Calculating the Envelop Portfolio

Variance covariance matrix Expected Returns

0.23 0.35 0.45 0.85 0.32
0.14 0.89 0.27 0.46 0.15
0.26 0.82 0.31 0.67 0.36
0.61 0.37 0.76 0.69 0.19

Envelope
Portfolio
with Envelop
constant 0.09 Portfolio X
0.917752 2.6936788
-0.067434 -0.197924
-1.189224 -3.49047
0.6796111 1.9947154

Sum 0.3407058 Sum 1

Envelope
Portfolio
with Envelop
constant 0.07 Portfolio Y

0.8998441 2.4269082
-0.054922 -0.148126
-1.163203 -3.137196
0.6890586 1.8584131
Sum 0.370778 Sum 1

Envelope
Portfolio Envelop
with Portfolio
constant 0.03 W
0.025115 1.7586403
 -0.000334 -0.02338
-0.032164 -2.252232
0.0216637 1.5169718
Sum 0.0142809 Sum 1

Propotion of X and Y that Determine W

Proportion of X -2.505029
Proportion of Y 3.5050294

Checking
1.7586403
-0.02338
-2.252232
1.5169718