FIN401Proj1optimization

FIN401Proj1optimization - Portfolio Optimization - Real...

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Portfolio Optimization - Real Data inputs expected one plus return sd expected r ones risk free 2.2% 0.0% 102.2% risky aA 4.9% 22.9% 104.9% 100.0% B 12.1% 10.3% 112.1% 100.0% C 9.1% 7.2% 109.1% 100.0% D 4.4% 4.8% 104.4% 100.0% E 139.5% 15.8% 239.5% 100.0% F 1.7% 8.8% 101.7% 100.0% G 0.7% 10.9% 100.7% 100.0% H 1.1% 4.0% 101.1% 100.0% I -1.2% 16.7% 98.8% 100.0% J 0.2% 4.2% 100.2% 100.0% K 0.0% 8.8% 100.0% 100.0% L 4.0% 12.7% 104.0% 100.0% M 3.8% 19.4% 103.8% 100.0% N -0.5% 9.8% 99.5% 100.0% O -1.2% 11.9% 98.8% 100.0% P 1.2% 6.7% 101.2% 100.0% Q 3.2% 15.8% 103.2% 100.0% R 0.8% 5.5% 100.8% 100.0% S 0.0% 8.0% 100.0% 100.0% T 2.0% 37.9% 102.0% 100.0% correlations A B C D E F G H I J K L M N O P Q R S T A 1.000 0.715 -0.109 0.241 0.690 -0.011 0.262 -0.075 0.115 -0.141 0.389 0.282 0.264 0.426 0.287 0.303 0.387 0.353 0.334 0.030 B 0.715 1.000 -0.020 0.257 0.727 0.174 0.503 -0.024 0.169 -0.018 0.368 0.381 0.173 0.541 0.262 0.342 0.417 0.356 0.419 0.029 C -0.109 -0.020 1.000 0.246 -0.020 0.102 0.049 0.003 0.322 0.292 0.206 0.133 0.214 0.243 0.362 0.164 0.236 -0.051 0.451 0.092 D 0.241 0.257 0.246 1.000 0.318 0.221 0.231 0.233 0.352 0.168 0.252 0.361 0.202 0.444 0.318 0.249 0.413 0.132 0.425 0.173 E 0.690 0.727 -0.020 0.318 1.000 0.138 0.462 0.168 0.209 0.096 0.519 0.338 0.248 0.571 0.260 0.259 0.397 0.286 0.488 0.122 F -0.011 0.174 0.102 0.221 0.138 1.000 0.393 -0.008 0.031 0.209 -0.077 0.285 0.232 0.149 0.126 0.183 0.247 0.121 0.166 0.080 G 0.262 0.503 0.049 0.231 0.462 0.393 1.000 -0.012 0.084 0.058 0.154 0.314 0.128 0.421 0.257 0.116 0.218 0.157 0.180 0.013 H -0.075 -0.024 0.003 0.233 0.168 -0.008 -0.012 1.000 -0.092 0.309 0.303 -0.177 0.018 -0.021
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