Scribd Logo
Upload

Welcome to Scribd!

  • Asset portfolio optimization

    Uploaded by

    khprash
    10 views6 pages
    The document presents return, covariance, and volatility data for 3 assets over multiple periods. It also provides information on portfolio weights, expected returns, and volatility for portfolios consisting of combinations of the 3 assets. The goal appears to be calculating efficient portfolios to maximize return for a given level of risk.

    Original Description:

    Original Title

    Assignment2 (1)

    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
    The document presents return, covariance, and volatility data for 3 assets over multiple periods. It also provides information on portfolio weights, expected returns, and volatility for portfolios consisting of combinations of the 3 assets. The goal appears to be calculating efficient portfolios to maximize return for a given level of risk.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    10 views6 pages

    Asset portfolio optimization

    Uploaded by

    khprash
    The document presents return, covariance, and volatility data for 3 assets over multiple periods. It also provides information on portfolio weights, expected returns, and volatility for portfolios consisting of combinations of the 3 assets. The goal appears to be calculating efficient portfolios to maximize return for a given level of risk.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 6

    Asset 1 Asset 2 Asset 3

    Mean return 6.00 2.00 4.00

    Covariance matrix
    Asset 1 Asset 2 Asset 3
    Asset 1 0.00800 -0.00200 0.00400
    Asset 2 -0.00200 0.00200 -0.00200
    Asset 3 0.00400 -0.00200 0.00800

    Asset 1 Asset 2 Asset 3


    Volatility 8.94 4.47 8.94

    Interest rate 1

    Excess return 5.00 1.00 3.00

    Porfolio x1 x2 x3
    = 1.00

    Rate of return (%) 0.0000

    Volatility (%) #VALUE! <= 85.94


    Asset 1 Asset 2 Asset 3 Estimated Mean
    2.1675 -1.8883 3.0712 Asset 1 Asset 2
    3.3875 -0.5608 1.2428 -0.5186 4.7057
    -2.5194 1.5773 -3.184
    -1.3959 1.4225 3.0923 Estimated Covariance matrix
    -2.7264 1.0408 -0.0131 Asset 1 Asset 2
    0.7832 1.2914 -2.0597 Asset 1 0.0056 -0.0020
    3.9749 -0.2969 2.0496 Asset 2 -0.0020 0.0022
    -3.3869 0.6602 -0.585 Asset 3 0.0037 -0.0022
    -0.1714 0.2207 0.6504
    0.5439 0.3632 1.0962 Asset 1 Asset 2
    1.0913 0.103 2.7193 Volatility 7.48 4.69
    -1.0361 -0.5964 -0.8361
    -0.871 2.2177 -4.2316 Interest rate 1
    1.0377 0.2439 1.624
    -2.7236 2.7658 -3.2315 Excess return -1.52 3.71
    2.7485 -1.4885 7.4063
    -0.8348 -1.3056 0.3338 Porfolio x1 x2
    -1.2728 2.2504 -4.3389
    -0.5232 1.8409 1.5357
    0.1174 0.9127 -1.2732 Rate of return (%) 0.0000
    1.1843 1.6094 -0.208
    0.6003 -0.1249 -0.6808 Volatility (%) #VALUE! <=
    -0.5785 -0.2565 1.451
    -1.8834 0.5511 -1.5372
    1.0666 -0.555 -1.0502
    3.7147 0.2948 3.36
    -0.3213 0.8969 -0.3788
    1.3712 -0.6688 -0.1197
    -0.7987 -0.0603 -0.1823
    0.949 -0.0582 -0.1217
    -2.5322 3.4582 -4.8028
    0.4613 1.0112 -0.5589
    -1.6205 0.7624 -0.5277
    4.7482 -2.1118 3.0093
    1.6551 0.6686 1.0955
    -5.1563 1.286 -2.0927
    -1.0738 0.5736 0.7881
    -1.2798 -0.3968 -1.4555
    -0.7793 -0.6159 2.2117
    -0.3613 -2.5366 2.9634
    0.1896 0.889 -3.5207
    -2.6047 1.2735 -4.4262
    -3.1645 1.264 -4.5345
    -0.6066 1.6454 0.1385
    0.8595 0.1415 -3.6547
    3.642 -0.3455 2.8741
    0.6684 1.9907 -0.0495
    1.5556 -1.1351 0.9447
    1.4717 -1.3031 1.3656
    -2.6414 0.9842 1.7807
    -1.6742 2.6791 -1.7593
    1.5918 -0.6697 0.9009
    -1.4625 -2.1408 -2.0389
    0.0491 0.656 0.1216
    -0.2674 0.0338 4.0254
    1.0214 1.0945 2.3588
    1.0679 0.9726 0.7781
    -5.4239 3.2911 -4.9794
    0.4125 0.2005 0.2146
    4.9665 -2.4944 -0.2641

