FIN401Group4Proj1opt1

FIN401Group4Proj1opt1 - Portfolio Optimization - Real Data...

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Portfolio Optimization - Real Data All Returns Monthly inputs expected one plus return sd expected r ones risk free 0.2% 0.0% 100.2% 100.0% risky aF 0.4% 22.9% 100.4% 100.0% TM 1.0% 10.3% 101.0% 100.0% HMC 0.8% 7.2% 100.8% 100.0% TSLA 0.4% 4.8% 100.4% 100.0% TTM 11.6% 15.8% 111.6% 100.0% SLW 0.3% 15.9% 100.3% 100.0% SVM 0.3% 22.6% 100.3% 100.0% TC 0.5% 25.0% 100.5% 100.0% NEM 0.2% 10.7% 100.2% 100.0% XTA.L 0.3% 13.7% 100.3% 100.0% DF 0.3% 8.8% 100.3% 100.0% GT 0.5% 12.7% 100.5% 100.0% XRX 0.4% 19.4% 100.4% 100.0% UA 0.1% 9.8% 100.1% 100.0% KO 0.3% 11.9% 100.3% 100.0% JPM 0.3% 9.7% 100.3% 100.0% C 0.4% 19.3% 100.4% 100.0% WFC 0.3% 12.4% 100.3% 100.0% BAC 0.4% 17.9% 100.4% 100.0% FITB 0.4% 19.5% 100.4% 100.0% Correlation Matrix A B C D E F G H I J K L M N O P Q R S T A 1.000 0.243 0.470 -0.111 0.601 0.047 0.064 0.437 0.028 0.494 0.184 0.673 0.522 0.392 0.288 0.495 0.371 0.471 0.426 0.437 B 0.243 1.000 0.390 -0.047 0.243 -0.002 -0.013 0.288 -0.238 0.187 0.395 0.381 0.396 0.295 -0.055 0.301 0.212 0.234 0.160 0.188 C 0.470 0.390 1.000 0.034 0.400 0.212 0.143 0.498 0.150 0.488 0.302 0.525 -0.019 -0.058 0.035 0.304 0.221 0.143 0.148 0.214 D -0.111 -0.047 0.034 1.000 -0.235 -0.202 -0.178 -0.168 0.018 -0.172 0.022 -0.161 -0.074 -0.180 -0.095 0.174 0.027 0.105 0.007 0.046 E 0.601 0.243 0.400 -0.235 1.000 0.415 0.454 0.586 0.181 0.569 0.178 0.673 0.576 0.514 0.423 0.516 0.571 0.462 0.524 0.561 F 0.047 -0.002 0.212 -0.202 0.415 1.000 0.620 0.348 0.671 0.233 0.036 0.171 0.335 0.224 0.347 0.040 0.151 0.024 0.100 0.118 G 0.064 -0.013 0.143 -0.178 0.454 0.620 1.000 0.370 0.253 0.322 -0.007 0.178 0.258 0.185 0.224 0.091 0.172 0.099 0.153 0.180 H 0.437 0.288 0.498 -0.168 0.586 0.348 0.370 1.000 1.000 0.529 0.345 0.681 0.586 0.448 0.354 0.376 0.349 0.315 0.393 0.398 I 0.028 -0.238 0.150 0.018 0.181 0.671 0.253 1.000 1.000 0.216 -0.152 -0.038 0.050 0.062 0.338 -0.093 0.010 -0.074 0.001 0.061 J 0.494 0.187 0.488 -0.172 0.569 0.233 0.322 0.529 0.216 1.000 0.108 0.544 0.398 0.252 0.439 0.286 0.314 0.156 0.312 0.399 K 0.184 0.395 0.302 0.022 0.178 0.036 -0.007 0.345 -0.152 0.108 1.000 0.339 0.381 0.134 -0.036 0.361 0.053 0.217 0.094 0.162 L 0.673 0.381 0.525 -0.161 0.673 0.171 0.178 0.681 -0.038 0.544 0.339 1.000 0.619 0.458 0.341 0.565 0.535 0.473 0.583 0.526 M 0.522 0.396 -0.019 -0.074 0.576 0.335 0.258 0.586 0.050 0.398 0.381 0.619 1.000 0.473 0.333 0.450 0.392 0.510 0.358 0.489 N 0.392 0.295 -0.058 -0.180 0.514 0.224 0.185 0.448 0.062 0.252 0.134 0.458 0.473 1.000 0.309 0.402 0.446 0.518 0.441 0.423 O 0.288 -0.055 0.035 -0.095 0.423 0.347 0.224 0.354 0.338 0.439 -0.036 0.341 0.333 0.309 1.000 0.361 0.390 0.347 0.394 0.388 P 0.495 0.301 0.304 0.174 0.516 0.040 0.091 0.376 -0.093 0.286 0.361 0.565 0.450 0.402 0.361 1.000 0.731 0.829 0.779 0.637 Q 0.371 0.212 0.221 0.027 0.571 0.151 0.172 0.349 0.010 0.314 0.053 0.535 0.392 0.446 0.390 0.731 1.000 0.756 0.844 0.666 R 0.471 0.234 0.143 0.105 0.462 0.024 0.099 0.315 -0.074 0.156 0.217 0.473 0.510 0.518 0.347 0.829 0.756 1.000 0.811 0.737 S 0.426 0.160 0.148 0.007 0.524
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This document was uploaded on 11/02/2011 for the course FIN 401 at Miami University.

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FIN401Group4Proj1opt1 - Portfolio Optimization - Real Data...

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