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    Excel 2

    Uploaded by

    Vignesh Balachandar
    The document describes two assets with different expected returns and standard deviations. It plots the efficient frontier for the two assets with correlations of 0, -0.7, and -0.6. The efficient frontier shows the minimum risk portfolios for different expected returns. It also shows the dominant capital allocation line that is tangent to the efficient frontier where the risk-free rate is 5%.

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    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd

    Excel 2

    Uploaded by

    Vignesh Balachandar
    55 views8 pages
    The document describes two assets with different expected returns and standard deviations. It plots the efficient frontier for the two assets with correlations of 0, -0.7, and -0.6. The efficient frontier shows the minimum risk portfolios for different expected returns. It also shows the dominant capital allocation line that is tangent to the efficient frontier where the risk-free rate is 5%.

    Original Description:

    Effecient Frontier-Portfolio Analysis

    Original Title

    Excel-2

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    © © All Rights Reserved

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    The document describes two assets with different expected returns and standard deviations. It plots the efficient frontier for the two assets with correlations of 0, -0.7, and -0.6. The efficient frontier shows the minimum risk portfolios for different expected returns. It also shows the dominant capital allocation line that is tangent to the efficient frontier where the risk-free rate is 5%.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    55 views8 pages

    Excel 2

    Uploaded by

    Vignesh Balachandar
    The document describes two assets with different expected returns and standard deviations. It plots the efficient frontier for the two assets with correlations of 0, -0.7, and -0.6. The efficient frontier shows the minimum risk portfolios for different expected returns. It also shows the dominant capital allocation line that is tangent to the efficient frontier where the risk-free rate is 5%.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    of 8

    You are considering two assets with the following characteristics:

    E(R1) = 0.12
    E(R2) = 0.16
    σ1 = 0.15
    σ2 = 0.2
    Plot the efficient frontier if the correlation coefficient had been 0.00, or if it had been –0.
    tangent to the efficient frontier if the risk-free rate equals 5%.
    Assets ER σ Weight
    1 12% 0.12 50%
    2 16% 0.16 50%
    Scenarios 1 2
    Correlation - Correlation - 0.70

    Portfolio St. dev ER portfolio


    1 10.00% 14.00%
    2 5.73% 14.00%

    Efficient Frontier (Correlation = 0,4)


    W1 W2 St. Dev ER
    0% 100% 16.00% 16.00%
    10% 90% 14.45% 15.60%
    20% 80% 13.02% 15.20%
    30% 70% 11.76% 14.80%
    40% 60% 10.73% 14.40%
    50% 50% 10.00% 14.00%
    60% 40% 9.63% 13.60%
    70% 30% 9.67% 13.20%
    80% 20% 10.12% 12.80%
    90% 10% 10.92% 12.40%
    100% 0% 12.00% 12.00%

    Efficient Frontier (Correlation = 0,0)


    17.00%
    16.00%
    15.00%
    14.00%
    13.00%
    12.00%
    11.00%
    10.00%
    9.00%
    8.00%
    7.00%
    14.00%
    13.00%
    12.00%
    11.00%
    10.00%
    9.00%
    8.00%
    7.00%
    0, or if it had been –0.70. Draw the dominant capital allocation line

    Efficient Frontier for (Correlation = -0,6)


    W1 W2 St. Dev ER
    0% 100% 16.00% 16.00%
    10% 90% 13.59% 15.60%
    20% 80% 11.25% 15.20%
    30% 70% 9.05% 14.80%
    40% 60% 7.12% 14.40%
    50% 50% 5.73% 14.00%
    60% 40% 5.32% 13.60%
    70% 30% 6.10% 13.20%
    80% 20% 7.71% 12.80%
    90% 10% 9.75% 12.40%
    100% 0% 12.00% 12.00%

    Efficient Frontier (Correlation =


    19.00%

    17.00%

    15.00%
    17.00%

    15.00%

    13.00%

    11.00%

    9.00%

    7.00%
    0.00% 2.00% 4.00% 6.00% 8.00% 10.
    Rf
    w1 w2 Std dev ER
    1 0 0 0.05
    0.9 0.1 0.00572713 0.059
    0.8 0.2 0.01145426 0.068
    0.7 0.3 0.01718139 0.077
    0.6 0.4 0.02290851 0.086
    0.5 0.5 0.02863564 0.095
    0.4 0.6 0.03436277 0.104
    0.3 0.7 0.0400899 0.113
    0.2 0.8 0.04581703 0.122
    0.1 0.9 0.05154416 0.131
    0 1 0.05727128 0.14
    -0.1 1.1 0.06299841 0.149
    -0.2 1.2 0.06872554 0.158
    -0.3 1.3 0.07445267 0.167
    Correlation = -0,7)
    8.00% 10.00% 12.00% 14.00% 16.00% 18.00%
    18.00%

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