ch6_post - w2 1.20 1.10 1.00 0.90 0.80 0.70 0.68 0.60 0.50...

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w1 w2 E(rp) Var(rp) std dev E(r1) E(r2) std1 std2 -0.20 1.20 0.052 0.02036 0.143 0.1 0.06 0.25 0.12 -0.10 1.10 0.056 0.01673 0.129 0.00 1.00 0.060 0.01440 0.120 0.10 0.90 0.064 0.01337 0.116 0.20 0.80 0.068 0.01364 0.117 0.30 0.70 0.072 0.01520 0.123 0.32 0.68 0.073 0.01578 0.126 0.40 0.60 0.076 0.01806 0.134 0.50 0.50 0.080 0.02223 0.149 0.60 0.40 0.084 0.02768 0.166 0.70 0.30 0.088 0.03444 0.186 0.80 0.20 0.092 0.04250 0.206 0.90 0.10 0.096 0.05185 0.228 1.00 0.00 0.100 0.06250 0.250 1.10 -0.10 0.104 0.07445 0.273 1.20 -0.20 0.108 0.08770 0.296 0 0.05 0.1 0.15 0.05 0.06 0.07 0.08 0.09 0.1 0.11 standard devia expected return
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corr 0.2 0.2 0.25 0.3 iation
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E(r1) E(r2) std1 std2 0.1 0.06 0.25 0.12 w1 w2 E(rp) std dev for various correlation (-1 to 1) -1 0 0.2 0.5 1 -0.20 1.20 0.052 0.194 0.152 0.143 0.127 0.094 0.00 1.00 0.060 0.120 0.120 0.120 0.120 0.120 0.20 0.80 0.068 0.046 0.108 0.117 0.129 0.146 0.32 0.68 0.073 0.002 0.114 0.125 0.140 0.162 0.40 0.60 0.076 0.028 0.123 0.134 0.150 0.172 0.60 0.40
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This note was uploaded on 08/26/2011 for the course ECO 220 taught by Professor Huang during the Spring '08 term at CUNY Hunter.

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ch6_post - w2 1.20 1.10 1.00 0.90 0.80 0.70 0.68 0.60 0.50...

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