Chapter 09 - 0.00 5.00 10.00 15.00 20.00 25.00 0.05 0.06...

Info iconThis preview shows pages 1–5. Sign up to view the full content.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: 0.00 5.00 10.00 15.00 20.00 25.00 0.05 0.06 0.07 0.08 0.09 0.10 0.11 Feasible Portfolio Portfolio standard deviation Portfolio mean return Feasible, not efficient Efficient and envelope Envelop e 0% 500% 1000% 1500% 2000% 2500% 0% 200% 400% 600% 800% 1000% 1200% Finding Envelope Portfolios Portfolio standard deviation Portfolio mean return c x, the tangency portfolio given c 0% 500% 1000% 1500% 2000% 2500% 0% 200% 400% 600% 800% 1000% 1200% Finding Envelope Portfolios Portfolio standard deviation Portfolio mean return c x, the tangency portfolio given c Zero beta portfolio CALCULATING THE EFFICIENT FRONTIER Mean Mean minus Variance-covariance matrix returns constant 0.40 0.03 0.02 0.00 0.06-0.005 <-- =F6-$E$11 0.03 0.20 0.00-0.06 0.05-0.015 <-- =F7-$E$11 0.02 0.00 0.30 0.03 0.07 0.005 <-- =F8-$E$11 0.00-0.06 0.03 0.10 0.08 0.015 <-- =F9-$E$11 Constant 0.065 z x z y 0.1019 0.0540-0.0101-0.1163 0.5657 0.2998-0.0353-0.4067 0.1141 0.0605 0.0047 0.0544 1.1052 0.5857 0.1274 1.4687 Transpose x Err:523 Err:523 Err:523 Err:523 Transpose y-0.1163-0.4067 0.0544 1.4687 Mean(x) Err:523 Mean(y) 0.0940 Var(x) Err:523 Var(y) 0.3341 Sigma(x) Err:523 Sigma(y) 0.5780 Cov(x,y) Err:523 Corr(x,y) Err:523 DATA TABLE A single portfolio calculation FOR EFFICIENT FRONTIER Proportion of x 1.048193 GRAPH p's mean return Err:523 Sigma Return p's sigma Err:523 Err:523 Err:523 <--data table header-0.4 Err:523 Err:523 Err:523-0.3 Err:523 Err:523 0.0900 Err:523 "jumps" in table 0.1-0.2 Err:523 Err:523 0.0989 Err:523-0.1 Err:523 Err:523 Err:523 Err:523 Err:523 0.0800 Err:523 0.1 Err:523 Err:523 Err:523 0.2 Err:523 Err:523 0.0600 Err:523 0.3 Err:523 Err:523 Err:523 0.4 Err:523 Err:523 Err:523 0.5 Err:523 Err:523 Err:523 Err:523 0.6 Err:523 Err:523 Err:523 0.7 Err:523 Err:523 Err:523 0.8 Err:523 Err:523 Err:523 0.9 Err:523 Err:523 Err:523 1.048193 Err:523 Err:523 Err:523 <-- minimum var portfolio 1.1 Err:523 Err:523 1.2 Err:523 Err:523 1.3 Err:523 Err:523 1.4 Err:523 Err:523 1.5 Err:523 Err:523 Err:523 1.6 Err:523 Err:523 Cells E13:E16 contain the array function =MMULT(MINVERSE(A6:D9),G6:G9)....
View Full Document

Page1 / 10

Chapter 09 - 0.00 5.00 10.00 15.00 20.00 25.00 0.05 0.06...

This preview shows document pages 1 - 5. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online