Lecture 7 Efficient Frontier

Lecture 7 Efficient Frontier - Assets E(r) Std Dev...

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Unformatted text preview: Assets E(r) Std Dev Correlation Var-Covar 1 5% 15% 1 0.5 0.3 0.0225 0.012 0.009 2 7% 16% 0.5 1 0.2 0.012 0.0256 0.0064 3 10% 20% 0.3 0.2 1 0.009 0.0064 0.04 Portfolios Weights E(r) Std Dev short sales? expected return> max(r1, r2, r3)? 1 1 5.00% 15.00% FALSE FALSE 2 1 7.00% 16.00% FALSE FALSE 3 1 10.00% 20.00% FALSE FALSE 4 0.6845392482 0.3171220338-0.001661282 5.63% 13.53% TRUE FALSE 5 0.2266304661 0.8883512942-0.1149817603 6.20% 15.79% TRUE FALSE 6-0.0475132167-0.8708542511 1.9183674678 12.85% 38.03% TRUE TRUE 7 0.420492731-0.9189689765 1.4984762454 10.65% 31.60% TRUE TRUE 8 0.3845461691-0.4655346302 1.0809884612 9.47% 22.88% TRUE FALSE 9 0.7450596988-0.2127966722 0.4677369734 6.91% 15.36% TRUE FALSE 10-0.7562676724-0.4641947504 2.2204624228 15.17% 42.50% TRUE TRUE 11 0.0579023715 0.6017289609 0.3403686676 7.91% 13.34% FALSE FALSE 12 0.211975337-0.5340824984 1.3221071614 10.54% 26.74% TRUE TRUE 13 0.7715044189 0.6407693941-0.412273813 4.22% 18.29% TRUE FALSE 14 0.5038198503-0.2980146417 0.7941947915 8.37% 18.38% TRUE FALSE 15-0.7248625467 0.2717366358 1.4531259108 12.81% 28.20% TRUE TRUE 16 0.7764102463-0.7515217168 0.9751114706 8.37% 23.73% TRUE FALSE 17 0.7131400118-0.8524671728 1.139327161 8.99% 26.38% TRUE FALSE 18-0.7949404502-0.4908255283 2.2857659785 15.45% 43.78% TRUE TRUE 19-0.8816796541 0.889598798 0.9920808561 11.74% 23.20% TRUE TRUE 20 0.8262965064 0.3449508129-0.1712473193 4.83% 15.20% TRUE FALSE 21 0.7779500922-0.2212167103 0.4432666181 6.77% 15.35% TRUE FALSE 22 0.4740965618 0.1984428242 0.327460614 7.03% 12.74% FALSE FALSE 23-0.1401856868-0.1413572691 1.2815429559 11.13% 24.81% TRUE TRUE 24 0.732908194-0.3951259879 0.662217794 7.52% 17.91% TRUE FALSE 25 0.6458460586 0.9766405215-0.6224865802 3.84% 22.23% TRUE FALSE 26 0.1406792616-0.2962515689 1.1555723073 10.19% 23.16% TRUE TRUE 27 0.5783694834-0.6473454004 1.0689759171 9.05% 23.93% TRUE FALSE 28 0.1696659327 0.3498739023 0.4804601651 8.10% 13.44% FALSE FALSE 29 0.9934239937-0.3265142171 0.3330902234 6.01% 16.17% TRUE FALSE 30-0.9481407395-0.731438553 2.6795792924 16.94% 51.67% TRUE TRUE 31 0.9452224197 0.8282695068-0.7734919265 2.79% 24.30% TRUE FALSE 32-0.4829602689 0.6583624315 0.8245978374 10.44% 18.89% TRUE TRUE 33 0.975802334-0.2779007191 0.3020983851 5.95% 15.74% TRUE FALSE 34-0.8324630959-0.9058773192 2.7383404151 16.88% 53.09% TRUE TRUE 35-0.3883019211 0.9938334106 0.3944685105 8.96% 16.70% TRUE FALSE 36 0.4390734937-0.6103518279 1.1712783342 9.64% 24.98% TRUE FALSE 37-0.2273832997-0.0868299445 1.3142132442 11.40% 25.31% TRUE TRUE 38 0.5880909963 0.6324310135-0.2205220098 5.16% 15.74% TRUE FALSE 39 0.7718127863 0.3209991902-0.0928119766 5.18% 14.37% TRUE FALSE 40-0.7626949744 0.417658845 1.3450361295 12.56% 26.65% TRUE TRUE 41 0.2976397118 0.3779842872 0.324376001 7.38% 12.60% FALSE FALSE 42-0.878592724-0.1239908049 2.0025835289 14.76% 38.20% TRUE TRUE 43 0.7306388868 0.2910732096-0.0217120964 5.47% 13.76% TRUE FALSE 44-0.7741169026 0.7240628805 1.0500540221 11.70% 22.95%22....
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Lecture 7 Efficient Frontier - Assets E(r) Std Dev...

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