Week8-Ch24 Toolkit

Week8-Ch24 Toolkit - 916f8c8de89bade086e 9c5618c2a4f6f...

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Unformatted text preview: 916f8c8de89bade086e 9c5618c2a4f6f e0d8f7.xlsx Chapter 4/1 /2010 PORTFOLIO RISK AND RETURN: THE TWO-ASSET CASE ATTAINABLE PORTFOLIOS: THE TWO ASSET-CASE As et A As et B Expected return, r hat 5% 8% 4% 10% Cor elation = 1 1.0 0.0 5.0 % 4.0% 0.90 0.10 5.30% 4.6% 0.80 0.20 5.60% 5.2% 0.70 0.30 5.90% 5.8% 0.60 0.40 6.20% 6.4% 0.50 0.50 6.50% 7.0% 0.40 0.60 6.80% 7.6% 0.30 0.70 7.10% 8.2% 0.20 0.80 7.40% 8.8% 0.10 0.90 7.70% 9.4% 0.0 1.0 8.0 % 10.0% Cor elation = 1.0 0.0 5.0 % 4.0% 0.90 0.10 5.30% 3.7% 0.80 0.20 5.60% 3.8% 0.70 0.30 5.90% 4.1% 0.60 0.40 6.20% 4.7% 0.50 0.50 6.50% 5.4% 0.40 0.60 6.80% 6.2% 0.30 0.70 7.10% 7.1% 0.20 0.80 7.40% 8.0% 0.10 0.90 7.70% 9.0% 0.0 1.0 8.0 % 10.0% Cor elation =-1 1.0 0.0 5.0 % 4.0% 0.90 0.10 5.30% 2.6% 0.80 0.20 5.60% 1.2% 0.70 0.30 5.90% 0.2% 0.60 0.40 6.20% 1.6% 0.50 0.50 6.50% 3.0% 0.40 0.60 6.80% 4.4% 0.30 0.70 7.10% 5.8% 0.20 0.80 7.40% 7.2% 0.10 0.90 7.70% 8.6% 0.0 1.0 8.0 % 10.0% Table 1: Expected Return and Standard Deviation under Various As umptions 1.0 0.0 5.0 % 4.0% 4.0% 4.0% 0.75 0.25 5.75% 5.5% 3.9% 0.5% 0.50 0.50 6.50% 7.0% 5.4% 3.0% 0.25 0.75 7.25% 8.5% 7.6% 6.5% 0.0 1.0 8.0 % 10.0% 10.0% 10.0% Date March 20 9 8.5% 18.8% 13.9% 0.02% 8.5% 18.8% 13.9% February 20 9-1 .0%-27.8%-7.6% 0.03%-1 .0%-27.8%-7.6% January 20 9-8.6%-25.2%-7.5% 0.01%-8.6%-25.2%-7.5% December 20 8 0.8%-3.8% 4.9% 0.0 % 0.8%-3.9% 4.9% November 20 8-7.5%-12.0%-1 .3% 0.02%-7.5%-12.0%-1 .4% October 20 8-16.8%-23.5%-21.6% 0.06%-16.9%-23.5%-21.7% September 20 8-9.2%-8.1%-18.0% 0.09%-9.3%-8.2%-18.1% August 20 8 1.2%-0.7%-0.1% 0.14% 1.1%-0.8%-0.2% July 20 8-1.0% 6.0%-3.9% 0.14%-1.1% 5.9%-4.1% June 20 8-8.6%-12.1%-8.4% 0.16%-8.8%-12.3%-8.5% May 20 8 1.1%-6.1% 3.1% 0.14% 0.9%-6.2% 2.9% April 20 8 4.8%-1 .6% 6.5% 0.1 % 4.6%-1 .8% 6.4% March 20 8-0.6% 1 .7%-2.2% 0.1 %-0.7% 1 .6%-2.3% February 20 8-3.5%-5.4%-1.6% 0.18%-3.7%-5.6%-1.8% January 20 8-6.1%-4.6%-8.9% 0.23%-6.3%-4.9%-9.2% December 20 7-0.9%-2.4% 0.3% 0.25%-1.1%-2.6% 0.1% November 20 7-4.4%-7.0%-3.8% 0.27%-4.7%-7.2%-4.1% October 20 7 1.5%-0.6% 5.3% 0.3 % 1.2%-0.9% 5.0% September 20 7 3.6% 7.2% 6.2% 0.32% 3.3% 6.9% 5.9% August 20 7 1.3% 0.3% 1.2% 0.35% 0.9%-0.1% 0.8% July 20 7-3.2% 1.3%-1.8% 0.40%-3.6% 0.9%-2.2% June 20 7-1.8% 2.6%-0.4% 0.38%-2.2% 2.2%-0.8% May 20 7 3.3% 2.0% 4.1% 0.39% 2.9% 1.6% 3.7% April 20 7 4.3% 4.2% 4.8% 0.41% 3.9% 3.8% 4.4% March 20 7 1.0% 1.3% 0.8% 0.41% 0.6% 0.9% 0.4% February 20 7-2.2%-2.4%-1.7% 0.42%-2.6%-2.8%-2.1% January 20 7 1.4%-3.1% 2.9% 0.42% 1.0%-3.5% 2.5% December 20 6 1.3% 6.3%-0.5% 0.40% 0.9% 5.9%-0.9% November 20 6 1.6% 0.5% 2.6% 0.41% 1.2% 0.1% 2.2% October 20 6 3.2%-0.5% 2.9% 0.41% 2.7%-1.0% 2.5% September 20 6 2.5% 4.4% 1.1% 0.40% 2.1% 4.0% 0.7% August 20 6 2.1% 4.2% 2.4% 0.41% 1.7% 3.8% 2.0% July 20 6 0.5%-0.8%-3.1% 0.41% 0.1%-1.2%-3.5% June 20 6 0.0%-3.1%-0.7% 0.40%-0.4%-3.5%-1.1% May 20 6-3.1%-1.0%-4.9% 0.39%-3.5%-1.4%-5.3% April 20 6 1.2%-0.6% 1.9% 0.38% 0.8%-0.9% 1.5% March 20 6 1.1% 5.8% 2.7% 0.38% 0.7% 5.4% 2.3% February 20 6 0.0% 1.1%-1.5%-1....
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Week8-Ch24 Toolkit - 916f8c8de89bade086e 9c5618c2a4f6f...

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