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Lecture 7 Efficient Frontier

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

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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
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Portfolios Weights E(r) Std Dev short sales? expected return> max(r1, r2, r3)? 1 1 0 0 5.00% 15.00% FALSE FALSE 2 0 1 0 7.00% 16.00% FALSE FALSE 3 0 1 10.00% 20.00% 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 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% 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 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 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 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% TRUE TRUE 45 0.9645589925 -0.7222576421 0.7576986495 7.34% 21.61% TRUE FALSE 46 0.9926243285 0.9097814122 -0.9024057407 2.31% 26.64% TRUE FALSE 47 -0.8939881353 -0.4903359404 2.3843240757 15.94% 45.69% TRUE 48 0.5681438446 -0.9181858003 1.3500419557 9.91% 29.52% TRUE FALSE 49 0.2317633405 0.7356807487 0.0325559108 6.63% 14.01% FALSE FALSE 50 -0.8240631195 0.8434614195 0.9806017 11.59% 22.65% TRUE TRUE 51 0.7295141593 0.6150103742 -0.3445245335 4.51% 17.30% TRUE FALSE 52 -0.7668904085 -0.4978691405 2.2647595489 15.33% 43.38% TRUE TRUE 53 -0.4718195703 0.8212005878 0.6506189825 9.90% 17.67% FALSE 54 -0.865438127 -0.7000067839 2.5654449109 16.43% 49.42% TRUE TRUE 55 0.142199778 -0.6281331014 1.4859333234 11.17% 29.76% TRUE TRUE 56 0.717652061 -0.5601605093 0.8425084483 8.09% 20.79% TRUE FALSE 57 0.7498511858 0.839059338 -0.5889105238 3.73% 21.30% TRUE FALSE 58 0.3158486858 0.4804900736 0.2036612406 6.98% 12.60% FALSE FALSE 59 0.1301325476 0.5417317841 0.3281356683 7.72% 13.01% 60 0.2045529541 0.0946915401 0.7007555058 8.69% 15.72% FALSE FALSE 61 0.819474142 0.1971772825 -0.0166514246 5.31% 14.04% TRUE FALSE 62 0.0044729533 0.9254860077 0.070041039 7.20% 15.18% FALSE FALSE 63 0.7068413422 -0.4273832021 0.72054186 7.75% 18.62% TRUE FALSE 64 -0.9926997926 -0.0613953173 2.0540951099 15.15% 39.27% TRUE TRUE 65 -0.6917024534 -0.8167629121 2.5084653655 15.91% 48.54% TRUE TRUE 66 -0.2179338969 -0.9621882942 2.1801221911 13.98% 42.96% 67 0.7982474621 0.0151756946 0.1865768433 5.96% 13.69% FALSE FALSE 68 -0.4600574346 -0.6735721081 2.1336295428 14.32% 41.21% TRUE TRUE 69 -0.1636237167 -0.3254955616 1.4891192783 11.79% 28.76% TRUE TRUE 70 -0.3735788921 0.9785760613 0.3950028308 8.93% 16.56% TRUE FALSE 71 0.046371337 -0.6559268311 1.609555494 11.74% 31.90% TRUE TRUE 72 -0.581584448 -0.2037774771 1.7853619251 13.52% 34.01% 73 -0.8168674931 0.7342642387 1.0826032544 11.88% 23.57% TRUE TRUE 74 -0.7232874036 0.3132650545 1.4100223491 12.68% 27.51% TRUE TRUE 75 0.2759960229 0.4812655514 0.2427384257 7.18% 12.61% FALSE FALSE 76 -0.5920434045 0.0954701649 1.4965732396 12.67% 28.68% TRUE TRUE 77 -0.3215571661 0.4124295488 0.9091276173 10.37% 19.00% TRUE TRUE 78 0.0209561726 -0.614715823 1.5937596504 11.74% 31.47% 79 0.9850463467 0.02825638 -0.0133027267 4.99% 14.93% TRUE FALSE 80 0.3238888597 -0.7066561067 1.382767247 10.50% 28.58% TRUE TRUE 81 0.2114934679 -0.8940450372 1.6825515693 11.62% 34.25% TRUE TRUE 82 -0.6688444009 0.0097409301 1.6591034709 13.31% 31.66% TRUE TRUE 83 0.1211306583 -0.1289018355 1.0077711772 9.78% 