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Free Sample Hgof Portfolio Optimization
Free Sample Hgof Portfolio Optimization
Inputs
Expected Standard
Return/Mon Deviation
E(r i )
si
Riskfree Rate (rf)
0.40%
0.00%
2.00%
3
Exp Ret
- Riskless
E i =E(r i )-r f
0.00%
Risky Asset 1
1.50%
10.00%
1.10%
Risky Asset 2
0.80%
5.00%
0.40%
Correlation (r)
Risk Aversion
Display
on the
Graph
1.50%
1.00%
0.50%
40.0%
2.2
4
15
8
0.00%
0.00%
5.00%
10.00%
15.00%
100
50
14
22
Outputs
Proportion
in Risky
(x-axis)
Asset 1 or Standard
Opt Risky Deviation
-500.0%
-150.0%
-80.0%
-70.0%
Optimal
Complete
Portfolio
Expected
Ret / Mon
s w2s 12 1 w s 22 2 w 1 w s 1s 2
2
-60.0%
-50.0%
-40.0%
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
90.0%
100.0%
110.0%
120.0%
250.0%
750.0%
0.0%
1000.0%
E r wE r1 1 w E r2
w1 E1s 22 E2 s 1s 2
/ E1s 22 E2s 12 E1 E2 s 1s 2
Indifference Curve
Indifference Curve
Indifference Curve
Opt Comp Port
Constant Utility Value
PORTFOLIO OPTIMIZATION
Returns
Month
Dec 2006
Nov 2006
Oct 2006
Sep 2006
Aug 2006
Jul 2006
Jun 2006
May 2006
Apr 2006
Mar 2006
Feb 2006
Jan 2006
Dec 2005
Nov 2005
Oct 2005
Sep 2005
Aug 2005
Jul 2005
Jun 2005
May 2005
Apr 2005
Mar 2005
Feb 2005
Jan 2005
Dec 2004
Nov 2004
Oct 2004
Sep 2004
Aug 2004
Jul 2004
Jun 2004
May 2004
Apr 2004
Mar 2004
Feb 2004
Jan 2004
Dec 2003
Nov 2003
Oct 2003
Sep 2003
Aug 2003
Jul 2003
Jun 2003
May 2003
Apr 2003
Mar 2003
Feb 2003
Jan 2003
Dec 2002
Descriptive Statistics
Stock
Stock
Stock
Stock
Stock
Stock
US Portfolio US Portfolio
Barrick Hanson
IBM
Nokia Telefonos
YPF
Small-Growth Small-Neutral
-3.50% -0.24%
2.06%
8.76%
8.63%
0.50%
-0.59%
0.83%
-2.37%
4.88%
5.69%
0.51%
9.01% -0.95%
2.58%
2.66%
1.79%
3.78% -0.12%
1.70%
-1.08%
3.49%
5.87%
5.01%
0.92% -3.49% 12.69%
0.93%
3.14%
7.02%
1.09%
1.11%
-8.23% 14.36%
1.20% -5.68%
6.76% -3.83%
3.22%
2.74%
8.68%
3.72%
5.00%
5.20%
3.02%
2.00%
-5.76%
-2.73%
4.06%
0.88%
0.78% -2.02%
12.51%
9.98%
-0.65%
0.27%
-3.30% -0.32% -3.86% -5.67%
6.23%
0.03%
-7.71%
-4.48%
0.80% -8.40% -2.61% -5.23%
-9.99% -17.69%
-0.80%
0.94%
11.90%
3.92% -0.16%
9.38%
-2.17% -3.07%
4.08%
5.49%
-0.48%
7.12%
2.78% 13.88%
1.21% -2.81%
-0.42%
-0.36%
-13.00%
5.15% -1.05%
1.08%
-5.72%
0.89%
8.59%
9.37%
12.90%
5.55% -1.09%
0.46%
-3.81%
3.63%
-0.18%
-0.17%
4.72%
7.22% -7.54%
7.16%
10.88% -11.58%
4.96%
4.87%
5.80%
1.22%
8.83%
1.55%
11.10% -0.88%
-3.60%
-2.86%
-13.06% -2.72%
2.07% -0.56%
-5.09% -11.61%
0.52%
