Portfolio_Stats_Practice_Wks

Portfolio_Stats_Practice_Wks - Year 1 2 3 4 Total number of...

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Year Asset A Asset B 1 16.00% 15.00% 2 -15.00% 5.00% 3 27.00% -5.00% 4 8.00% 7.00% Total number of periods = 4 9.00% 5.50% Std Dev 17.80% 8.23% Correl -0.2550 Covar -0.0037 r(f) 1.75% Opportunity Set Portfolio Variance Std Dev W 1 W 2 150.00% -50.00% 10.75% 0.0785 28.03% 140.00% -40.00% 10.40% 0.0673 25.95% 130.00% -30.00% 10.05% 0.0570 23.88% 120.00% -20.00% 9.70% 0.0477 21.83% 110.00% -10.00% 9.35% 0.0392 19.80% 100.00% 0.00% 9.00% 0.0317 17.80% 90.00% 10.00% 8.65% 0.0250 15.83% 80.00% 20.00% 8.30% 0.0193 13.91% 70.00% 30.00% 7.95% 0.0146 12.07% 60.00% 40.00% 7.60% 0.0107 10.34% 50.00% 50.00% 7.25% 0.0077 8.80% 40.00% 60.00% 6.90% 0.0057 7.56% 30.00% 70.00% 6.55% 0.0046 6.78% 20.00% 80.00% 6.20% 0.0044 6.64% 10.00% 90.00% 5.85% 0.0051 7.16% 0.00% 100.00% 5.50% 0.0068 8.23% -10.00% 110.00% 5.15% 0.0093 9.66% -20.00% 120.00% 4.80% 0.0128 11.31% -30.00% 130.00% 4.45% 0.0172 13.11% -40.00% 140.00% 4.10% 0.0225 15.00% -50.00% 150.00% 3.75% 0.0287 16.95% Choosen Risky Portfolio W1 W2 Std Dev 72.00% 28.00% 8.02% 0.0154 12.43% Capital Allocation Line Portfolio Std Dev W 1 W 2 150.00% -50.00% 11.16% 18.64% 145.00% -45.00% 10.84% 18.02% 140.00% -40.00% 10.53% 17.40% 135.00% -35.00% 10.21% 16.78% 130.00% -30.00% 9.90% 16.15% 125.00% -25.00% 9.59% 15.53% 120.00% -20.00% 9.27% 14.91% 115.00% -15.00% 8.96% 14.29% 110.00% -10.00% 8.65% 13.67% 105.00% -5.00% 8.33% 13.05% 100.00% 0.00% 8.02% 12.43% 95.00% 5.00% 7.71% 11.80% 90.00% 10.00% 7.39% 11.18% 85.00% 15.00% 7.08% 10.56% 80.00% 20.00% 6.77% 9.94% 75.00% 25.00% 6.45% 9.32% 70.00% 30.00% 6.14% 8.70% 65.00% 35.00% 5.83% 8.08% 60.00% 40.00% 5.51% 7.46% 55.00% 45.00% 5.20% 6.83% 50.00% 50.00% 4.89% 6.21% 45.00% 55.00% 4.57% 5.59% 40.00% 60.00% 4.26% 4.97% 35.00% 65.00% 3.94% 4.35% 30.00% 70.00% 3.63% 3.73% 25.00% 75.00% 3.32% 3.11%
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This note was uploaded on 11/21/2011 for the course FIN 3134 taught by Professor Ddklock during the Spring '08 term at Virginia Tech.

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Portfolio_Stats_Practice_Wks - Year 1 2 3 4 Total number of...

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