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  • CH 7 Optimal Portfolios

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    Shahzad Shaikh
    14 views2 pages

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    Ch 7 Optimal Portfolios

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    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
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    14 views2 pages

    CH 7 Optimal Portfolios

    Uploaded by

    Shahzad Shaikh

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    A

    B
    C
    D
    E
    F
    52
    Bordered Covariance Matrix for Target Return Portfolio
    53
    EWD
    EWH
    EWI
    EWJ
    EWL
    54 Weights
    0.0000
    0.0000
    0.0826
    0.3805
    0.0171
    55
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    56
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    57
    0.0826
    0.0000
    0.0000
    4.6261
    3.2071
    0.5475
    58
    0.3805
    0.0000
    0.0000
    3.2071
    98.4074
    1.8208
    59
    0.0171
    0.0000
    0.0000
    0.5475
    1.8208
    0.1374
    60
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    61
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    62
    0.5198
    0.0000
    0.0000
    7.6932
    53.7915
    2.0854
    63
    1.0000
    0.0000
    0.0000
    16.0739 157.2268
    4.5911
    64 Portfolio Variance
    321.3580
    65 Portfolio Standard Deviation
    17.9265
    66 Portfolio Mean
    12.0000
    67
    68
    Weights
    69
    Mean
    St. Dev
    EWD
    EWH
    EWI
    EWJ
    70
    6.00
    21.8883
    0.0165
    0.0000
    0.0000
    0.7075
    71
    9.00
    19.6644
    0.0217
    0.0000
    0.0185
    0.5300
    72
    12.00
    17.9265
    0.0000
    0.0000
    0.0826
    0.3805
    73
    15.00
    16.8147
    0.0000
    0.0000
    0.1372
    0.2232
    74
    18.00
    16.4614
    0.0000
    0.0000
    0.1918
    0.0658
    75
    21.00
    17.3685
    0.0000
    0.0000
    0.4023
    0.0000
    76
    24.00
    21.1878
    0.0000
    0.0000
    0.7225
    0.0000
    77
    27.00
    26.0514
    0.0000
    0.0000
    1.0000
    0.0000
    78

    EWP
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000

    EWW
    S&P 500
    0.0000
    0.5198
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    7.6932
    0.0000
    53.7915
    0.0000
    2.0854
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    79.8960
    0.0000 143.4662

    EWL
    0.0000
    0.0176
    0.0171
    0.0168
    0.0164
    0.0000
    0.0000
    0.0000

    EWP
    0.0188
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000

    EWW
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000

    S&P 500
    0.2571
    0.4122
    0.5198
    0.6229
    0.7260
    0.5977
    0.2775
    0.0000

    A
    B
    C
    D
    E
    F
    52
    Bordered Covariance Matrix for Target Return Portfolio
    53
    EWD
    EWH
    EWI
    EWJ
    EWL
    54 Weights
    0.0000
    0.0000
    0.0826
    0.3805
    0.0171
    55
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    56
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    57
    0.0826
    0.0000
    0.0000
    4.6261
    3.2071
    0.5475
    58
    0.3805
    0.0000
    0.0000
    3.2071
    98.4074
    1.8208
    59
    0.0171
    0.0000
    0.0000
    0.5475
    1.8208
    0.1374
    60
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    61
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    62
    0.5198
    0.0000
    0.0000
    7.6932
    53.7915
    2.0854
    63
    1.0000
    0.0000
    0.0000
    16.0739 157.2268
    4.5911
    64 Portfolio Variance
    321.3580
    65 Portfolio Standard Deviation
    17.9265
    66 Portfolio Mean
    12.0000
    67
    68
    Weights
    69
    Mean
    St. Dev
    EWD
    EWH
    EWI
    EWJ
    70
    6.00
    21.8883
    0.0165
    0.0000
    0.0000
    0.7075
    71
    9.00
    19.6644
    0.0217
    0.0000
    0.0185
    0.5300
    72
    12.00
    17.9265
    0.0000
    0.0000
    0.0826
    0.3805
    73
    15.00
    16.8147
    0.0000
    0.0000
    0.1372
    0.2232
    74
    18.00
    16.4614
    0.0000
    0.0000
    0.1918
    0.0658
    75
    21.00
    17.3685
    0.0000
    0.0000
    0.4023
    0.0000
    76
    24.00
    21.1878
    0.0000
    0.0000
    0.7225
    0.0000
    77
    27.00
    26.0514
    0.0000
    0.0000
    1.0000
    0.0000
    78

    EWP
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000

    EWW
    S&P 500
    0.0000
    0.5198
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    7.6932
    0.0000
    53.7915
    0.0000
    2.0854
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    79.8960
    0.0000 143.4662

    EWL
    0.0000
    0.0176
    0.0171
    0.0168
    0.0164
    0.0000
    0.0000
    0.0000

    EWP
    0.0188
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000

    EWW
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000

    S&P 500
    0.2571
    0.4122
    0.5198
    0.6229
    0.7260
    0.5977
    0.2775
    0.0000

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