0.57%
10.78% -0.94% -0.49%
7.22%
11.77%
8.89%
-2.03%
-1.36%
7.01%
5.52% -3.17% -1.11%
-0.33% 12.07%
6.72%
6.86%
-2.11%
5.30% 12.48% -4.14%
1.97%
1.06%
2.55%
4.20%
8.89%
3.30% -1.78% -1.30%
2.18%
8.57%
7.31%
6.21%
3.48%
0.39% -0.82%
5.49%
10.11% -0.65%
-6.42%
-5.65%
-6.82%
0.32% -16.42%
6.55%
-1.86%
3.40%
-3.98%
-2.38%
-3.78% -3.28% -1.29% -4.39% -11.23% -14.72%
0.39%
2.21%
13.88%
4.21% -0.72%
5.63%
5.28% 31.78%
-5.72%
-3.05%
-9.74%
8.86% -5.23% -2.47%
-2.82%
6.38%
4.22%
2.61%
-1.50%
6.76%
4.61% -3.12%
10.45%
2.83%
8.13%
8.62%
9.71%
8.98%
5.20%
4.88%
2.23%
6.99%
3.21%
1.17%
7.02% -0.26%
4.68% 12.37%
6.07%
0.00%
5.52%
4.92%
5.18%
7.96%
1.24% 15.57%
0.61%
5.71%
-2.05%
-0.20%
4.62% -1.00% -2.53%
2.22%
4.84% -2.81%
-9.86%
-5.22%
-3.22%
1.37% -1.22% -20.10%
-7.14%
3.53%
3.41%
4.33%
-4.42% -9.22% -0.50%
5.79%
-0.26%
0.31%
1.02%
1.04%
8.05% -0.35%
0.68% -1.92%
-1.43% -1.54%
-3.60%
-3.37%
-19.13%
1.67% -3.99% -30.90%
-2.22%
6.90%
1.08%
0.57%
16.30% -4.69% -4.83% -5.08%
3.62%
4.45%
0.44%
0.68%
3.82%
9.27% -2.59%
5.41%
-1.30%
1.86%
3.89%
4.32%
-13.27%
1.93%
7.07% 21.52%
4.20%
1.03%
0.79%
2.36%
1.66%
4.11%
2.36% -5.48%
0.68% 10.29%
2.91%
3.87%
15.28%
2.08%
1.37%
5.87%
2.95%
1.67%
8.13%
8.23%
3.41%
7.41%
1.31%
8.92%
5.24% 23.16%
-1.73%
-1.73%
-6.82% -1.78%
7.70% -4.24%
1.73%
8.96%
4.53%
4.99%
18.05% 12.95%
1.14%
6.44%
-1.77% -4.87%
8.37%
6.22%
-4.35%
3.25% -1.52% -6.87%
-1.74%
0.82%
2.40%
2.51%
2.37% -2.30% -6.30% -8.93%
4.63%
7.96%
13.10%
10.68%
17.66%
3.24%
3.90%
8.86%
0.30% 25.69%
11.21%
9.41%
-3.89% 18.50%
8.25% 18.30%
1.70% 14.65%
2.06%
0.63%
-3.50%
4.25%
0.62%
8.02%
3.11% 19.28%
-3.54%
-2.42%
-2.03%
6.93% -0.13% -8.00%
-2.87% 14.21%
-2.28%
-2.40%
6.77% -0.70%
0.90% -7.21%
-6.39% 13.27%
-9.13%
-4.09%
Nov 2002
Oct 2002
Sep 2002
Aug 2002
Jul 2002
Jun 2002
May 2002
Apr 2002
Mar 2002
Feb 2002
Jan 2002
Dec 2001
Nov 2001
Oct 2001
Sep 2001
Aug 2001
Jul 2001
Jun 2001
May 2001
Apr 2001
Mar 2001
Feb 2001
Jan 2001
Dec 2000
Nov 2000
Oct 2000
Sep 2000
Aug 2000
Jul 2000
Jun 2000
May 2000
Apr 2000
Mar 2000
Feb 2000
Jan 2000
Dec 1999
Nov 1999
Oct 1999
Sep 1999
Aug 1999
Jul 1999
Jun 1999
May 1999
Apr 1999
Mar 1999
Feb 1999
Jan 1999
Dec 1998
Nov 1998
Oct 1998
Sep 1998
Aug 1998
Jul 1998
Jun 1998
May 1998
5.80%
-2.65%
-3.11%
-3.20%
4.87%
-19.31%
-12.87%
9.10%
8.13%
2.87%
5.56%
7.22%
5.37%
-2.18%
-10.18%
8.30%
7.57%
-1.69%
-8.19%
1.64%
14.31%
-11.76%
4.71%
-5.56%
9.21%
12.98%
-12.31%
-4.39%
