Co-

efficient
Expected Standard
of
Return Deviation Correlatio
n

Security A 15% 16% 0.2

Security B 18% 20%

Portfolio Proportion of A

1 1
2 0.99
3 0.98
4 0.97
5 0.96
6 0.95
7 0.94
8 0.93
9 0.92
10 0.91
11 0.9
12 0.89
13 0.88
14 0.87
15 0.86
16 0.85
17 0.84
18 0.83
19 0.82
20 0.81
21 0.8
22 0.79
23 0.78
24 0.77
25 0.76
26 0.75
27 0.74
28 0.73
29 0.72
30 0.71
31 0.7
32 0.69
33 0.68
34 0.67
35 0.66
36 0.65
Minimum Variance Portfolio 37 0.64
38 0.63
39 0.62
40 0.61
41 0.6
42 0.59
43 0.58
44 0.57
45 0.56
46 0.55
47 0.54
48 0.53
49 0.52
50 0.51
51 0.5
52 0.49
53 0.48
54 0.47
55 0.46
56 0.45
57 0.44
58 0.43
59 0.42
60 0.41
61 0.4
62 0.39
63 0.38
64 0.37
65 0.36
66 0.35
67 0.34
68 0.33
69 0.32
70 0.31
71 0.3
72 0.29
73 0.28
74 0.27
75 0.26
76 0.25
77 0.24
78 0.23
79 0.22
80 0.21
 81 0.2
82 0.19
83 0.18
84 0.17
85 0.16
86 0.15
87 0.14
88 0.13
89 0.12
90 0.11
91 0.1
92 0.09
93 0.08
94 0.07
95 0.06
96 0.05
97 0.04
98 0.03
99 0.02
100 0.01
101 0
 18.500%

18.000%

Proportion of B Standard Deviation Expected return

17.500%

0 16.000% 15.000%
0.01 15.881% 15.030% 17.000%

0.02 15.765% 15.060%

0.03 15.651% 15.090% 16.500%

0.04 15.540% 15.120%

0.05 15.431% 15.150% 16.000%
0.06 15.325% 15.180%
0.07 15.222% 15.210% 15.500%
0.08 15.121% 15.240%
0.09 15.024% 15.270% 15.000%
0.1 14.929% 15.300%
0.11 14.837% 15.330% 14.500%
0.12 14.749% 15.360%
0.13 14.663% 15.390% 14.000%
0.14 14.580% 15.420%
0.15 14.501% 15.450% 13.500%
13.000% 14.0
0.16 14.425% 15.480%
0.17 14.352% 15.510%
0.18 14.282% 15.540%
0.19 14.216% 15.570%
0.2 14.153% 15.600%
0.21 14.094% 15.630%
0.22 14.038% 15.660%
0.23 13.986% 15.690%
0.24 13.937% 15.720%
0.25 13.892% 15.750%
0.26 13.851% 15.780%
0.27 13.813% 15.810%
0.28 13.780% 15.840%
0.29 13.749% 15.870%
0.3 13.723% 15.900%
0.31 13.700% 15.930%
0.32 13.682% 15.960%
0.33 13.667% 15.990%
0.34 13.656% 16.020%
0.35 13.648% 16.050%
0.36 13.645% 16.080%
0.37 13.646% 16.110%
0.38 13.650% 16.140%
0.39 13.658% 16.170%
0.4 13.670% 16.200%
0.41 13.686% 16.230%
0.42 13.706% 16.260%
0.43 13.730% 16.290%
0.44 13.757% 16.320%
0.45 13.788% 16.350%
0.46 13.823% 16.380%
0.47 13.862% 16.410%
0.48 13.904% 16.440%
0.49 13.950% 16.470%
0.5 14.000% 16.500%
0.51 14.053% 16.530%
0.52 14.110% 16.560%
0.53 14.170% 16.590%
0.54 14.234% 16.620%
0.55 14.301% 16.650%
0.56 14.372% 16.680%
0.57 14.445% 16.710%
0.58 14.522% 16.740%
0.59 14.603% 16.770%
0.6 14.686% 16.800%
0.61 14.773% 16.830%
0.62 14.862% 16.860%
0.63 14.955% 16.890%
0.64 15.050% 16.920%
0.65 15.149% 16.950%
0.66 15.250% 16.980%
0.67 15.354% 17.010%
0.68 15.461% 17.040%
0.69 15.570% 17.070%
0.7 15.682% 17.100%
0.71 15.796% 17.130%
0.72 15.913% 17.160%
0.73 16.033% 17.190%
0.74 16.155% 17.220%
0.75 16.279% 17.250%
0.76 16.405% 17.280%
0.77 16.534% 17.310%
0.78 16.665% 17.340%
0.79 16.798% 17.370%
 0.8 16.933% 17.400%
0.81 17.070% 17.430%
0.82 17.209% 17.460%
0.83 17.350% 17.490%
0.84 17.493% 17.520%
0.85 17.637% 17.550%
0.86 17.784% 17.580%
0.87 17.932% 17.610%
0.88 18.082% 17.640%
0.89 18.234% 17.670%
0.9 18.387% 17.700%
0.91 18.542% 17.730%
0.92 18.698% 17.760%
0.93 18.856% 17.790%
0.94 19.015% 17.820%
0.95 19.176% 17.850%
0.96 19.338% 17.880%
0.97 19.502% 17.910%
0.98 19.666% 17.940%
0.99 19.833% 17.970%
1 20.000% 18.000%
 Expected return
18.500%

18.000%

17.500%

17.000%

16.500%

16.000%

15.500%

15.000%

14.500%

14.000%

13.500%
13.000% 14.000% 15.000% 16.000% 17.000% 18.000% 19.000% 20.000% 21.000%