11.portfolio_trace_out

11.portfolio_trace_out - #TRACE OUT THE EFFICIENT FRONTIER...

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

View Full Document Right Arrow Icon
#TRACE OUT THE EFFICIENT FRONTIER - NO RISKLESS LENDING AND BORROWING: #Read many combinations of the three stocks: data <- read.table("abc.txt", header=TRUE) #Or from here: data <- read.table("http://www.stat.ucla.edu/~nchristo/datac183c283/statc183c283_abc.txt", header=TRUE) #Compute the standard deviation of each portfolio: sigma_p <- ((data$a)^2*0.0036+(data$b)^2*0.0064+ (data$c)^2*0.04+2*data$a*data$b*0.5*0.06*0.08+2*data$a*data$c*0.2*0.06*0.2+2*data$b *data$c*0.4*0.08*0.2)^.5 #Compute the expected return of each portfolio: rp_bar <- data$a*0.14+data$b*0.08+data$c*0.2 #Create a matrix with a, b, c, sigma_p, rp_bar: qq <- cbind(data$a, data$b, data$c, sigma_p, rp_bar) #Create a matrix with all the points not allowing short sales: #Create a matrix with all the points allowing short sales: qq1 <- qq[which(qq[,1]<0 | qq[,2]<0 | qq[,3]<0),] #Plot the points: plot(qq[,4], qq[,5], type="n" ,xlim=c(0,0.2), ylim=c(0,0.35), xlab="Portfolio standard deviation", ylab="Expected return", xaxt="no", yaxt="no")
Background image of page 1

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

View Full DocumentRight Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

Page1 / 3

11.portfolio_trace_out - #TRACE OUT THE EFFICIENT FRONTIER...

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