20.38% TRUE FALSE 84 0.3361688219 0.9575069416 -0.2936757635 5.45% 17.84% 85 0.5456026029 0.9625899298 -0.5081925327 4.38% 20.52% TRUE FALSE 86 0.9360830029 -0.4080260601 0.4719430571 6.54% 17.09% TRUE FALSE 87 -0.6933369003 -0.6455014441 2.3388383444 15.40% 45.00% TRUE TRUE 88 0.3881964628 -0.5102043934 1.1220079307 9.59% 23.70% TRUE FALSE 89 -0.9112372054 0.6649090601 1.2463281453 12.56% 26.03% TRUE TRUE 90 0.803060662 0.3647588175 -0.1678194795 4.89% 15.12% FALSE 91 0.1461746115 -0.7889827425 1.6428081309 11.64% 33.07% TRUE TRUE 92 -0.5397710176 0.8246174455 0.7151535721 10.23% 18.53% TRUE TRUE 93 0.6234468063 0.4811851559 -0.1046319623 5.44% 14.32% TRUE FALSE 94 -0.7900983775 0.608493153 1.1816052245 12.13% 24.54% TRUE TRUE 95 -0.4905584641 0.5337904831 0.9567679809 10.85% 20.28% TRUE TRUE 96 0.9018370463 0.7209350048 -0.622772051 3.33% 21.65% TRUE FALSE 97 0.6397454459 -0.7670073546 1.1272619087 9.10% 25.54% 98 -0.2693240652 -0.2391238958 1.508447961 12.06% 28.94% TRUE TRUE 99 0.1040908098 -0.9331552424 1.8290644325 12.28% 36.82% TRUE TRUE 100 -0.2816169541 -0.3503065873 1.6319235414 12.46% 31.34% TRUE TRUE 101 -0.9705653125 -0.3455339503 2.3160992628 15.89% 44.29% TRUE TRUE 102 0.2416673526 -0.6639022129 1.4222348602 10.78% 28.94% TRUE TRUE 103 0.0089646056 -0.3701361846 1.361171579 11.07% 26.70% 104 -0.1741066054 0.0977274003 1.0763792051 10.58% 21.17% TRUE TRUE 105 -0.7052271245 -0.3710459433 2.0762730679 14.64% 39.65% TRUE TRUE 106 -0.5375137823 0.440947487 1.0965662953 11.36% 22.24% TRUE TRUE 107 -0.1600286858 -0.0772847999 1.2373134857 11.03% 23.97% TRUE TRUE 108 0.2655649334 -0.5365818795 1.2710169461 10.28% 25.98% TRUE TRUE 109 -0.596099644 0.4754665559 1.1206330881 11.55% 22.81% 110 -0.9280887265 -0.0866581071 2.0147468336 14.90% 38.47% TRUE TRUE 111 0.0092570391 0.9737483198 0.0169946412 7.03% 15.72% FALSE FALSE 112 -0.3657231024 -0.3509975141 1.7167206164 12.88% 32.88% TRUE TRUE 113 -0.7932590349 0.3649528325 1.4283062024 12.87% 28.02% TRUE TRUE 114 0.4098785901 0.310831775 0.2792896349 7.02% 12.49% FALSE FALSE 115 0.4317975901 -0.8717383631 1.439940773 10.46% 30.44% TRUE TRUE 116 0.9605251877 0.4612322785 -0.4217574662 3.81% 18.49% TRUE FALSE 117 -0.2172723133 0.2021925403 1.015079773 10.48% 20.23% TRUE TRUE 118 0.7973300656 0.7916922923 -0.5890223579 3.64% 21.20% TRUE FALSE 119 0.8320563557 -0.3767765397 0.5447201841 6.97% 17.06% TRUE FALSE 120 -0.1105803074 -0.8731707679 1.9837510753 13.17% 39.17% TRUE TRUE 121 0.2521775169 0.3519059103 0.3959165728 7.68% 12.88% FALSE FALSE 122 0.5677767191 -0.9078511689 1.3400744498 9.88% 29.31% TRUE FALSE 123 -0.7253788896 -0.1666583475 1.8920372371 14.13% 36.04% TRUE TRUE 124 -0.4444330484 -0.3214785326 1.765911581 13.19% 33.74% TRUE TRUE 125 -0.6911917906 -0.3725217748 2.0637135655 14.57% 39.41% TRUE TRUE 126 0.5918633603 0.3180652484 0.0900713913 6.09% 12.90% FALSE FALSE 127 -0.3987734551 -0.7738597421 2.1726331972 14.32% 42.19% TRUE TRUE 128 0.9670677343 -0.1920324899 0.2249647556 5.74% 15.14% FALSE 129 0.5910930904 0.3769463254 0.0319605842 5.91% 13.18% FALSE FALSE 130 -0.881200715 0.0228906814 1.8583100336 14.34% 35.52% TRUE TRUE 131 0.5052079624 -0.9206755273 1.4154675649 10.24% 30.43% TRUE TRUE 132 -0.5158770401 -0.712064351 2.2279413911 14.72% 43.05% TRUE TRUE
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