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Year Asset 1 Asset 2 Asset 3 Asset 4 2014 2015 2016 2017 2018 Asset 1 Asset 2 Asset 3 Asset 4 Expected Returns
Year Asset 1 Asset 2 Asset 3 Asset 4 2014 2015 2016 2017 2018 Asset 1 Asset 2 Asset 3 Asset 4 Expected Returns
Year Asset 1 Asset 2 Asset 3 Asset 4 2014 2015 2016 2017 2018 Asset 1 Asset 2 Asset 3 Asset 4 Expected Returns
Return to
risk ratio
(Sharpe) 0.55 1.06 0.17 0.76
Initial
weights 25% 25% 25% 25%
𝑼𝒏𝒆𝒙𝒑𝒆𝒄𝒕𝒆𝒅 𝒓𝒆𝒕𝒖𝒓𝒏𝒔=𝒙−𝒙 ̅
Asset 1 Asset 2 Asset 3 Asset 4
2012 5.6% 0.6% 10.0% 8.4%
2013 2.6% 2.6% -5.0% 1.4%
2014 0.6% 3.6% -6.0% -5.6%
2015 -7.4% -1.4% 3.0% -1.6%
2016 -1.4% -5.4% -2.0% -2.6%
Err:502
Err:502
Err:502
Err:502
Asset 1 Asset2 Asset3 Asset4
2014 15% 11% 18% 19%
2015 12% 13% 3% 12%
2016 10% 14% 2% 5%
2017 2% 9% 11% 9%
2018 8% 5% 6% 8%
Expected returns 9.40% 10.40% 8.00% 10.60%
1 ( Ri R f ) 1 ( Ri R f )
wi opt
Sum( 1 ( Ri R f ))
Optimal weights
Asset 1
Asset 2
Asset 3
Asset 4
Inputs in column format