0.07%
-12.28%
0.30%
8.46%
7.12%
-3.79%
-0.40%
-7.42%
-1.75%
-0.66%
-15.78%
12.22%
4.37%
-4.19%
12.33%
-13.24%
17.88%
-3.51%
-7.22%
-2.22%
-2.50%
-5.65%
6.88%
53.92%
-20.64%
-14.94%
0.00%
-11.97%
9.99%
-10.94%
-15.58%
-1.47%
-12.19%
-7.43%
5.21%
-2.57%
14.66%
1.65%
-2.13%
0.33%
-2.12%
-2.32%
-9.69%
9.15%
-3.67%
5.01%
5.40%
20.00%
-11.36%
1.39%
-6.42%
27.73%
2.14%
-5.60%
-5.55%
2.26%
-17.19%
0.70%
-4.28%
5.89%
10.99%
-11.46%
-10.69%
-2.60%
7.14%
-0.17%
-8.64%
-4.57%
1.39%
-2.05%
-6.93%
12.46%
8.31%
24.04%
-16.02%
5.04%
5.15%
13.89%
27.70%
-4.41%
-15.04%
2.53%
-10.84%
10.31%
35.38%
-22.64%
7.31%
-2.22%
-10.51%
-3.76%
-19.47%
5.99%
-8.94%
-10.81%
4.65%
7.09%
17.83%
-8.23%
-4.87%
-7.31%
1.52%
-2.78%
19.70%
-3.72%
-10.70%
31.76%
-9.09%
-4.96%
-12.53%
-14.70%
17.74%
2.46%
2.10%
-3.64%
-5.81%
15.20%
-8.37%
4.06%
4.67%
5.04%
-18.80%
-2.86%
-0.80%
-2.76%
11.42%
11.03%
18.02%
4.41%
-7.24%
-0.61%
11.66%
11.36%
15.56%
14.10%
-14.86%
15.41%
-2.28%
-19.31%
15.60%
25.49%
-0.34%
7.21%
-14.43%
4.35%
-14.64%
-21.61%
0.81%
-11.41%
-4.42%
6.62%
12.16%
31.07%
-0.57%
-27.83%
-1.73%
-24.11%
-14.46%
42.45%
10.21%
-35.94%
-21.04%
1.76%
0.00%
4.57%
-8.66%
1.71%
-12.87%
-2.89%
-7.24%
1.01%
12.24%
7.30%
-3.16%
36.48%
21.15%
28.56%
7.50%
-1.72%
-7.10%
28.52%
-3.95%
-4.76%
15.55%
-5.88%
19.65%
22.93%
5.35%
18.82%
17.24%
-23.44%
19.87%
12.06%
0.07%
5.68%
8.31%
-4.07%
2.53%
-9.94%
-6.92%
-8.07%
-6.32%
6.21%
-0.25%
9.67%
5.27%
-1.63%
5.55%
-10.83%
5.28%
-1.18%
1.70%
-0.28%
9.67%
-1.45%
-1.35%
20.25%
-3.15%
-13.09%
1.47%
-1.97%
4.10%
-8.57%
18.03%
-17.18%
-11.75%
1.64%
23.48%
-5.32%
21.98%
8.29%
19.88%
-3.61%
-1.44%
-6.54%
1.58%
5.57%
14.69%
16.17%
11.77%
5.05%
5.51%
-11.69%
19.84%
24.46%
-28.42%
3.59%
2.20%
8.24%
24.30%
-4.27%
-14.01%
21.49%
-4.42%
-4.52%
-26.09%
-17.48%
5.53%
-2.09%
-11.52%
23.08%
8.78%
-0.34%
-16.65%
-9.18%
-5.23%
-20.64%
3.51%
-2.51%
-4.61%
1.94%
0.19%
-3.05%
1.11%
-3.10%
-11.04%
-3.34%
-4.37%
16.06%
4.03%
-8.81%
-0.16%
1.87%
-4.91%
-4.06%
-0.25%
-0.30%
-0.79%
-2.69%
6.73%
-9.82%
1.31%
32.44%
8.86%
-8.31%
14.08%
-6.11%
3.58%
11.26%
17.55%
-23.59%
-2.74%
-3.36%
13.90%
6.88%
-8.62%
-0.56%
-14.61%
-7.63%
-6.48%
-3.56%
8.99%
-8.16%
-5.15%
6.64%
9.20%
11.16%
-17.19%
-7.64%
-9.43%
6.43%
4.06%
10.10%
-7.34%
-12.22%
12.32%
2.75%
-16.23%
-8.11%
-7.08%
8.45%
-7.23%
17.15%
-7.77%
-14.24%
-13.62%
28.59%
0.65%
17.97%
12.78%
1.13%
0.82%
-2.88%
-1.24%
6.47%
1.34%
10.03%
0.03%
-9.31%
4.63%
