A B C A B C

E(r) 4.0% 5.0% 7.0% A 12% -7% 0%

B -7% 15% 10%
rf 2% 0% C 0% 10% 25%

E(r) P1 P2 P3 P4 P5 P6
A 4.0% wA 66.67% 33.33% 33.33% 66.67% 100.00% 33.33%
B 5.0% wB 33.33% 66.67% 33.33% 0.00% 0.00% 0.00%
C 7.0% wC 0.00% 0.00% 33.33% 33.33% 0.00% 66.67%
E(r) 4.3% 4.7% 5.3% 5.0% 4.0% 6.0%
s 19.7% 22.1% 25.4% 28.5% 34.6% 35.3%
Sharpe 0.118 0.121 0.131 0.105 0.058 0.113

9.0%
8.0%
7.0%
6.0%
Expected Return

5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
0.0% 10.0% 20.0% 30.0% 40.0% 5
Standard Deviation
 r
A, B -0.522
A, C 0.000
B, C 0.516

P7 P8 P9 P10
0.00% 0.00% 0.00% 0.00%
66.67% 100.00% 33.33% 0.00%
33.33% 0.00% 66.67% 100.00%
E(r_p )=r_f+[(E(r_s )−r_f)/
5.7% 5.0% 6.3% 7.0%
37.3% 38.7% 41.5% 50.0%
U=E(r)−1/2 Aσ^
0.098 0.077 0.104 0.100

CAL 0.02431
risk (SD) E( r ) U
0.000% 2.00% 0.02000
0.500% 2.07% 0.02063
1.000% 2.13% 0.02121
1.500% 2.20% 0.02174
2.000% 2.26% 0.02223
2.500% 2.33% 0.02266
3.000% 2.39% 0.02304
3.500% 2.46% 0.02337
4.000% 2.53% 0.02365
4.500% 2.59% 0.02388
5.000% 2.66% 0.02407
5.500% 2.72% 0.02420
6.000% 2.79% 0.02428
6.500% 2.85% 0.02431
30.0% 40.0% 50.0% 60.0% 7.000% 2.92% 0.02429
7.500% 2.98% 0.02422
d Deviation 8.000% 3.05% 0.02410
8.500% 3.12% 0.02394
9.000% 3.18% 0.02372
9.500% 3.25% 0.02345
10.000% 3.31% 0.02313
10.500% 3.38% 0.02276
11.000%
11.500%
3.44%
3.51%
0.02234
0.02188 ω_s^
12.000% 3.58% 0.02136
12.500% 3.64% 0.02079
13.000% 3.71% 0.02017
13.500% 3.77% 0.01950
14.000% 3.84% 0.01878
14.500% 3.90% 0.01801
15.000% 3.97% 0.01720
15.500% 4.04% 0.01633
16.000% 4.10% 0.01541
16.500% 4.17% 0.01444
17.000% 4.23% 0.01342
17.500% 4.30% 0.01235
18.000% 4.36% 0.01124
18.500% 4.43% 0.01007
19.000% 4.49% 0.00885
19.500% 4.56% 0.00758
20.000% 4.63% 0.00626
20.500% 4.69% 0.00489
21.000% 4.76% 0.00347
21.500% 4.82% 0.00201
22.000% 4.89% 0.00049
22.500% 4.95% (0.00108)
23.000% 5.02% (0.00270)
23.500% 5.09% (0.00437)
24.000% 5.15% (0.00609)
24.500% 5.22% (0.00785)
25.000% 5.28% (0.00967)
25.500% 5.35% (0.01154)
26.000% 5.41% (0.01346)
26.500% 5.48% (0.01543)
27.000% 5.55% (0.01745)
27.500% 5.61% (0.01952)
28.000% 5.68% (0.02163)
28.500% 5.74% (0.02380)
29.000% 5.81% (0.02602)
29.500% 5.87% (0.02829)
30.000% 5.94% (0.03061)
30.500% 6.00% (0.03298)
31.000% 6.07% (0.03540)
31.500% 6.14% (0.03786)
32.000% 6.20% (0.04038)
32.500% 6.27% (0.04295)
33.000% 6.33% (0.04557)
33.500% 6.40% (0.04824)
34.000% 6.46% (0.05096)
34.500% 6.53% (0.05372)
35.000% 6.60% (0.05654)
35.500% 6.66% (0.05941)
36.000% 6.73% (0.06233)
36.500% 6.79% (0.06530)
37.000% 6.86% (0.06832)
37.500% 6.92% (0.07139)
38.000% 6.99% (0.07450)
38.500% 7.06% (0.07767)
39.000% 7.12% (0.08089)
39.500% 7.19% (0.08416)
40.000% 7.25% (0.08748)
40.500% 7.32% (0.09085)
41.000% 7.38% (0.09426)
41.500% 7.45% (0.09773)
42.000% 7.51% (0.10125)
42.500% 7.58% (0.10482)
43.000% 7.65% (0.10844)
43.500% 7.71% (0.11211)
44.000% 7.78% (0.11583)
44.500% 7.84% (0.11959)
45.000% 7.91% (0.12341)
45.500% 7.97% (0.12728)
46.000% 8.04% (0.13120)
46.500% 8.11% (0.13517)
47.000% 8.17% (0.13919)
47.500% 8.24% (0.14325)
48.000% 8.30% (0.14737)
48.500% 8.37% (0.15154)
49.000% 8.43% (0.15576)
49.500% 8.50% (0.16003)
50.000% 8.57% (0.16435)
=r_f+[(E(r_s )−r_f)/σ_s ] σ_p

U=E(r)−1/2 Aσ^2

A=2

25.59% 74.41%

ω_s^∗=(E(r_s )−r_f)/(Aσ_s^2 )

12.931% 87.069%