Chapter 09

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

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

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