6.77%
9.07%
4.85%
8.69%
-24.12%
-7.67%
0.74%
-7.44%
7.45%
4.24%
-7.66%
0.48%
-14.19%
-2.78%
-3.67%
2.73%
7.49%
-1.28%
1.13%
6.80%
7.15%
5.04%
-12.93%
-2.34%
-4.01%
5.18%
4.52%
4.98%
-1.49%
-0.47%
5.22%
9.18%
-4.26%
-1.07%
-0.20%
5.51%
1.50%
9.03%
-5.46%
-5.46%
-3.74%
15.35%
-0.25%
8.43%
6.11%
-0.58%
-0.80%
-3.06%
-0.86%
6.00%
1.57%
9.77%
0.20%
-6.93%
1.26%
3.30%
5.48%
3.58%
5.57%
-18.73%
-7.79%
-0.90%
-4.64%
Apr 1998
Mar 1998
Feb 1998
Jan 1998
Dec 1997
Nov 1997
Oct 1997
Sep 1997
Aug 1997
Jul 1997
Jun 1997
May 1997
Apr 1997
Mar 1997
Feb 1997
Jan 1997
-13.39% -0.61%
3.76%
0.66%
12.00% 19.98%
-0.35% 13.76%
4.00% -3.28%
12.48% -11.51%
-18.69%
1.96%
-16.72%
5.73%
8.52%
2.17%
-0.30% -5.15%
4.33%
1.22%
-13.37% -2.43%
13.54%
5.68%
-5.80%
6.56%
-15.92%
2.28%
5.12% -58.44%
1.59% -2.89%
11.54% 23.89%
-0.53%
8.52%
5.97% 32.68%
-5.62%
9.12%
-4.46% -16.37%
11.39% -5.71%
-7.06% -5.96%
4.55% 21.20%
-3.96% -9.59%
17.19% 16.20%
4.32% 11.58%
7.78%
2.31%
16.94% 10.90%
-4.51% -0.32%
-8.15% -12.57%
-16.15% -10.21%
0.46%
2.62%
11.94%
7.49%
3.03%
4.62%
-12.21% -10.97%
14.11%
1.70%
14.75%
5.77%
-16.44% -13.10%
13.84% 13.04%
-17.26%
1.47%
15.67%
5.11%
9.16%
2.90%
7.44%
8.97%
7.03%
4.24%
-0.93% -0.47%
3.36% -3.76%
0.78%
4.45%
8.29%
-0.32%
-2.16%
-3.05%
-6.09%
8.97%
3.85%
4.93%
3.82%
15.37%
-3.10%
-8.42%
-6.13%
4.23%
1.50%
4.54%
7.07%
-1.52%
1.08%
-0.83%
-3.39%
7.87%
3.23%
5.46%
5.72%
9.76%
0.59%
-3.23%
-0.28%
2.83%
US Portfolio US Portfolio US Portfolio US Portfolio Country Port Country Port Country Port Country Port
Small-Value Big-Growth Big-Neutral Big-Value
Australia
Hong Kong
Italy
Japan
2.08%
0.43%
1.79%
2.79%
3.59%
6.23%
2.72%
2.40%
3.08%
1.42%
2.83%
1.94%
3.38%
6.04%
5.74%
0.45%
5.17%
3.14%
3.08%
4.78%
8.65%
1.10%
4.27%
1.94%
0.87%
2.69%
2.16%
1.86%
-1.53%
0.79%
0.67%
-1.88%
2.38%
3.45%
1.58%
0.81%
2.23%
2.71%
3.98%
1.68%
-1.75%
-1.18%
1.26%
1.41%
1.74%
2.44%
1.03%
-0.83%
0.24%
-0.37%
0.05%
1.67%
0.71%
0.73%
-0.20%
-1.10%
-4.00%
-3.12%
-2.71%
-1.37%
-5.49%
-6.27%
-2.14%
-6.28%
1.51%
-0.31%
2.34%
3.44%
9.33%
5.08%
4.15%
2.75%
4.95%
1.57%
1.66%
0.84%
0.43%
1.19%
3.08%
2.27%
-0.65%
0.33%
0.40%
-1.00%
-2.05%
0.69%
1.52%
-1.02%
7.61%
1.26%
3.87%
4.45%
7.49%
5.80%
6.14%
4.34%
-0.32%
-0.65%
1.02%
0.43%
2.47%
1.20%
4.39%
8.91%
3.54%
4.26%
3.88%
2.21%
2.64%
3.30%
1.86%
3.64%
-2.50%
-0.26%
-2.81%
-2.92%
-5.19%
-6.91%
-6.41%
-0.74%
0.39%
-0.23%
1.82%
2.20%
5.35%
2.39%
1.46%
8.99%
-0.92%
-1.63%
