Chapter 11

# Chapter 11 - A B C D E F G H I J K L NO SHORT SALES c Means...

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NO SHORT SALES RESULTS Variance-covariance matrix Means c Sigma Mean 0.1 0.03 -0.08 0.05 8% Ctrl+A works the VBA program -0.035 20.24% 8.70% 0.605 0.089 0.307 0.000 0.03 0.2 0.02 0.03 9% which calculates efficient -0.03 20.25% 8.70% 0.604 0.089 0.307 0.000 -0.08 0.02 0.3 0.2 10% portfolios for no-short sales. -0.025 20.25% 8.70% 0.603 0.089 0.307 0.000 0.05 0.03 0.2 0.9 11% This program iteratively -0.02 20.25% 8.71% 0.603 0.089 0.308 0.000 substitutes a constant ranging -0.015 20.25% 8.71% 0.602 0.090 0.309 0.000 c 16.0% <-- This is the constant from -3.5% 'till 16% (1/2% -0.01 20.26% 8.71% 0.601 0.090 0.309 0.000 jumps) and calculates the -0.005 20.26% 8.71% 0.599 0.091 0.310 0.000 Optimal portfolio proportions optimal portfolio. 0 20.27% 8.71% 0.598 0.091 0.311 0.000 0.0000 0.005 20.27% 8.71% 0.597 0.092 0.311 0.000 0.0000 0.01 20.28% 8.72% 0.595 0.093 0.312 0.000 0.0000 0.015 20.29% 8.72% 0.593 0.093 0.313 0.000 1.0000 0.02 20.30% 8.72% 0.591 0.094 0.315 0.000 Total 1 ### 0.025 20.31% 8.73% 0.589 0.095 0.316 0.000 0.03 20.32% 8.73% 0.586 0.097 0.318 0.000 Portfolio mean 11.00% <-- {=MMULT(TRANSPOSE(C12:C15),G4:G7)} 0.035 20.34% 8.74% 0.582 0.098 0.320 0.000 Portfolio sigma 94.87% <-- {=SQRT(MMULT(TRANSPOSE(C12:C15),MMULT(B4:E7,C12:C15)))} 0.04 20.37% 8.74% 0.578 0.100 0.322 0.000 Theta -5.27% <-- =(B18-C9)/B19 0.045 20.41% 8.75% 0.573 0.102 0.325 0.000 0.05 20.46% 8.76% 0.566 0.105 0.329

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Chapter 11 - A B C D E F G H I J K L NO SHORT SALES c Means...

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