Fig8-26 - 12.00% 10 8.3% 14.0% 19.1% 11 6.0% 19.0%-3.4%...

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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
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Unformatted text preview: 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...
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This note was uploaded on 04/19/2011 for the course CBA 0060 taught by Professor Barrymitnick during the Spring '09 term at Pittsburgh.

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