.0% 48.7% Expected Return 7.64% 9 12.0% 20.5% -1.9% Required Return 12.00% 10 8.3% 14.0% 19.1% 11 6.0% 19.0% -3.4% Portfolio Variance 0.00258 12 10.2% 9.0% 43.0% Average 7.64% 13.43% 14.93% Portfolio Selection Problem Minimize: H16 By changing: G11:I11 Subject to: J11=1 H13>=H14 0<=G11:I11<=1 A B C D E F G H I J 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Portfolio Analysis solution Page 2 1 Annual Return Covariance Matrix Year IBC NMC NBS IBC NMC NBS 1 11.2% 8.0% 10.9% IBC 0.00258 -0.00025
Background image of page 2
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: 0.00440 2 10.8% 9.2% 22.0% NMC-0.00025 0.00276-0.00542 3 11.6% 6.6% 37.9% NBS 0.00440-0.00542 0.03677 4-1.6% 18.5%-11.8% 5-4.1% 7.4% 12.9% IBC NMC NBS Total 6 8.6% 13.0%-7.5% Portfolio 27.2% 63.4% 9.4% 100% 7 6.8% 22.0% 9.3% 8 11.9% 14.0% 48.7% Expected Return 12.00% 9 12.0% 20.5%-1.9% Required Return 12.00% 10 8.3% 14.0% 19.1% 11 6.0% 19.0%-3.4% Portfolio Variance 0.00112 12 10.2% 9.0% 43.0% Average 7.64% 13.43% 14.93% Portfolio Selection Problem Minimize: H16 By changing: G11:I11 Subject to: J11=1 H13&gt;=H14 0&lt;=G11:I11&lt;=1 A B C D E F G H I J 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18...
View Full Document

Page1 / 2

Fig8-26 v2 - 0.00440 2 10.8% 9.2% 22.0% NMC-0.00025...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online