72 168 017 117 539 433 636 083 264 107 a 1 2 3 4 5 6

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Unformatted text preview: 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 B C D E F G H I J K L M ALCOA (AA) AND JOHNSON & JOHNSON (JNJ) Portfolio Monthly statistics Average Sigma Covariance AA 0.68% 10.12% 0.02% ### 3.98% 3.98% Correlation ### ### Portfolio calculations Proportion of AA Proportion of JNJ 0.5000 0.5000 0.76% 5.94% #MACRO? #MACRO? ### Portfolio mean return Portfolio standard deviation JNJ 0.72% 5.84% ### ### Data table: Varying the proportion of AA Sigma Mean 0.0594 0.0076 -1 0.1515 0.0076 -0.9 0.1408 0.0076 -0.8 0.1301 0.0076 -0.7 0.1197 0.0076 -0.6 0.1094 0.0076 -0.5 0.0994 0.0076 -0.4 0.0898 0.0076 -0.3 0.0807 0.0076 -0.2 0.0722 0.0076 -0.1 0.0647 0.0076 0 0.0584 0.0076 0.1 0.0539 0.0076 0.2 0.0517 0.0076 0.3 0.0519 0.0076 0.4 0.0546 0.0076 0.5 0.0594 0.0076 0.6 0.0659 0.0076 0.7 0.0737 0.0076 0.8 0.0823 0.0076 0.9 0.0915 0.0076 1 0.1012 0.0076 ### 0.80% 0.70% 0.60% 0.50% 0.40% 0.30% 0.20% 0.10% 0.00% 5.00% 6.00% 7.00% 8.00% 9.00% 10.00% 11.00%...
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This document was uploaded on 03/29/2014.

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