Scribd Logo
Upload

Welcome to Scribd!

  • Asset Portfolio # Expected Return P.A. Standard Deviation of Returns P.A. Correlation Coefficient "R" W

    Uploaded by

    Kaushik Nath
    17 views4 pages
    This document contains information about 11 portfolios with varying asset allocations between two assets (A and B) and the expected returns and standard deviations that result from these allocations. It shows the weights of each asset in each portfolio, ranging from 0-1, along with the expected return and standard deviation for that portfolio combination.

    Original Description:

    DEP

    Original Title

    Delineating Efficient Portfolio

    Copyright

    © © All Rights Reserved

    Available Formats

    XLSX, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    This document contains information about 11 portfolios with varying asset allocations between two assets (A and B) and the expected returns and standard deviations that result from these allocations. It shows the weights of each asset in each portfolio, ranging from 0-1, along with the expected return and standard deviation for that portfolio combination.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    17 views4 pages

    Asset Portfolio # Expected Return P.A. Standard Deviation of Returns P.A. Correlation Coefficient "R" W

    Uploaded by

    Kaushik Nath
    This document contains information about 11 portfolios with varying asset allocations between two assets (A and B) and the expected returns and standard deviations that result from these allocations. It shows the weights of each asset in each portfolio, ranging from 0-1, along with the expected return and standard deviation for that portfolio combination.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 4

    Asset

    Standard Correlation
    Expected
    deviation of coefficient
    return p.a.
    returns p.a.
    r

    A
    B

    15%
    30%

    10%
    15%

    Portfolio # Wa
    1
    2
    3
    4
    5
    6
    7
    8
    9
    10
    11

    0.25

    0.5

    0.35

    0.35

    0.3

    0.3

    0.25

    0.25

    0.2

    0.2

    0.15

    0.15

    0.1

    0.1

    0.05

    0.05

    0
    0.09

    0.1

    0.11

    0.12

    1
    0.9
    0.8
    0.7
    0.6
    0.5
    0.4
    0.3
    0.2
    0.1
    0

    0.13

    0.14

    0.15

    0.16

    0
    0.09

    0.1

    0.11

    0.12

    0.13

    0.14

    Wb

    rp
    0
    0.1
    0.2
    0.3
    0.4
    0.5
    0.6
    0.7
    0.8
    0.9
    1

    0.5

    p
    0.15
    0.165
    0.18
    0.195
    0.21
    0.225
    0.24
    0.255
    0.27
    0.285
    0.3

    rp
    0.1
    0.105
    0.11
    0.115
    0.12
    0.125
    0.13
    0.135
    0.14
    0.145
    0.15

    0.25

    rp

    0.15
    0.1
    0.165 0.09836158
    0.18 0.09848858
    0.195 0.1003743
    0.21 0.10392305
    0.225 0.10897247
    0.24 0.11532563
    0.255 0.12278029
    0.27 0.13114877
    0.285 0.1402676
    0.3
    0.15

    0.5

    0.12

    rp

    0.15
    0.1
    0.165 0.09486833
    0.18 0.09219544
    0.195 0.09219544
    0.21 0.09486833
    0.225
    0.1
    0.24 0.10723805
    0.255 0.1161895
    0.27 0.12649111
    0.285 0.13784049
    0.3
    0.15

    0.15
    0.165
    0.18
    0.195
    0.21
    0.225
    0.24
    0.255
    0.27
    0.285
    0.3

    0.25

    0.13

    0.14

    0.15

    0.16

    0.35

    0.35

    0.3

    0.3

    0.25

    0.25

    0.2

    0.2

    0.15

    0.15

    0.1

    0.1

    0.05

    0.05

    0
    0.08

    0.09

    0.1

    0.11

    0.12

    0.13

    0.14

    0.15

    0.16

    0
    0.07

    0.08

    0.09

    -0.5

    rp

    0.1
    0.09124144
    0.08544004
    0.08321658
    0.08485281
    0.09013878
    0.09848858
    0.10920165
    0.12165525
    0.13536986
    0.15

    -1

    rp

    0.15
    0.1
    0.165 0.08351647
    0.18
    0.07
    0.195 0.06144103
    0.21
    0.06
    0.225 0.06614378
    0.24 0.0781025
    0.255 0.09367497
    0.27 0.11135529
    0.285 0.13028814
    0.3
    0.15

    p
    0.15
    0.165
    0.18
    0.195
    0.21
    0.225
    0.24
    0.255
    0.27
    0.285
    0.3

    0.1
    0.075
    0.05
    0.025
    0
    0.025
    0.05
    0.075
    0.1
    0.125
    0.15

    -0.5

    0.35

    0.35

    0.3

    0.3

    0.25

    0.25

    0.2

    0.2

    0.15

    0.15

    0.1

    0.1

    0.05

    0.05

    0
    0.07

    0.08

    0.09

    0.1

    0.11

    0.12

    0.13

    0.14

    0.15

    0.16

    0
    0.04

    0.06

    0.08

    0.1

    0.12

    0.14

    -1

    -0.5
    0.35
    0.3
    0.25
    0.2
    0.15
    0.1
    0.05
    0.1

    0.12

    0.14

    0.16

    0.02

    0.04

    0.06

    0.08

    0.1

    0.12

    0.14

    0.16

    You might also like