Mean return 022 single index modele290 2710 variance

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Mean return 0.22% =$'Single Index Model'.E290 27.10% Variance 0.02% =$'Single Index Model'.E291 32.16% Sigma 1.34% =$'Single Index Model'.E292 2.81% -3.16% -0.89% 0.69% -0.82% 0.15% 33.31% GMVP Statistics 12.23% Mean return 0.19% =$'Constant Correlation Model'.E3 27.05% Variance 0.02% =$'Constant Correlation Model'.E3 37.13% Sigma 1.37% =$'Constant Correlation Model'.E3 8.33% -1.89% -1.03% -4.22% -5.52% -5.39% 21.50% GMVP Statistics 10.05% Mean return 0.29% =$Shrinkage.E319 17.93% Variance 0.01% =$Shrinkage.E320 21.43% Sigma 1.04% =$Shrinkage.E321 10.24% 3.38% 4.12%
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4.81% 2.87% 3.67%
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304 305 306
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Shrinkage Model PG HD KO JNJ PG 0.0128146 0.001016434 0.0348931 0.0086347 HD -0.064571 -0.0041865043 -0.054738 -0.023391 KO 0.0229781 0.0273356478 -0.017134 -0.014522 JNJ 0.015871 0.0111206136 0.0192673 0.0268064 WFC 0.0072633 0.027340353 -0.002133 0.0001163 GOOG 0.021359 0.0082821094 0.00332 0.0073739 MSFT -0.05464 -0.0088223571 -0.013214 0.007429 AAPL 0.0167176 0.0051480824 0.0377403 0.0209298 AMZN 0.0233729 0.0495647393 0.024644 0.0084965 LUV 0.0150688 0.0040047286 -0.008942 0.0062359 Risk Free Rate 0.00962% Mean Mean - c 0.164% 0.154% =A17-$B$14 0.418% 0.408% 0.152% 0.142% 0.322% 0.312% 0.253% 0.244% 0.437% 0.428% 0.462% 0.453% 0.350% 0.340% 0.616% 0.606% 0.695% 0.685% Envelope with constant = 0 PG -0.02158 {=MMULT(MINVERSE(B3:K12),A17:A26 HD 0.1956713 KO -0.076992 JNJ 0.1221061 WFC -0.122919 GOOG 0.0347768 MSFT 0.1118354 AAPL 0.0058753 AMZN 0.0077688 LUV -0.123673 nvelope with constant 0.5% annualy PG -0.021048 {=MMULT(MINVERSE(B3:K12),B17:B26 HD 0.1913009 KO -0.078539 JNJ 0.1279555 WFC -0.122924 GOOG 0.0327388 MSFT 0.1092975
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AAPL 0.006091 AMZN 0.0087449 LUV -0.121576 E(x) 0.0047007 {=MMULT(TRANSPOSE(G29:G38),A17:A Var(x) 0.0353784 {=MMULT(MMULT(TRANSPOSE(G29:G3 Sigma(x) 0.1880916 =SQRT(B54) Cov(x,y) 0.0348722 {=MMULT(MMULT(TRANSPOSE(G29:G3 Corr(x,y) 0.9898362 =B57/B55/K55 Single Portfolio Portfolio of X 0.3 E(rp) 0.0047202 {=B61*$B$53+(1-B61)*$K$53} sp 0.1871389 {=SQRT(B61^2*$B$54+(1-B61)^2*$K Data Table Portfolio of X Sigma Return 0.1871389 0.004720185 -20 -19 -18 -17 -16 -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6
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7 8 9 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 43 44 45 46 47 48 49 50 51 52 53
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54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100
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101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125
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WFC GOOG MSFT AAPL AMZN LUV 0.0171152 0.0097205 0.0218232 -0.017768 0.0280934 -0.0206781521 0.0076744 -0.002408 0.0182165 0.0102364 0.028103 -0.0077328252 0.0089868 -0.040241 -0.010369 0.0270732 -0.0307 -0.0069781549 0.0553426 0.0323599 0.0645577 -0.037891 0.0235049 0.0154171116 0.007655 0.0399949 -0.024178 0.0066228 0.0213933 0.0063762473 -0.003703 0.0538032 0.0520949 0.0756374 0.0126352 0.0495365735 0.0319191 0.0019359 0.0656507 0.0660609 -0.021394 0.0037412229 -0.014073 0.012353 0.033473 -0.095815 -0.047084 0.0143453675 0.0016138 0.0088997 0.003131 0.0154752 0.0658514 0.026195491 0.0043162 -0.014126 0.0031409 -0.044957 -0.042193 -0.0509809039 Envelope Portfolio X Optimum Portfolio 6)} -0.162415 =B29/SUM($B$29:$B$38) PG -0.159402 1.4726556 HD 1.4487973 -0.579457 KO -0.59481 0.9189911 JNJ 0.9690573 -0.925109 WFC -0.930955 0.2617364 GOOG 0.247944 0.8416918 MSFT 0.827753 0.0442188 AAPL 0.0461297 0.0584693 AMZN 0.0662285 -0.930782 LUV -0.920743 1 =SUM(G29:G38) 1 Envelope Portfolio Y Porrfolio Mean 0.473% 6)} -0.159402 =B42/SUM($B$42:$B$51) Porrfolio Sigma 18.73% 1.4487973 -0.59481 0.9690573 -0.930955 0.247944 0.827753
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0.0461297 0.0662285 -0.920743 1 =SUM(G42:G51) A26)} E(y) 0.0047285254 {=MMULT(T 38),B3:K12),G29:G38)} Var(y) 0.035082774 {=MMULT(M Sigma(y) 0.1873039616 =SQRT(K54 38),B3:K12),G42:G51)} K$54+2*B61*(1-B61)*$B$57)} 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.004550 0.005050 0.005550 0.006050 0.006550 0.007050
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{=MMULT(MINVERSE($B$3:$K$12),$B$17:$B$26)/SUM(MMULT(MINVERSE($B$ =SUM(L29:L38) {=MMULT(TRANSPOSE(L29:L38),A17:A26)} {=SQRT(MMULT(TRANSPOSE(L29:L38),MMULT(B3:K12,L29:L38)))}
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TRANSPOSE(G42:G51),A17:A26)} MMULT(TRANSPOSE(G42:G51),B3:K12),G42:G51)} 4)
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$3:$K$12),$B$17:$B$26))}
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