InClassWork_PortOpt

InClassWork_PortOpt - Year 1 2 3 4 5 6 7 8 9 10 11 12 13 14...

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Year Asset 1 Asset 2 Asset 3 Asset 4 Asset 5 Asset 1 Asset 2 Asset 3 Asset 4 Asset 5 1 5.60% 12.15% 16.13% 30.55% 50.10% Correlation Matrix Asset 1 1 0.129368533 0.0919045262 0.4751167965 0.4723126894 2 5.41% 10.92% 13.14% 22.70% 41.58% Asset 2 0.129368533 1 0.9528494155 0.0513611028 0.1385895718 3 5.20% 9.99% 12.77% 15.97% 31.97% Asset 3 0.0919045262 0.9528494155 1 -0.0129139062 0.0843380081 4 5.09% 9.99% 11.38% 11.05% 21.46% Asset 4 0.4751167965 0.0513611028 -0.0129139062 1 0.8082668684 5 4.88% 9.52% 10.78% 13.96% 20.05% Asset 5 0.4723126894 0.1385895718 0.0843380081 0.8082668684 1 6 4.68% 9.83% 12.40% 9.87% 15.85% 7 4.57% 11.79% 14.17% 13.47% 18.56% 8 4.39% 13.75% 15.64% 12.76% 17.38% Covariance Matrix Asset 1 Asset 2 Asset 3 Asset 4 Asset 5 9 4.18% 11.17% 14.05% 7.95% 10.55% Std 0.0134761755 0.0455990938 0.0518152503 0.1762563971 0.1511889572 10 3.97% 10.46% 13.23% 11.01% 12.45% Asset 1 0.013476 0.00018161 0.00007950 0.00006417 0.00112853 0.00096231 11 3.77% 8.40% 10.51% 9.94% 10.81% Asset 2 0.045599 0.00007950 0.00207928 0.00225132 0.00041280 0.00095545 12 3.61% 10.03% 9.32% 18.43% 21.08% Asset 3 0.051815 0.00006417 0.00225132 0.00268482 -0.00011794 0.00066069 13 3.50% 8.82% 7.58% 7.67% 11.92% Asset 4 0.176256 0.00112853 0.00041280 -0.00011794 0.03106632 0.02153871 14 3.39% 9.82% 11.57% 10.51% 11.35% Asset 5 0.151189 0.00096231 0.00095545 0.00066069 0.02153871 0.02285810 15 3.33% 13.77% 13.29% 10.59% 8.07% 16 3.24% 12.52% 14.31% 15.22% 16.18% Asset 1 Asset 2 Asset 3 Asset 4 Asset 5 17 3.15% 12.65% 14.50% 9.22% 14.50% Variance 0.00018161 0.00207928 0.00268482 0.03106632 0.02285810 18 3.09% 11.96% 12.26% 11.57% 18.60% Check 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 19 3.02% 11.95% 13.15% 13.58% 22.70% Average 4.22% 7.18% 8.17% 11.75% 14.65% 20 2.95% 8.83% 11.03% 8.67% 16.68% Weighted Matrix is Markowitz Equation 21 2.94% 12.19% 12.58% 15.14% 24.47% Markowitz Equation is the Portfolio Variance 22 2.94% 12.74% 11.46% 12.99% 24.05% 23 2.93% 14.07% 13.66% 14.87% 21.55% Asset 1 Asset 2 Asset 3 Asset 4 Asset 5 24 2.95% 11.08% 12.47% 10.08% 12.57% 20.00% 20.00% 20.00% 20.00% 20.00% 25 2.90% 12.28% 11.06% 9.99% 13.96% Asset 1 20.00% 0.00000726 0.00000318 0.00000257 0.00004514 0.00003849 26 2.92% 12.25% 10.32% 12.85% 15.18% Asset 2 20.00% 0.00000318 0.00008317 0.00009005 0.00001651 0.00003822 27 2.91% 5.53% 5.72% 8.34% 15.15% Asset 3 20.00% 0.00000257 0.00009005 0.00010739 -0.00000472 0.00002643 28 2.93% 2.32% 2.78% 1.45% 6.16% Asset 4 20.00% 0.00004514 0.00001651 -0.00000472 0.00124265 0.00086155 29 2.96% 2.15% 1.14% 5.35% 9.82% Asset 5 20.00% 0.00003849 0.00003822 0.00002643 0.00086155 0.00091432 30 3.06% 2.47% 1.01% 4.25% 4.03% 31 3.12% 0.17% -1.46% 1.34% -0.04% Portfolio Variance 0.00458965 32 3.16% 1.87% -0.12% 5.19% 3.54% Portfolio Std (Risk) 6.775% 33 3.29% 0.15% -2.33% 5.45% 4.65% Portfolio Return 9.20% 34 3.40% -2.44% -4.14% 3.68% 1.61% 35 3.57% -4.36% -4.64% 3.94% 2.38% 36 3.69% -5.25% -3.72% 1.08% -0.03% 37 3.91% -5.17% -3.51% 1.31% -3.58% 38 4.08%
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InClassWork_PortOpt - Year 1 2 3 4 5 6 7 8 9 10 11 12 13 14...

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