Data

Return:
1.275
1.27 Efficient Fr
1.265 Stocks:
1.26 ATT GM USS

Variance
1.255 Returns: 2.5
1.25 1.3 1.2 1.08
1.245 Upper Bounds:
1.24 0.75 0.75 0.75
1.235 Cov Matrix:
2
1.23 3 1 -0.5
1.225 1 2 -0.4
1.22 -0.5 -0.4 1 1.5
1.215
1.21
1.205
1.2 1
1.195
1.19
1.185 0.5
1.18
1.175
1.17
1.165 0
1.16 1.1 1.121.141.161.18 1
1.155
1.15
Re
1.145
1.14
1.135
1.13
1.125
1.12
1.115

Callbacks: 1952

Page 1
 Data

Efficient Frontier

21.141.161.18 1.2 1.221.241.261.28 1.3

Return

Page 2
 Model

SET ECHOIN 1
SET ERRDLG 0
SET TERSEO 1
MODEL:
! GENPRT: Generic Markowitz portfolio;
SETS:
ASSET/1..3/: RATE, UB, X;
COVMAT( ASSET, ASSET): V;
ENDSETS

DATA:
! Expected growth rate of each asset;
RATE = @OLE( 'GENPRT.XLS', 'RATE_OF_RETURN');
! Upper bound on investment in each;
UB = @OLE( 'GENPRT.XLS', 'UPPER_BOUND');
! Covariance matrix;
V = @OLE( 'GENPRT.XLS', 'COV_MTX');
! Desired growth rate of portfolio;
GROWTH = @OLE( 'GENPRT.XLS', 'GROWTH');
ENDDATA

! The model;
! Min the variance;
[VAR] MIN = @SUM( COVMAT( I, J):
V( I, J) * X( I) * X( J));
! Must be fully invested;
[FULL] @SUM( ASSET: X) = 1;
! Upper bounds on each;
@FOR( ASSET: @BND( 0, X, UB));
! Desired value or return after 1 period;
[RET] @SUM( ASSET: RATE * X) >= GROWTH;
DATA:
! Write out objective to sheet;
@OLE( 'GENPRT.XLS', 'VAR_TMP') = VAR;
@OLE( 'GENPRT.XLS', 'STATUS') = @STATUS();
ENDDATA
END
SET DEFAULT
GO
QUIT

Page 3
VAR_TMP= 0.417375 RETURN_OUT: VAR_OUT:
STATUS= 0 1.275 2.1874999011
GROWTH= 1.115 1.27 2.0503467923
1.265 1.9231781442
1.26 1.8012061504
1.255 1.6843844411
1.25 1.572713952
1.245 1.4661940434
1.24 1.364824367
1.235 1.2686064051
1.23 1.1775388896
1.225 1.091622065
1.22 1.0108559632
1.215 0.9352405006
1.21 0.864776259
1.205 0.7994625324
1.2 0.739299565
1.195 0.6842874177
1.19 0.6344258628
1.185 0.5897152714
1.18 0.5501554879
1.175 0.5157465591
1.17 0.4864881726
1.165 0.4623808129
1.16 0.4434241086
1.155 0.4296181736
1.15 0.4209630298
1.145 0.4174586578
1.14 0.4173748745
1.135 0.4173748782
1.13 0.417374877
1.125 0.4173748775
1.12 0.417374878
1.115 0.4173748784