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    2 Excel 1 (Markowitz)

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    Inayah Mutma
    This document contains information about a portfolio consisting of two assets (X1 and X2) including: 1) The standard deviations (SD) and correlation (ρ1,2) of the two assets. 2) A table showing the expected return (E(Rp)) of portfolios with varying weights of X1 and X2, along with the SD, variance, and components used to calculate variance for each portfolio. 3) A chart plotting the expected return of portfolios against the correlation between the two assets.

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    2 Excel 1 (Markowitz)

    Uploaded by

    Inayah Mutma
    23 views3 pages
    This document contains information about a portfolio consisting of two assets (X1 and X2) including: 1) The standard deviations (SD) and correlation (ρ1,2) of the two assets. 2) A table showing the expected return (E(Rp)) of portfolios with varying weights of X1 and X2, along with the SD, variance, and components used to calculate variance for each portfolio. 3) A chart plotting the expected return of portfolios against the correlation between the two assets.

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    2 Excel 1 (markowitz).xlsx

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    This document contains information about a portfolio consisting of two assets (X1 and X2) including: 1) The standard deviations (SD) and correlation (ρ1,2) of the two assets. 2) A table showing the expected return (E(Rp)) of portfolios with varying weights of X1 and X2, along with the SD, variance, and components used to calculate variance for each portfolio. 3) A chart plotting the expected return of portfolios against the correlation between the two assets.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    23 views3 pages

    2 Excel 1 (Markowitz)

    Uploaded by

    Inayah Mutma
    This document contains information about a portfolio consisting of two assets (X1 and X2) including: 1) The standard deviations (SD) and correlation (ρ1,2) of the two assets. 2) A table showing the expected return (E(Rp)) of portfolios with varying weights of X1 and X2, along with the SD, variance, and components used to calculate variance for each portfolio. 3) A chart plotting the expected return of portfolios against the correlation between the two assets.

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    of 3

    #1 #2

    SD 0.2 0.4
    ρ1,2 0.1
    E(r) 0.12 0.30

    Portofolio X1 X2 X12 SD12 X22 SD22 2X1X2(ρ1,2 )(SD1)(SD2) Variance SD


    1 0 1 0.0000 0.16 0.00000 0.16000 0.4000
    2 0.1 0.9 0.0004 0.1296 0.00144 0.13144 0.3625
    3 0.2 0.8 0.0016 0.1024 0.00256 0.10656 0.3264
    4 0.3 0.7 0.0036 0.0784 0.00336 0.08536 0.2922
    5 0.4 0.6 0.0064 0.0576 0.00384 0.06784 0.2605
    6 0.5 0.5 0.0100 0.04 0.00400 0.05400 0.2324
    7 0.6 0.4 0.0144 0.0256 0.00384 0.04384 0.2094
    8 0.7 0.3 0.0196 0.0144 0.00336 0.03736 0.1933
    9 0.8 0.2 0.0256 0.0064 0.00256 0.03456 0.1859
    10 0.9 0.1 0.0324 0.0016 0.00144 0.03544 0.1883
    11 1 0 0.0400 0 0.00000 0.04000 0.2000
    E(Rp) ρ1,2
    0.300 0.10000 E(Rp)
    0.282 0.10000 0.350
    0.264 0.10000
    0.246 0.10000 0.300
    0.228 0.10000 0.250
    0.210 0.10000
    0.200 E(Rp)
    0.192 0.10000
    0.174 0.10000 0.150
    0.156 0.10000 0.100
    0.138 0.10000
    0.120 0.10000 0.050

    0.000
    0.1500 0.2000 0.2500 0.3000 0.3500 0.4000 0.4500
    E(Rp)

    SD

    0.4500

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