Microsoft Excel 15.

0 Answer Report
Worksheet: [Efficient Frontier (Autosaved).xlsx]Efficient Frontier
Report Created: 04-08-2017 10:43:37
Result: Solver found a solution. All Constraints and optimality conditions are satisfied.
Solver Engine
Engine: GRG Nonlinear
Solution Time: 0.016 Seconds.
Iterations: 0 Subproblems: 0
Solver Options
Max Time Unlimited, Iterations Unlimited, Precision 0.000001
Convergence 0.0001, Population Size 100, Random Seed 0, Derivatives Central
Max Subproblems Unlimited, Max Integer Sols Unlimited, Integer Tolerance 1%

Objective Cell (Min)

Cell Name Original Value Final Value
$B$14 Portfolio Std Dev Stock A 5.87% 5.87%

Variable Cells
Cell Name
$B$11 Weights Stock A
$C$11 Weights Stock B
$D$11 Weights Stock C
$E$11 Weights Stock D
Original Value Final Value Integer
0.15552366579 0.1555236658 Contin
-0.0477952147 -0.0477952147 Contin
0.26704409184 0.2670440918 Contin
0.62522746707 0.6252274671 Contin

Constraints
Cell Name Cell Value Formula Status Slack
$F$11 Weights 1.00000001 $F$11=1 Binding 0
Microsoft Excel 15.0 Answer Report
Worksheet: [Efficient Frontier (Autosaved).xlsx]Efficient Frontier
Report Created: 04-08-2017 10:48:55
Result: Solver found a solution. All Constraints and optimality conditions are satisfied.
Solver Engine
Engine: GRG Nonlinear
Solution Time: 0.047 Seconds.
Iterations: 5 Subproblems: 0
Solver Options
Max Time Unlimited, Iterations Unlimited, Precision 0.000001
Convergence 0.0001, Population Size 100, Random Seed 0, Derivatives Central
Max Subproblems Unlimited, Max Integer Sols Unlimited, Integer Tolerance 1%

Objective Cell (Min)

Cell Name Original Value Final Value
$B$14 Portfolio Std Dev Stock A 5.87% 15.39%

Variable Cells
Cell Name
$B$11 Weights Stock A
$C$11 Weights Stock B
$D$11 Weights Stock C
$E$11 Weights Stock D
Original Value Final Value Integer
0.15552366579 0.4874700199 Contin
-0.0477952147 0.7666262726 Contin
0.26704409184 -0.1609253521 Contin
0.62522746707 -0.0931709303 Contin

Constraints
Cell Name Cell Value Formula Status Slack
$B$12 Portfolio R Stock A 11.02% $B$12=0.1102 Binding 0
$F$11 Weights 1.00000001 $F$11=1 Binding 0
Return Data
Stock A Stock B Stock C Stock D
2010 11.10% 17.38% 23.42% 1.48%
2011 -11.29% -2.29% -7.31% 9.73%
2012 21.72% 15.53% 8.26% -1.08%
2013 16.38% 32.33% 14.28% 18.46%
2014 12.36% -7.85% 9.47% 13.29%
Exp. Ret. 10.05% 11.02% 9.62% 8.38%
Std.Dev. 12.63% 16.19% 11.19% 8.13%

Weights 0.48747 0.766626 -0.160925 -0.093171 1

Portfolio R 11.02%
Portfolio Var 2.37%
Portfolio Std Dev 15.39%

Port 1 (Min Variance Portfolio)

Weights 0.1555237 -0.047795 0.267044 0.625227
Portfolio R 8.84%
Portfolio Var 0.34%
Portfolio Std Dev 5.87%

Data for Port 1 and Port 2

Port 1 Port 2
Portfolio R 8.84% 11.02%
Portfolio Var 0.34% 2.37%
Portfolio Std Dev 5.87% 15.39%
Covariance (Port1, Port 2) 0.0034445

Combin Portfolio
Weights (on Port 1 & Port 2 respectively) 0.1 0.9
Portfolio R 10.80%
Portfolio Var 1.99%
Portfolio Std Dev 14.09%

Efficient Frontier
12

10

0
0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
6

0
0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45 0.5
 Variance-Covariance Matrix
Stock A Stock B Stock C Stock D
Stock A 0.015952298 0.010866 0.009726 -0.001783
Stock B 0.0108661925 0.026203 0.010228 0.000441
Stock C 0.0097264055 0.010228 0.012516 -0.001474
Stock D -0.0017825905 0.000441 -0.001474 0.006616

Port 2 (Target Return Portfolio)

Weights 0.487470019875519 0.766626 -0.160925 -0.093171
Portfolio R 11.02%
Portfolio Var 2.37%
Portfolio Std Dev 15.39%

Data Table for Combin Port Return and Std Dev by Varying Weight on Port 1

Return Combin Port Std Dev Combin Port

Weight on Port 1 10.80% 14.09%
-2 Err:504 0.430971929174042
-1.9 Err:504 0.416877113224136
-1.8 Err:504 0.402791938161805
-1.7 Err:504 0.388717452001013
-1.6 Err:504 0.374654859378787
-1.5 Err:504 0.360605551740511
-1.4 Err:504 0.346571144730746
-1.3 Err:504 0.332553524861553
-1.2 Err:504 0.318554908233523
-1.1 Err:504 0.304577915065185
-1 Err:504 0.290625665169482
-0.9 Err:504 0.276701901491323

0.45 0.5
 -0.8 Err:504 0.262811151678512
-0.7 Err:504 0.248958941852305
-0.6 Err:504 0.235152082988466
0.45 0.5 -0.5 Err:504 0.221399059761715
-0.4 Err:504 0.207710566213879
-0.3 Err:504 0.194100255266114
-0.2 Err:504 0.180585805078396
-0.1 Err:504 0.167190463308217
0 Err:504 0.153945325263815
0.1 Err:504 0.140892758663847
0.2 Err:504 0.128091646258442
0.3 Err:504 0.115625535079619
0.4 Err:504 0.103615409122681
0.5 Err:504 0.092239556464862
0.6 Err:504 0.081763149829065
0.7 Err:504 0.072576743431126
0.8 Err:504 0.065227669191276
0.9 Err:504 0.060390463594407
1 Err:504 0.058689534690009
1.1 Err:504 0.060390471061865
1.2 Err:504 0.065227683018637
1.3 Err:504 0.072576762071942
1.4 Err:504 0.081763171890996
1.5 Err:504 0.092239580910082
1.6 Err:504 0.103615435236359
1.7 Err:504 0.115625562381052
1.8 Err:504 0.128091674423479
1.9 Err:504 0.140892787470645
2 Err:504 0.153945354557543