0.06%
0.06%
0.95%
-0.99%
1.82%
7.46%
6.12%
4.61%
2.66%
4.22%
2.42%
6.19%
4.62%
1.02%
4.60%
-0.98%
1.97%
2.63%
5.26%
3.70%
0.79%
0.70%
5.61%
3.92%
2.96%
3.26%
-0.10%
-0.39%
-1.79%
-1.93%
-6.39%
-1.33%
-2.95%
-2.33%
-1.44%
3.73%
-4.89%
-2.15%
-1.84%
-1.23%
-2.81%
-0.06%
-3.87%
-3.42%
-0.62%
-2.24%
3.60%
0.81%
4.35%
3.22%
4.90%
3.72%
2.92%
1.62%
-2.28%
-2.95%
-1.78%
-1.40%
0.74%
-3.62%
-1.70%
-1.67%
3.87%
4.04%
2.58%
3.63%
4.35%
2.13%
8.06%
5.29%
9.82%
3.45%
5.23%
5.59%
8.33%
9.70%
7.85%
4.80%
1.39%
1.76%
0.89%
1.60%
6.13%
-0.65%
5.91%
2.41%
3.82%
0.54%
2.28%
2.95%
5.89%
1.41%
5.95%
-2.80%
-0.82%
-0.18%
0.91%
0.54%
1.20%
6.34%
-0.55%
0.67%
-4.34%
-4.91%
-1.67%
-1.55%
0.43%
1.76%
-2.35%
-6.10%
5.21%
1.20%
2.22%
2.99%
-0.18%
0.31%
2.88%
4.50%
0.72%
1.40%
0.81%
1.23%
0.86%
-0.69%
-0.54%
-2.90%
-6.10%
-0.69%
-3.17%
-1.77%
-4.91%
-5.04%
1.35%
-4.96%
0.36%
-1.84%
-0.54%
-1.08%
0.41%
-6.05%
-2.78%
14.24%
0.66%
1.20%
2.44%
1.82%
4.26%
3.16%
1.64%
0.06%
6.06%
1.57%
2.12%
2.74%
0.49%
9.62%
2.02%
1.69%
3.96%
4.28%
4.93%
6.53%
7.91%
2.26%
5.00%
6.73%
4.47%
0.86%
1.69%
2.08%
-0.38%
-0.19%
8.08%
-3.23%
10.80%
5.11%
7.42%
6.00%
8.60%
4.79%
5.09%
4.16%
0.90%
-0.81%
-1.95%
-1.49%
3.26%
5.94%
4.25%
6.14%
6.10%
1.80%
2.25%
3.77%
3.11%
11.32%
-2.38%
10.47%
6.35%
2.33%
1.72%
0.24%
0.27%
6.50%
-0.03%
4.06%
3.41%
1.20%
1.36%
1.32%
3.48%
1.18%
-2.77%
7.86%
10.40%
4.97%
7.11%
8.05%
4.82%
8.64%
10.57%
4.68%
9.17%
7.59%
8.95%
9.74%
8.47%
-0.96%
13.73%
0.62%
0.89%
1.71%
-0.01%
-0.62%
2.98%
-5.08%
-5.59%
-4.36%
-3.46%
-1.03%
-3.22%
-4.22%
-2.38%
-1.04%
1.98%
1.05%
-1.35%
-2.66%
-2.32%
-5.29%
2.78%
1.35%
-1.44%
-3.65%
-3.45%
-6.27%
-4.52%
-4.28%
-1.59%
-6.45%
-3.18%
-2.40%
7.72%
-0.28%
-6.63%
-0.86%
-14.87%
-2.35%
-2.53%
3.93%
10.03%
-0.45%
2.71%
6.87%
8.96%
4.44%
-14.38%
-1.19%
-1.09%
2.16%
6.30%
5.04%
-1.20%
0.40%
6.38%
8.14%
-2.53%
-1.87%
-0.98%
6.26%
2.22%
7.86%
-3.64%
-4.47%
-1.02%
11.44%
0.24%
5.75%
3.32%
-3.02%
-2.55%
-2.84%
-0.52%
5.97%
4.45%
8.66%
-2.74%
-8.12%
0.45%
2.77%
5.40%
2.84%
2.80%
-17.13%
-6.61%
0.32%
-2.57%
5.07%
9.62%
-10.56%
0.25%
-6.01%
-7.35%
-1.37%
-6.92%
3.63%
-2.60%
-0.87%
0.76%
8.25%
3.30%
-8.29%
-6.94%
-1.68%
-1.90%
0.41%
8.91%
-8.17%
-11.61%
3.73%
-0.27%
-10.91%
-2.19%
-6.19%
7.55%
-2.97%
4.93%
-3.39%
-4.27%
8.70%
1.21%
-4.78%
7.82%
4.14%
7.01%
-1.96%
-0.26%
-3.13%
6.80%
-2.56%
1.78%
4.20%
-4.48%
5.66%
8.81%
7.00%
8.23%
7.78%
-14.32%
-0.50%
5.84%
-2.58%
6.42%
