Portfolio Optimization 5 assets

Portfolio Optimization 5 assets - PORTFOLIO OPTIMIZATION...

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Many Assets One plus Inputs Expected Standard Exp Ret Return Deviation Ones Riskless Rate (r) 0.5% 0.0% 100.5% Risky Asset 1 8% 20.0% 108.0% 100.0% Risky Asset 2 9% 20.0% 109.0% 100.0% Risky Asset 3 10% 20.0% 110.0% 100.0% Risky Asset 4 11% 20.0% 111.0% 100.0% Risky Asset 5 12% 20.0% 112.0% 100.0% Correlations 1 2 3 4 5 1 100.0% 0.0% 0.0% 0.0% 0.0% 2 0% 100.0% 0.0% 0.0% 0.0% 3 0% 0% 100.0% 0.0% 0.0% 4 0% 0% 0% 100.0% 0.0% 5 0% 0% 0% 0.0% 100.0% Standard Deviations 1 2 3 4 5 20.0% 20.0% 20.0% 20.0% 20.0% Variances and Covariances 1 2 3 4 5 1 4.00% 0.00% 0.00% 0.00% 0.00% 2 0.00% 4.00% 0.00% 0.00% 0.00% 3 0.00% 0.00% 4.00% 0.00% 0.00% 4 0.00% 0.00% 0.00% 4.00% 0.00% 5 0.00% 0.00% 0.00% 0.00% 4.00% Outputs A 125 B 137.5 C. 151.275 Efficient Efficient Delta 3.1E+00 Frontier Trade-off Individual Gamma 0.0842105 Curve Line Asset Optimal Combination Standard Expected Expected Expected of Risky Assets Index Deviation Return Return Return (Tangent Portfolio) Risky Asset 1 20.0% 8.0% 1 15.79% Risky Asset 2
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This note was uploaded on 02/06/2012 for the course MGMT 411 taught by Professor Clarke during the Spring '09 term at Purdue University.

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