Spreadsheet-6-6-Diversification-IWM-TLT

Spreadsheet-6-6-Diversification-IWM-TLT - Input Data IWM...

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Unformatted text preview: Input Data IWM TLT Spreadsheet 6.6 IWM TLT(long term more than 10 yr) σ σ Investment opportunity set 17.26 5.6 37.26 8.01 for stocks and bonds with various correlation coefficients Weight in stocks Portfolio expected return-1-0.24 0.5 1 less safety, higher yield-0.1 4.4 12.54 9.57 10.36 7.66 5.09 0.0 5.6 8.01 8.01 8.01 8.01 8.01 0.1 6.8 3.48 8.11 7.28 9.63 10.94 0.2 7.9 1.04 9.83 8.58 12.01 13.86 0.3 9.1 5.57 12.51 11.24 14.80 16.79 0.4 10.3 10.10 15.66 14.52 17.80 19.71 0.6 12.6 19.15 22.58 21.81 24.12 25.56 0.8 14.9 28.21 29.85 29.46 30.64 31.41 1.0 17.3 37.26 37.26 37.26 37.26 37.26 1.1 18.4 41.79 40.99 41.19 40.59 40.19 0.1769 0.0442 0.0851-0.0737-0.2738 7.66 6.12 6.59 4.74 2.41 0.00 7.83 7.25 7.61 0.00 Notes: 2. The standard deviation is calculated from equation 6.6 using the weights of the miniumum-variance portfolio: 3. As the correlation coefficient grows, the minimum variance portfolio requires a smaller position in stocks (even a 3....
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