401684517.

xlsx

PORTFOLIO OPTIMIZER

OPTIMAL TANGENCY
Risk Aversion 1.8985 PORTFOLIO PORTFOLIO
Target Return 0.1 (set risk aversion=0 to activate Riskless 0.00%
Riskless Rate 0.02 XOM 255.21% 255.21%
GE -75.47% -75.47%
EXPECTED STANDARD PFE -117.29% -117.29%
RETURN DEVIATION WMT 34.88% 34.88%
XOM 18.02% 20.09% MSFT 2.67% 2.67%
GE -0.41% 18.17%
PFE -3.69% 21.76% Expected Return 51.81% 51.81%
WMT 3.09% 18.39% Standard Deviation 51.22% 51.22%
MSFT 3.82% 22.49%

XOM GE PFE WMT MSFT

XOM 1.0000 0.2402 0.2738 0.1388 0.2145
GE 0.2401905988 1.0000 0.2978 0.2846 0.2928
CORRELATIONS PFE 0.2738443301 0.2977695521 1.0000 0.2603 0.1916
WMT 0.1387851212 0.2846075485 0.2602615988 1.0000 0.2441
MSFT 0.2144869515 0.292774861 0.19164494 0.2440721749 1.0000
EXPECTED RETURN

0.70

0.60

0.50
Frontier without Riskless
Asset 1
0.40 Asset 2
Asset 3
0.30 Asset 4
Asset 5
0.20 Frontier with Riskless
Tangency Portfolio
Your Portfolio
0.10

0.00
-0.10 0.00 0.10 0.20 0.30 0.40 0.50 0.60 0.70

-0.10

STANDARD DEVIATION

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