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    This document contains information about constructing an optimal portfolio using the Markowitz model, including the variance-covariance matrix of various asset classes and the optimal allocations and expected returns and variance for a portfolio constructed from those assets. The portfolio allocates 54.81% to bonds, 27.58% to emerging markets, and 17.61% to large cap, with an expected return of 0.19% and variance of 0.000117.

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    This document contains information about constructing an optimal portfolio using the Markowitz model, including the variance-covariance matrix of various asset classes and the optimal allocations and expected returns and variance for a portfolio constructed from those assets. The portfolio allocates 54.81% to bonds, 27.58% to emerging markets, and 17.61% to large cap, with an expected return of 0.19% and variance of 0.000117.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
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    19 views1 page

    PLE Assignment Chapter 14

    Uploaded by

    indaswarihafidzni
    This document contains information about constructing an optimal portfolio using the Markowitz model, including the variance-covariance matrix of various asset classes and the optimal allocations and expected returns and variance for a portfolio constructed from those assets. The portfolio allocates 54.81% to bonds, 27.58% to emerging markets, and 17.61% to large cap, with an expected return of 0.19% and variance of 0.000117.

    Copyright:

    © All Rights Reserved
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    of 1

    a)

    Markowitz Portfolio Model


    Data
    Variance-Covariance Matrix
    Bond S&P 500 Small cap Mid cap Large cap Emerging market Commodity
    Bond 0.002%
    S&P 500 -0.001% 0.020%
    Small cap -0.001% 0.027% 0.047%
    Mid cap -0.001% 0.024% 0.039% 0.033%
    Large cap -0.001% 0.019% 0.027% 0.023% 0.027%
    Emerging market 0.000% 0.032% 0.050% 0.043% 0.041% 0.085%
    Commodity 0.000% 0.000% 0.005% 0.005% 0.009% 0.015% 0.054%
    Average Weekly Return 0.044% 0.118% 0.256% 0.226% 0.242% 0.447% 0.053%

    Model

    Allocation Variance and Return Calculations


    Bond 54.81%
    S&P 500 0.00%
    Small cap 0.00% Squared Terms Cross-Products Weighted Expected
    Mid cap 0.00%
    Large cap 17.61% 0.00000600911 - 0.00024118079
    Emerging market 27.58% - - -
    Commodity 0.00% - - -
    Total 1.0000 - (0.00000193056) -
    0.00000837315 - 0.00042616522
    0.00006463775 - 0.00123265398
    - - -
    Variance of Portfolio 0.000117 -
    Return 0.19% -
    -
    -
    -
    -
    -
    -
    -
    -
    -
    0.00003991794
    -
    -

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