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  • Bai Many Assets

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    Gia Linh Nguyen Hoang
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    The document discusses portfolio optimization and includes inputs for 5 risky assets and a riskless asset. It provides expected returns, standard deviations, correlations, variances, and covariances for the assets. Graphs show the efficient frontier curve and efficient trade-off line. An optimal combination of the risky assets is identified as a tangent portfolio with weights ranging from 13.33% to 26.67% allocated to each of the 5 assets.

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    The document discusses portfolio optimization and includes inputs for 5 risky assets and a riskless asset. It provides expected returns, standard deviations, correlations, variances, and covariances for the assets. Graphs show the efficient frontier curve and efficient trade-off line. An optimal combination of the risky assets is identified as a tangent portfolio with weights ranging from 13.33% to 26.67% allocated to each of the 5 assets.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    4 views3 pages

    Bai Many Assets

    Uploaded by

    Gia Linh Nguyen Hoang
    The document discusses portfolio optimization and includes inputs for 5 risky assets and a riskless asset. It provides expected returns, standard deviations, correlations, variances, and covariances for the assets. Graphs show the efficient frontier curve and efficient trade-off line. An optimal combination of the risky assets is identified as a tangent portfolio with weights ranging from 13.33% to 26.67% allocated to each of the 5 assets.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 3

    poartfolio optimization many asset

    One plus
    Expected Standard Exp Ret
    INPUTS Return Deviation [ 1+ E( r )] Ones
    RISKLESS RATE ( r ) 4.0% 0% 104.0%
    RISKY ASSET 1 8.0% 20% 108.0% 100%
    RISKY ASSET 2 9.0% 20% 109.0% 100%
    RISKY ASSET 3 10.0% 20% 110.0% 100%
    RISKY ASSET 4 11.0% 20% 111.0% 100%
    RISKY ASSET 5 12.0% 20% 112.0% 100% Eff. Trade-off line & Eff. Frontier Curve
    16%
    14%
    correlation 12%

    Expected Return
    1 2 3 4 5 10%
    8%
    1 100.0% 0.0% 0.0% 0.0% 0.0% 6%
    2 0.0% 100.0% 0.0% 0.0% 0.0% 4%

    3 0.0% 0.0% 100.0% 0.0% 0.0% 2%


    0%
    4 0.0% 0.0% 0.0% 100.0% 0.0% 0% 5% 10% 15% 20% 25%
    5 0.0% 0.0% 0.0% 0.0% 100.0% Standard Deviation

    Standard Deviations
    1 2 3 4 5
    20% 20% 20% 20% 20% portfolio Vieghts in an optimal (Tangent) Port
    30%
    Varriances & Corvriances 25%

    Portfolio Veights
    1 2 3 4 5 20%
    1 4.0% 0.0% 0.0% 0.0% 0.0% 15%
    2 0.0% 4.0% 0.0% 0.0% 0.0% 10%
    3 0.0% 0.0% 4.0% 0.0% 0.0% 5%
    4 0.0% 0.0% 0.0% 4.0% 0.0%
    0%
    5 0.0% 0.0% 0.0% 0.0% 4.0% 1 2 3 4 5
    Asset Number

    Column I

    OUTPUTS
    A 125
    B 137.5
    C. 151.28
    Efficient Efficient
    Delta 3.125 Frontier Trade-off Individual
    Gamma 0.133 Curve Line Asset Optimal Combinaion
    Standard Expected Expected Expected of Risky Assets
    Index Deviation Return Return Return ( Tangent Portfolio)
    Risky Asset 1 20% 8.0% 1 13.33%
    Risky Asset 2 20% 9.0% 2 16.67%
    Risky Asset 3 20% 10.0% 3 20.00%
    Risky Asset 4 20% 11.0% 4 23.33%
    Risky Asset 5 20% 12.0% 5 26.67%
    Trade-off Curve 0 25% 6.31%
    Trade-off Curve 1 23% 6.68%
    Trade-off Curve 2 21% 7.05%
    Trade-off Curve 3 19% 7.42%
    Trade-off Curve 4 17% 7.79%
    Trade-off Curve 5 15% 8.15%
    Trade-off Curve 6 13% 8.52%
    Trade-off Curve 7 11% 8.89%
    Trade-off Curve 8 10% 9.26%
    Trade-off Curve 9 9% 9.63%
    Trade-off Curve 10 9% 10.00%
    Trade-off Curve 11 9% 10.37%
    Trade-off Curve 12 10% 10.74%
    Trade-off Curve 13 11% 11.11%
    Trade-off Curve 14 13% 11.48%
    Trade-off Curve 15 15% 11.85%
    Trade-off Curve 16 17% 12.21%
    Trade-off Curve 17 19% 12.58%
    Trade-off Curve 18 21% 12.95%
    Trade-off Curve 19 23% 13.32%
    Trade-off Curve 20 25% 13.69%
    optimal Comb 9.2% 10.3%
    Eff Trade -off Line 0.0% 0.0% 4.0%
    Eff Trade -off Line 100.0% 9.2% 10.3%
    Eff Trade -off Line 200.0% 18.4% 16.7%
    f line & Eff. Frontier Curve

    10% 15% 20% 25%


    Standard Deviation

    s in an optimal (Tangent) Port

    2 3 4 5
    Asset Number

    Column I

    imal Combinaion
    f Risky Assets
    angent Portfolio)

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