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  • Ret(E) Std(D) Corr Regression

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    Nguyễn Thảo
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    The document contains statistical data about the returns, standard deviations, and correlation of two assets/indexes (E and D). It shows how the expected return of a portfolio (Ret(P)) varies with the weights allocated to each asset, for different correlation levels between the assets. It also includes graphs that plot Ret(P) and portfolio returns for different correlation levels against the weights.

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    Ch07_graph

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    The document contains statistical data about the returns, standard deviations, and correlation of two assets/indexes (E and D). It shows how the expected return of a portfolio (Ret(P)) varies with the weights allocated to each asset, for different correlation levels between the assets. It also includes graphs that plot Ret(P) and portfolio returns for different correlation levels against the weights.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    7 views8 pages

    Ret(E) Std(D) Corr Regression

    Uploaded by

    Nguyễn Thảo
    The document contains statistical data about the returns, standard deviations, and correlation of two assets/indexes (E and D). It shows how the expected return of a portfolio (Ret(P)) varies with the weights allocated to each asset, for different correlation levels between the assets. It also includes graphs that plot Ret(P) and portfolio returns for different correlation levels against the weights.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 8

    Ret(E) 13.

    00
    Ret(D) 8.00
    Std(E) 20.00
    Std(D) 12.00
    Cov 72.00
    Corr 0.30

    -1 0 0.3 1
    W(D) W(E) Ret(P) corr_1 corr0 corr03 corr1 r
    -0.50 1.50 15.50 36.00 30.59 28.77 24.00 15.50
    -0.40 1.40 15.00 32.80 28.41 26.95 23.20 15.00
    -0.30 1.30 14.50 29.60 26.25 25.16 22.40 14.50
    -0.20 1.20 14.00 26.40 24.12 23.39 21.60 14.00
    -0.10 1.10 13.50 23.20 22.03 21.67 20.80 13.50
    0.00 1.00 13.00 20.00 20.00 20.00 20.00 13.00
    0.10 0.90 12.50 16.80 18.04 18.40 19.20 12.50
    0.20 0.80 12.00 13.60 16.18 16.88 18.40 12.00
    0.30 0.70 11.50 10.40 14.46 15.47 17.60 11.50
    0.40 0.60 11.00 7.20 12.92 14.20 16.80 11.00
    0.50 0.50 10.50 4.00 11.66 13.11 16.00 10.50
    0.60 0.40 10.00 0.80 10.76 12.26 15.20 10.00
    0.70 0.30 9.50 2.40 10.32 11.70 14.40 9.50
    0.80 0.20 9.00 5.60 10.40 11.45 13.60 9.00
    0.90 0.10 8.50 8.80 10.98 11.56 12.80 8.50
    1.00 0.00 8.00 12.00 12.00 12.00 12.00 8.00
    1.10 -0.10 7.50 15.20 13.35 12.74 11.20 7.50
    1.20 -0.20 7.00 18.40 14.95 13.74 10.40 7.00
    1.30 -0.30 6.50 21.60 16.71 14.94 9.60 6.50
    1.40 -0.40 6.00 24.80 18.61 16.30 8.80 6.00
    1.50 -0.50 5.50 28.00 20.59 17.78 8.00 5.50

    40.00

    35.00

    30.00

    25.00

    20.00
    30.00

    25.00

    20.00

    15.00

    10.00

    5.00

    -
    4.00 6.00 8
    FIGURE 7.3
    18.00
    16.00
    14.00
    12.00
    10.00 Ret(P)

    8.00
    6.00
    4.00
    2.00
    -
    -1.00 -0.50 0.00 0.50 1.00 1.50 2.00

    40.00

    35.00

    30.00

    25.00
    corr_1
    20.00 corr0
    corr03
    15.00 corr1

    10.00

    5.00

    -
    -1.00 -0.50 0.00 0.50 1.00 1.50 2.00

    40.00

    35.00

    30.00

    25.00

    corr_1
    20.00 corr0
    corr03
    corr1
    30.00

    25.00

    corr_1
    20.00 corr0
    corr03
    corr1
    15.00

    10.00

    5.00

    -
    4.00 6.00 8.00 10.00 12.00 14.00 16.00 18.00
    FIGURE 7.3
    18.00

    16.00

    14.00

    12.00

    10.00
    Ret(P)

    8.00

    6.00

    4.00

    2.00

    -
    -1.00 -0.50 0.00 0.50 1.00 1.50 2.00
    40.00

    35.00

    30.00

    25.00

    corr_1
    20.00 corr0
    corr03
    corr1

    15.00

    10.00

    5.00

    -
    -1.00 -0.50 0.00 0.50 1.00 1.50 2.00
    40.00

    35.00

    30.00

    25.00

    corr_1
    20.00 corr0
    corr03
    corr1

    15.00

    10.00

    5.00

    -
    4.00 6.00 8.00 10.00 12.00 14.00 16.00 18.00
    Ret(E) 13.00 RF 1.50%
    Ret(D) 8.00
    Std(E) 20.00
    Std(D) 12.00
    Cov 72.00
    Corr 0.30

    0
    W(D) W(E) Ret(P) corr0 Slope
    -0.50 1.50 15.50 30.59 0.46
    -0.40 1.40 15.00 28.41 0.48
    -0.30 1.30 14.50 26.25 0.50
    -0.20 1.20 14.00 24.12 0.52
    -0.10 1.10 13.50 22.03 0.54
    0.00 1.00 13.00 20.00 0.58
    0.10 0.90 12.50 18.04 0.61
    0.20 0.80 12.00 16.18 0.65
    0.30 0.70 11.50 14.46 0.69
    0.40 0.60 11.00 12.92 0.74
    0.50 0.50 10.50 11.66 0.77
    0.60 0.40 10.00 10.76 0.79
    0.70 0.30 9.50 10.32 0.77
    0.80 0.20 9.00 10.40 0.72
    0.90 0.10 8.50 10.98 0.64
    1.00 0.00 8.00 12.00 0.54
    1.10 -0.10 7.50 13.35 0.45
    1.20 -0.20 7.00 14.95 0.37
    1.30 -0.30 6.50 16.71 0.30
    1.40 -0.40 6.00 18.61 0.24
    1.50 -0.50 5.50 20.59 0.19

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