    -0.51864 4.70574 -0.69862


    Asset 3
    -0.6986

    Asset 3
    0.0037
    -0.0022
    0.0074

    Asset 3
    8.60

    -1.70

    x3 x0
    0.00 = 1.00

    5.00
    Asset 1 Asset 2 Asset 3 Equally weighted loss
    2.1675 -1.8883 3.0712 -1.1168
    3.3875 -0.5608 1.2428 -1.3565
    -2.5194 1.5773 -3.184 1.3754
    -1.3959 1.4225 3.0923 -1.0396
    -2.7264 1.0408 -0.0131 0.5662
    0.7832 1.2914 -2.0597 -0.0050
    3.9749 -0.2969 2.0496 -1.9092
    -3.3869 0.6602 -0.585 1.1039
    -0.1714 0.2207 0.6504 -0.2332
    0.5439 0.3632 1.0962 -0.6678
    1.0913 0.103 2.7193 -1.3045
    -1.0361 -0.5964 -0.8361 0.8229
    -0.871 2.2177 -4.2316 0.9616
    1.0377 0.2439 1.624 -0.9685
    -2.7236 2.7658 -3.2315 1.0631
    2.7485 -1.4885 7.4063 -2.8888
    -0.8348 -1.3056 0.3338 0.6022
    -1.2728 2.2504 -4.3389 1.1204
    -0.5232 1.8409 1.5357 -0.9511
    0.1174 0.9127 -1.2732 0.0810
    1.1843 1.6094 -0.208 -0.8619
    0.6003 -0.1249 -0.6808 0.0685
    -0.5785 -0.2565 1.451 -0.2053
    -1.8834 0.5511 -1.5372 0.9565
    1.0666 -0.555 -1.0502 0.1795
    3.7147 0.2948 3.36 -2.4565
    -0.3213 0.8969 -0.3788 -0.0656
    1.3712 -0.6688 -0.1197 -0.1942
    -0.7987 -0.0603 -0.1823 0.3471
    0.949 -0.0582 -0.1217 -0.2564
    -2.5322 3.4582 -4.8028 1.2923
    0.4613 1.0112 -0.5589 -0.3045
    -1.6205 0.7624 -0.5277 0.4619
    4.7482 -2.1118 3.0093 -1.8819
    1.6551 0.6686 1.0955 -1.1397
    -5.1563 1.286 -2.0927 1.9877
    -1.0738 0.5736 0.7881 -0.0960
    -1.2798 -0.3968 -1.4555 1.0440
    -0.7793 -0.6159 2.2117 -0.2722
    -0.3613 -2.5366 2.9634 -0.0218
    0.1896 0.889 -3.5207 0.8140
    -2.6047 1.2735 -4.4262 1.9191
    -3.1645 1.264 -4.5345 2.1450
    -0.6066 1.6454 0.1385 -0.3924
    0.8595 0.1415 -3.6547 0.8846
    3.642 -0.3455 2.8741 -2.0569
    0.6684 1.9907 -0.0495 -0.8699
    1.5556 -1.1351 0.9447 -0.4551
    1.4717 -1.3031 1.3656 -0.5114
    -2.6414 0.9842 1.7807 -0.0412
    -1.6742 2.6791 -1.7593 0.2515
    1.5918 -0.6697 0.9009 -0.6077
    -1.4625 -2.1408 -2.0389 1.8807
    0.0491 0.656 0.1216 -0.2756
    -0.2674 0.0338 4.0254 -1.2639
    1.0214 1.0945 2.3588 -1.4916
    1.0679 0.9726 0.7781 -0.9395
    -5.4239 3.2911 -4.9794 2.3707
    0.4125 0.2005 0.2146 -0.2759
    4.9665 -2.4944 -0.2641 -0.7360

    You might also like