Economist at Large

Portfolio Theory Series

2011 Economist at Large

Expected Returns
Average Weekly Return
0.45%
0.01%
0.34%
0.30%
0.26%
0.32%

BAP
BVN
MSFT
CITI
Coca Cola
SPY
Risk Free Rate

Standard
Deviation
3.96%
5.72%
3.50%
9.43%
2.24%
2.47%

0.08%

Portfolio Statistics
Portfolio Average Return
Standard Deviation
Slope

0.10% <=Subtract out the risk free rate

2.70%
0.0370

Target average

100.00%

Portfolio
Average return
Standard Deviation
Slope
BAP
BVN
MSFT
CITI
Coca Cola
SPY

0.10%
2.70%

0.00%

Saved Solver Scenarios

Minimum SD

Target Avg
2.70%
6
1
0
1
1

2.70%
6
1
0
1
1

0.00%

0.15%
2.34%

An
Ra
ca
to

1
1
1
100

1
1
1
0
100

Covariance Table
Weights

0%

Asset
0% BAP
37% BVN
0% MSFT
0% CITI
50% Coca Cola
13% SPY
100%
VAR
100%

out the risk free rate

0.19%
2.04%
0.0952

BAP
0.0016
0.0008
0.0004
0.0017
0.0003
0.0006

37%
0%
0%
50%
BVN
MSFT
CITI
Coca Cola
0.0008
0.0004
0.0017
0.0003
0.0033
0.0003
0.0009
0.0002
0.0003
0.0012
0.0011
0.0003
0.0009
0.0011
0.0089
0.0008
0.0002
0.0003
0.0008
0.0005
0.0004
0.0005
0.0016
0.0003

0.000730
0.000730

Minimizar la Desv. Std

Maximizar Slope

0.20%
2.26%

0.23%
0.25%
0.27%
0.30%
2.26%
2.29%
2.31%
0.1161

0.35%

Andrew Matuszak:
Rather than creating new Solver sets, you
can simply load these through the Solver
tool to save time.

Andrew Matuszak:
This solver set can be used
to find a portfolio with a
targeted return with the
lowest standard deviation.

Andrew Matuszak:
This solver set can be used
to find the portfolio with the
lowest standard deviation.

Andrew Matuszak:
This solver set can be used
to find a portfolio with a
targeted return with the
lowest standard deviation.

Andrew Matuszak:
This solver set can be used
to find the portfolio with the
lowest standard deviation.

Andrew Matuszak:
Notice that these are set to be equal to the corresponding 'F' column.
Do not simply transpose these data; you must use a formula.

13%
SPY
0.0006
0.0004
0.0005
0.0016
0.0003
0.0006

Efficient Frontier
0.30%
0.25%
0.20%
Average Return

0.15%
0.10%
0.05%
0.00%
2.00%

2.10%

2.20%

2.30%

2.40%

2.50%

Standard Deviation

2.60%

tier

.40%

2.50%

Deviation

2.60%

2.70%

2.80%