6.51%
-10.32%
0.79%
-9.37%
-6.43%
0.13%
-1.38%
5.18%
0.17%
-1.85%
2.93%
5.89%
0.86%
-9.04%
-3.98%
-1.25%
-2.01%
1.81%
5.47%
-1.76%
-0.37%
1.09%
9.10%
-3.08%
0.66%
1.87%
8.94%
3.67%
-5.87%
0.88%
-1.14%
10.66%
-4.48%
-3.80%
1.97%
-2.50%
5.70%
-5.66%
-2.62%
-3.52%
2.66%
-0.90%
8.80%
3.69%
-0.66%
-0.34%
1.83%
5.74%
7.79%
3.95%
-17.71%
-3.04%
1.57%
-2.36%
8.11%
3.65%
-10.21%
4.80%
-12.97%
-9.59%
-0.27%
-5.99%
4.85%
-2.39%
-1.74%
1.30%
10.00%
-3.99%
-7.73%
-6.70%
1.06%
-1.79%
3.78%
5.03%
-1.85%
3.18%
-1.57%
6.50%
0.37%
1.29%
1.43%
7.06%
4.37%
-5.40%
-0.03%
4.10%
11.98%
-6.97%
-3.94%
1.86%
-1.97%
4.84%
-4.78%
-2.16%
-2.72%
-0.86%
-0.23%
8.19%
1.06%
-2.15%
-1.07%
2.74%
3.89%
4.85%
5.62%
-11.19%
-3.91%
2.43%
1.02%
2.54%
5.29%
-5.65%
2.43%
-6.33%
-5.23%
6.20%
-1.19%
4.08%
0.48%
0.23%
1.21%
6.69%
8.38%
-11.53%
2.15%
-4.98%
2.81%
0.88%
10.77%
-10.95%
-5.55%
3.93%
3.98%
1.97%
-5.12%
-5.75%
-0.12%
-4.31%
12.77%
-3.16%
-3.17%
-1.13%
-2.54%
-4.14%
5.59%
6.57%
-2.18%
0.95%
-5.04%
-0.36%
5.42%
-7.62%
9.82%
5.32%
-2.88%
7.17%
-0.01%
6.67%
8.54%
8.56%
-13.18%
-0.15%
-0.12%
-4.55%
6.00%
3.70%
-7.49%
-4.68%
-3.83%
-5.52%
-3.19%
5.57%
5.50%
-3.33%
-1.50%
5.11%
10.53%
3.75%
-13.47%
-6.05%
-1.97%
-3.24%
-0.85%
1.80%
-10.95%
-1.81%
3.04%
11.39%
-1.94%
-4.63%
-4.13%
5.84%
6.61%
8.67%
-10.03%
-9.23%
4.13%
3.06%
-7.53%
9.70%
11.43%
3.62%
-4.62%
0.49%
-2.78%
10.27%
-7.63%
21.88%
12.74%
0.58%
-8.25%
-2.02%
0.07%
32.18%
17.11%
-7.41%
-7.72%
-6.88%
-14.25%
9.71%
9.26%
-13.83%
1.91%
-9.17%
-1.38%
-2.30%
0.51%
6.92%
0.10%
-3.37%
1.18%
3.76%
4.09%
-15.17%
-1.40%
2.06%
-4.83%
-8.59%
5.38%
-6.96%
-10.80%
2.40%
1.69%
1.32%
1.03%
-5.65%
-0.47%
-3.55%
5.68%
2.84%
-6.44%
-7.22%
17.04%
-5.15%
20.44%
3.71%
-2.80%
1.74%
1.86%
-2.40%
-2.11%
-4.15%
-2.34%
3.64%
-1.55%
-4.36%
7.53%
10.98%
6.27%
-5.08%
-13.97%
9.75%
-5.74%
4.96%
3.97%
-6.59%
-4.94%
-1.37%
-5.93%
-5.35%
7.15%
5.45%
6.32%
4.21%
-7.64%
-8.17%
0.30%
0.54%
-7.28%
-3.08%
-8.50%
-5.70%
-0.38%
8.59%
-3.49%
-5.49%
-0.34%
-8.61%
-2.68%
-6.77%
-4.29%
6.36%
-11.26%
6.73%
-7.09%
-8.02%
7.87%
-2.27%
-5.53%
5.08%
7.63%
6.89%
6.77%
2.38%
10.35%
9.62%
-4.41%
4.93%
14.64%
-2.82%
0.73%
3.55%
4.23%
16.74%
-2.05%
-10.72%
-1.02%
0.69%
-4.81%
2.17%
4.74%
7.18%
-0.72%
2.18%
0.40%
-2.30%
7.82%
3.19%
5.47%
6.49%
7.86%
-0.12%
-1.77%
1.21%
3.17%
1.19%
4.59%
7.22%
2.96%
0.99%
4.80%
-3.46%
5.09%
-5.77%
7.75%
4.16%
7.01%
6.73%
-5.50%
0.00%
6.59%
1.58%
5.17%
7.76%
-2.19%
2.93%
