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  • ER σ ρ Asset A Asset B

    Transféré par

    Abdul Sattar
    4 vues8 pages
    The document contains information about two assets - Asset A and Asset B - including their expected returns (ER), standard deviations (σ), and correlation (ρ). It also shows different portfolio allocations of these two assets, listing the proportion invested in Asset A and Asset B, the expected portfolio return (Erp), and the portfolio standard deviation (σp) for each allocation. The allocations range from fully invested in Asset A to fully invested in Asset B, with various blended portfolio options in between.

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    Titre original

    Portfolio

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    © Attribution Non-Commercial (BY-NC)

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    XLS, PDF, TXT ou lisez en ligne sur Scribd

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    The document contains information about two assets - Asset A and Asset B - including their expected returns (ER), standard deviations (σ), and correlation (ρ). It also shows different portfolio allocations of these two assets, listing the proportion invested in Asset A and Asset B, the expected portfolio return (Erp), and the portfolio standard deviation (σp) for each allocation. The allocations range from fully invested in Asset A to fully invested in Asset B, with various blended portfolio options in between.

    Droits d'auteur :

    Attribution Non-Commercial (BY-NC)
    Téléchargez comme XLS, PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    4 vues8 pages

    ER σ ρ Asset A Asset B

    Transféré par

    Abdul Sattar
    The document contains information about two assets - Asset A and Asset B - including their expected returns (ER), standard deviations (σ), and correlation (ρ). It also shows different portfolio allocations of these two assets, listing the proportion invested in Asset A and Asset B, the expected portfolio return (Erp), and the portfolio standard deviation (σp) for each allocation. The allocations range from fully invested in Asset A to fully invested in Asset B, with various blended portfolio options in between.

    Droits d'auteur :

    Attribution Non-Commercial (BY-NC)
    Téléchargez comme XLS, PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    sur 8

    ER σ ρ

    Asset A 12% 25% 1 0.25


    Asset B 20% 40%

    0.2

    0.15

    portfolio Proportion of A Proportion of B Erp σp 0.1


    1 1 0 12.00% 0.25
    2 0.6 0.4 15.20% 0.31
    0.05
    3 0.5 0.5 16.00% 0.325
    4 0.25 0.75 18.00% 0.3625
    5 0 1 20.00% 0.4 0
    0.24 0.26 0.28 0.3 0.32 0.3
    Colum
    nD

    0.26 0.28 0.3 0.32 0.34 0.36 0.38 0.4 0.42


    ER σ ρ
    Asset A 12% 25% -1 25.00%
    Asset B 20% 40%

    20.00%

    15.00%

    portfolio Proportio Proportio Erp σp 10.00%


    1 1 0 12.00% 0.25
    2 0.6 0.4 15.20% 0.01
    5.00%
    3 0.5 0.5 16.00% 0.075
    4 0.25 0.75 18.00% 0.2375
    5 0 1 20.00% 0.4 0.00%
    0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0
    Colum
    nD

    0.2 0.25 0.3 0.35 0.4 0.45


    ER σ ρ
    Asset A 12% 25% 0 25.00%
    Asset B 20% 40%
    20.00%

    15.00%

    10.00%
    portfolio Proportio Proportio Erp σp
    1 1 0 12.00% 0.25
    2 0.6 0.4 15.20% 0.219317 5.00%
    3 0.5 0.5 16.00% 0.23585
    4 0.25 0.75 18.00% 0.306441 0.00%
    5 0 1 20.00% 0.4 0.2 0.25 0.3 0.35 0.4

    25.00%

    20.00%

    15.00% Colum
    nD
    Colum
    10.00% nD

    5.00%

    0.00%
    0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 0.45
    Colum
    nD

    3 0.35 0.4 0.45


    ER σ ρ
    Asset A 15% 20% 0
    Asset B 40% 50%
    45.00%
    40.00%
    35.00%
    30.00%

    portfolio Proportio Proportio Erp σp 25.00%


    1 1 0 15.00% 0.2 20.00%
    2 0.8 0.2 20.00% 0.18868 15.00%
    3 0.7 0.3 22.50% 0.205183
    10.00%
    4 0.65 0.35 23.75% 0.218002
    5 0.5 0.5 27.50% 0.269258 5.00%
    6 0.4 0.6 30.00% 0.310483 0.00%
    7 0.3 0.7 32.50% 0.355106 0.15 0.2 0.25 0.3 0.35 0.4 0.45
    8 0 1 40.00% 0.5
    Colum
    nD

    0.3 0.35 0.4 0.45 0.5 0.55

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