426073022.

xlsx

PORTFOLIO OPTIMIZER

OPTIMAL TANGENCY
Risk Aversion 8 PORTFOLIO PORTFOLIO
Target Return 0.1 (set risk aversion=0 to activate Riskless Err:502
Riskless Rate 0.02 XOM Err:502 Err:502
GE Err:502 Err:502
EXPECTED STANDARD PFE Err:502 Err:502
RETURN DEVIATION WMT Err:502 Err:502
XOM MSFT Err:502 Err:502
GE
PFE Expected Return Err:502 Err:502
WMT Standard Deviation Err:502 Err:502
MSFT

XOM GE PFE WMT MSFT

XOM 1.0000 0.0000 0.0000 0.0000 0.0000
GE 1.0000 0.0000 0.0000 0.0000
CORRELATIONS PFE 1.0000 0.0000 0.0000
WMT 1.0000 0.0000
MSFT 1.0000
EXPECTED RETURN

0.03

0.02
Frontier without Riskless
Asset 1

0.02 Asset 2
Asset 3
Asset 4
Asset 5
0.01 Frontier with Riskless
Tangency Portfolio
Your Portfolio

0.01

0.00
-0.10 0.00 0.10 0.20 0.30 0.40 0.50 0.60 0.70
STANDARD DEVIATION

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