Spreadsheet-6-6-Diversification-IWM-TLT

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

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

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....
View Full Document

This note was uploaded on 04/19/2011 for the course FIN 3300 taught by Professor Sherbo during the Spring '11 term at Denver.

Ask a homework question - tutors are online