Module5_PortMgmt_Lecture

Module5_PortMgmt_Lecture - Course Outline: I Mean Variance:...

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Unformatted text preview: Course Outline: I Mean Variance: Multi-Assets Three Assets (A, B, & C) Example A B C Mean 13.09% 2.17% 21.15% Std 18.73% 23.30% 30.28% Correlation Matrix A B C A 1.000-0.690 0.702 B-0.690 1.000-0.510 C 0.702-0.510 1.000 Covariance Matrix Weighted Covariance Matrix 18.73% 23.30% 30.28% 44.25% 35.44% 20.31% 18.73% 0.03507-0.03011 0.03981 44.25% 0.00687-0.00472 0.00358 23.30%-0.03011 0.05430-0.03598 35.44%-0.00472 0.00682-0.00259 30.28% 0.03981-0.03598 0.09168 20.31% 0.00358-0.00259 0.00378 Ep GMV (Lowest Risk) 56.71% 43.55%-0.27% 0.0816401 0.0831252 10.00% 10.86% XA XB XC Ep 33.33% 33.33% 33.33% 11.95% 12.14% Weights= 44.25% 35.44% 20.31% 100.00% Year A B C Q Alt-1 37.97% 31.36% 30.66% 11.91% 12.14% 1 25.46%-17.85% 31.99% 11.44% Alt-2 37.86% 31.31% 30.84% 11.95% 12.16% 2 15.63%-23.94% 23.27% 3.16% 3-4.31% 11.52%-14.51%-0.77% XA XB XC Ep 4 16.65%-10.96% 26.66% 8.90% GMV 56.71% 43.55%-0.27% 8.16% 8.31% 5-29.38% 53.85% 20.37% 10.22% 1 48.52% 38.24% 13.24% 9.00% 9.98% 6-14.28% 41.57% 11.21% 10.69% 2 44.24% 35.44% 20.32% 10.00% 10.86% 7 31.60%-21.28% 57.27% 18.07% 3 40.80% 33.20% 26.01% 11.00% 11.56% 8 28.96%-7.48% 33.55% 16.98% 4 37.69% 31.21% 31.10% 12.00% 12.19% 9 40.23%-40.18% 47.31% 13.17% 5 34.83% 29.36% 35.81% 13.00% 12.77% 10 35.41%-10.14% 61.53% 24.57% 6 32.18% 27.57% 40.25% 14.00% 13.33% 11 28.90%-14.77% 71.74% 22.13% 7 29.56% 25.87% 44.57% 15.00% 13.86% 12 1.28% 24.24% 18.57% 12.93% 8 26.92% 24.26% 48.82% 16.00% 14.38% 13 16.52%-28.90% 22.41% 1.62% 9 24.56% 22.59% 52.85% 17.00% 14.88% 14 15.12% 23.69% 0.45% 15.18% 10 22.07% 21.02% 56.91% 18.00% 15.38% 15 17.19%-8.90% 48.85% 14.37% 11 19.53% 19.51% 60.96% 19.00% 15.87% 16 21.15% 21.96% 32.29% 23.70% 12 17.27% 17.91% 64.82% 20.00% 16.36% 17-9.48% 21.79%-19.47%-0.43% 18 29.72%-23.12% 33.60% 11.78% 19 15.60%-9.85% 19.80% 7.43% 20-1.89% 23.76% 26.39% 12.94% 21 15.80%-5.28% 60.65% 17.44% 22-6.95% 0.09% 14.10%-0.18% 23 47.12%-17.88% 91.35% 33.07% 24 19.51%-25.46% 72.69% 14.37% 25-5.00%-12.51% 0.49%-6.54% 26 22.08% 24.25% 32.74% 25.01% 27-10.17% 37.90% 35.99% 16.24% 28 11.10% 18.27% 24.18% 16.30% 29 13.97%-7.19% 26.16% 8.95% 30 2.49%-15.14%-8.85%-6.06% 31 16.32%-15.12% 1.92% 2.25% 32 28.21%-9.63% 37.68% 16.73% 33 17.72%-11.95% 33.41% 10.39% 34 0.11% 11.08% 21.35% 8.31% 35-24.83% 42.36%-16.63% 0.65% 36-0.34% 22.73%-37.06% 0.38% 37 50.10%-58.48% 51.76% 11.96% 38 11.35% 18.02% 20.13% 15.50% 39 29.60% 5.73% 43.11% 23.89% 40 31.37% 10.95%-1.95% 17.36% 41-20.71% 35.40%-8.89% 1.57% 42 39.06%-13.70% 62.76% 25.18% 43 26.88%-27.53% 38.34% 9.92% 44 21.72% 0.33% 36.09% 17.06% 45 16.00%-13.52% 22.83% 6.93% 46 20.88% 20.07%-9.80% 14.36% 47-0.21% 9.29%-45.22%-5.99% 48-7.61% 24.10%-20.44% 1.02% 49 14.52%-11.90%-5.35% 1.12% 50 16.15% 10.15% 31.53% 17.15% 51 40.13%-22.16% 60.55% 22.20% 52 13.08% 9.25% 5.76% 10.24% 53 13.32% 50.82% 5.38% 24.99% 54 46.43%-10.36% 62.87% 29.64% 55-6.94% 11.01% 20.25% 4.94% 56-6.67% 40.82%-45.73% 2.23% 57 31.80%-19.50% 26.26% 12.50% 58 13.16% 11.58% 34.10% 16.85% 59-17.52% 4.01%-30.82%-12.59%-12....
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This note was uploaded on 12/10/2011 for the course FNBU 3432 taught by Professor Yang during the Spring '10 term at Bentley.

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Module5_PortMgmt_Lecture - Course Outline: I Mean Variance:...

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