54 437 320 202 085 000 149 266 383 500 corr

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Unformatted text preview: 00% 4.80% 4.60% 4.40% 4.20% 4.00% 3.85% 3.60% 3.40% 3.20% 3.00% 5.00% 4.80% 4.60% 4.40% 4.20% 4.00% 3.85% 3.60% 3.40% 3.20% 3.00% 5% 4% 3% 2% corr = +1 1% corr = 0 corr = -1 0% 0% Page 9 1% 2% 3% 4% 5% 6% Exercise 9 Variance-covariance matrix 0.3 0.02 -0.05 0.02 0.4 0.06 -0.05 0.06 0.6 first portfolio 0.3 second portfolio 0.5 means 10% 12% 14% mean return 12.40% variance of return 19.24% 0.4 0.5 0.1 11.20% 15.28% correlation 0.1106 0.2 covariance 0.6450 ### ### Transpose of portfolios first portfolio second portfolio 0.3 0.5 0.2 0.4 0.5 0.1 0.3 this is the proportion of portfolio 1 0.1156 ### 0.13864 ### Sigma 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 ; 39.09% 38.16% 37.53% 37.23% 37.27% 37.63% 38.31% 39.30% 40.58% 42.10% 43.86% Mean ; <-- The data table header has been hidden. 11.20% 11.32% 3-asset case: port folio ret urn and sigma 11.44% 11.56% 11.68% 11.80% 11.92% 12.04% 12.16% 12.28% 12.40% mea n re t urn Portfolio Proportion Mean Variance 14.0% 12 .0% 10.0% 8.0% 6.0% 4.0% 0.0% 35% Page 10 s t a nda rd de viat io...
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