3.41%
-3.11%
5.95%
-3.34%
9.03%
4.64%
5.87%
4.45%
-2.59%
0.40%
5.19%
0.40%
7.63%
6.87%
-0.23%
4.18%
3.26%
-2.70%
5.68%
-2.96%
6.40%
2.72%
5.91%
1.67%
-4.40%
2.10%
3.02%
-1.48%
-0.44%
2.56%
6.49%
2.17%
-2.42%
-12.98%
6.43%
-6.83%
-0.55%
4.08%
2.80%
2.97%
0.08%
3.31%
-3.86%
-10.56%
-2.48%
21.69%
-15.50%
1.55%
-2.33%
-28.60%
5.62%
-13.24%
5.97%
4.46%
12.27%
1.44%
-6.39%
0.08%
-2.46%
-3.26%
21.22%
4.71%
11.16%
7.84%
1.70%
-5.46%
14.95%
-2.27%
5.34%
9.27%
-0.36%
1.45%
2.82%
-10.39%
11.58%
-0.85%
-6.79%
0.57%
9.59%
-6.60%
-6.54%
-8.41%
-1.91%
-8.96%
-3.01%
6.74%
13.05%
2.66%
-2.98%
2.15%
-10.87%
Average
Past
Return
6.31%
4.43%
-12.05%
0.17%
-8.87%
-1.58%
1.21%
1.41%
8.89%
5.59%
-4.22%
5.13%
5.97%
1.49%
-13.85%
-3.06%
0.13%
-3.44%
-2.47%
7.38%
-8.08%
-2.75%
3.80%
6.60%
-3.56%
-2.83%
-2.29%
6.50%
-1.74%
10.10%
3.89%
-7.38%
1.08%
0.67%
-7.59%
11.34%
4.05%
-4.62%
1.16%
2.88%
4.07%
-1.41%
-2.56%
7.46%
10.39%
-9.16%
11.65%
-5.87%
-7.86%
15.17%
-1.99%
-28.23%
1.39%
-3.36%
-8.49%
6.13%
7.50%
-10.00%
0.80%
-8.11%
-7.02%
-1.05%
-4.96%
4.47%
-2.17%
-1.61%
1.78%
7.87%
2.80%
-9.15%
-5.91%
-1.83%
-1.75%
1.06%
8.39%
-7.03%
-9.93%
3.95%
2.03%
-10.25%
-2.46%
-5.11%
7.64%
-1.71%
5.16%
-3.90%
-5.95%
5.35%
3.17%
-3.98%
8.39%
3.69%
6.20%
-2.28%
-1.00%
-3.06%
5.10%
-2.07%
4.90%
3.79%
-3.81%
3.83%
6.31%
6.20%
7.44%
6.38%
-15.77%
-2.33%
3.20%
-2.58%
0.12%
0.14%
0.14%
0.14%
0.15%
0.13%
0.14%
0.15%
0.13%
0.13%
0.14%
0.15%
0.17%
0.22%
0.28%
0.31%
0.30%
0.28%
0.32%
0.39%
0.44%
0.39%
0.54%
0.50%
0.51%
0.56%
0.51%
0.50%
0.48%
0.40%
0.50%
0.46%
0.47%
0.43%
0.41%
0.44%
0.36%
0.39%
0.39%
0.39%
0.38%
0.40%
0.34%
0.37%
0.43%
0.35%
0.35%
0.38%
0.31%
0.32%
0.46%
0.43%
0.40%
0.41%
0.40%
5.37%
8.73%
3.93%
-7.05%
-0.56%
-6.76%
-3.18%
10.59%
0.60%
1.95%
1.76%
5.39%
-5.15%
2.59%
-4.53%
7.86%
1.09%
5.13%
7.32%
0.45%
1.78%
3.05%
-3.45%
5.84%
-3.63%
7.65%
4.41%
7.16%
4.23%
-4.48%
-0.11%
5.34%
0.43%
0.39%
0.39%
0.43%
0.48%
0.39%
0.42%
0.44%
0.41%
0.43%
0.37%
0.49%
0.43%
0.43%
0.39%
0.45%
Standard
Deviation
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
Correlations
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
Stock
Barrick
Stock
Hanson
Stock
IBM
Stock
Nokia
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
Covariances
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
Stock
Barrick
Stock
Hanson
Stock
IBM
Stock
Nokia
Stock
Telefonos
Stock
YPF
Stock
Telefonos
Stock
YPF
