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Mean Variance Example
Mean Variance Example
0.01% -0.36%
-0.03% -0.03%
2.44% 2.70%
1.42% 0.24%
-0.03% 0.03%
0.12% 0.02%
1.26% 1.98%
1.55% 0.65%
0.04% 0.00%
0.85% 0.65%
0.76 0.77
stdev stdev stdev
w_GMD w_MBB E[RP] var(RP) stdev(RP)
(corr=-1) (corr=0) (corr=1)
0 1 1.08% 0.3881% 6.23% 6.23% 6.23% 6.23%
0.25 0.75 1.25% 0.3616% 6.01% 2.24% 5.27% 7.11%
0.5 0.5 1.42% 0.4459% 6.68% 1.75% 5.78% 7.98%
0.75 0.25 1.58% 0.6409% 8.01% 5.74% 7.46% 8.85%
1 0 1.75% 0.9467% 9.73% 9.73% 9.73% 9.73%
E[Ri] Stdev
1.40%
1.20%
1.00%
0.80%
0.10% 2.10% 4.10% 6.10% 8.10%
Standard deviation (stdev (Rp))
Expected return (E[Rp])
Mean/SD Trade-Off for Portfolios of GMD
and MBB
1.90%
1.70%
1.50%
0.70%
stdev(RP)
0.50%
stdev (corr=-1) 4.00% 5.00% 6.00% 7.00% 8.00% 9.00% 10.00%
stdev (corr=0)
Standard deviation (stdev (Rp))
stdev (corr=1)
stdev(RP)