Country Port Country Port Country Port Country Port Country Port Country Port
Australia
Hong Kong
Italy
Japan
Norway
US
Country Port Country Port Country Port Country Port Country Port Country Port
Australia
Hong Kong
Italy
Japan
Norway
US
PORTFOLIO OPTIMIZATION
Inputs
Asset Type
Asset Type
Stock
US Port
Forecast Expected Ret.
Country Port
3.00%
Risk Aversion
Static CAPM
Method to
Forecast
Expected
Return
Fama-French 3 Factor
Macro 3 Factor
2.8
Expected
Return/Mon
28
Standard
Deviation
2.50%
2.00%
1.50%
US Riskfree
0.00%
50
0.00%
1.70%
50
0.00%
50
2.11%
50
0.00%
50
1.55%
50
0.00%
50
2.01%
50
0.00%
50
1.77%
50
0.00%
50
1.41%
50
0.00%
50
1.00%
0.50%
0.00%
0.00%
5.00%
120%
Correlations
0
0.0%
0.0%
0.0%
0
0.0%
0
0.0%
0
0.0%
100.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
100.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
100.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
100.0%
0.0%
0.0%
10
10
0.0%
0.0%
0.0%
0.0%
100.0%
10
100%
Portfolio Weights
0
100.0%
80%
60%
40%
20%
0%
US Riskfree
10
10
10
10
10
10
10
10
10
10
10
10
Standard Deviations
0
0
One plus
Exp Ret
[1 + E(ri)]
Variance-Covariance Matrix
0
0
0
0
0
0
0
US Riskfree
0
0
0
0
0
0
Outputs
A
B
C
Delta
Gamma
Risky Asst Capital
Optimal
Optimal
Opp Set Allocation Individual Risky
Indifference Complete
Proportion
Curve
Line
Asset (Tangent)
Curve
Portfolio
in Optimal Standard Expected Expected Expected Portfolio
Expected Expected
Risky Port Deviation Ret / Mon Ret / Mon Ret / Mon Weights
Ret / Mon Ret / Mon
US Riskfree
0
0
0
0
0
0.0%
0.0%
0.0%
0.0%
0.0%
0
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opp Set Curve
Opt Risky Port
Cap Alloc Line
Cap Alloc Line
Indiffer Curve
Indiffer Curve
Indiffer Curve
Indiffer Curve
Indiffer Curve
Indiffer Curve
Indiffer Curve
Indiffer Curve
Indiffer Curve
Indiffer Curve
Indiffer Curve
Indiffer Curve
Indiffer Curve
Indiffer Curve
Indiffer Curve
Indiffer Curve
Indiffer Curve
0.0%
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
0.70%
0.80%
0.90%
1.00%
1.10%
1.20%
1.30%
1.40%
1.50%
1.60%
1.70%
1.80%
1.90%
2.00%
2.10%
2.20%
2.30%
2.40%
2.50%
2.60%
2.70%
2.80%
2.90%
3.00%
0.0%
1000.0%
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
11.0%
Indiffer Curve
Indiffer Curve
Indiffer Curve
Indiffer Curve
Opt Comp Port
Constant Utility Value
12.0%
13.0%
14.0%
15.0%
10.00%
15.00%
Optimal
Risky
0
0 Portfolio
0
Optimal Complete Portfolio
Ones
Optimal
Complete
Portfolio
Weights