US Bonds

3.15

Intl Bonds
1.75

US Large Growth
-6.39

US Bonds
Intl Bonds
US Large Growth
US Large Value
US Small Growth
US Small Value
Intl Dev. Equity
Intl Emerg. Equity

US Bonds
0.0010
0.0013
-0.0006
-0.0007
0.0001
0.0001
-0.0004
-0.0004

Intl Bonds
0.0013
0.0073
-0.0013
-0.0006
-0.0022
-0.0010
0.0014
-0.0015

US Large Growth
-0.0006
-0.0013
0.0599
0.0276
0.0635
0.0230
0.0330
0.0480

Volatility

US Bonds
3.17

Intl Bonds
8.53

US Large Growth
24.46

Mean return
Covariance matrix

Porfolio

Rate of return (%)

Volatility (%)

x1
5.68

x2
-0.52

x3
2.55

67.36
100.00

<=

100.00

US Large Value US Small Growth US Small Value

-2.86
-6.75
-0.54

Intl Dev. Equity

-6.75

US Large Value US Small Growth US Small Value

-0.0007
0.0001
0.0001
-0.0006
-0.0022
-0.0010
0.0276
0.0635
0.0230
0.0296
0.0266
0.0215
0.0266
0.1025
0.0427
0.0215
0.0427
0.0321
0.0207
0.0399
0.0199
0.0299
0.0660
0.0322

Intl Dev. Equity

-0.0004
0.0014
0.0330
0.0207
0.0399
0.0199
0.0284
0.0351

US Large Value US Small Growth US Small Value

17.21
32.01
17.90

Intl Dev. Equity

16.84

x4
-1.75

x5
-1.64

x6
4.30

x7
-8.65

Intl Emerg. Equity

-5.26

Intl Emerg. Equity

-0.0004
-0.0015
0.0480
0.0299
0.0660
0.0322
0.0351
0.0800

Intl Emerg. Equity

28.28
x8
1.04

1.00

1.00

volatility return
100 67.35864

Volatility Random Return Volatility

34.43
11.50
34.43
37.25
12.70
37.25
37.60
11.33
37.60
38.32
-6.57
38.32
44.73
4.05
44.73
45.77
-3.99
45.77
48.03
5.99
48.03
50.28
-15.98
50.28
52.87
-10.81
52.87
54.34
0.27
54.34
55.78
-6.16
55.78
60.76
-3.83
60.76
61.49
9.24
61.49
63.05
-17.02
63.05
66.21
2.32
66.21
69.49
-20.02
69.49
77.41
4.27
77.41
85.94
-8.73
85.94
123.80
-22.29
123.80
129.58
-30.94
129.58
136.26
23.97
136.26

Optimal Return
24.86
26.70
26.92
27.39
31.55
32.22
33.69
35.15
36.83
37.78
38.71
41.94
42.41
43.43
45.47
47.60
52.73
58.25
82.77
86.51
90.84

Efficient Frontier
100.00
80.00
60.00
40.00

Return (%)
20.00
0.00
20.00 40.00 60.00 80.00 100.00 120.00 140.00 160.00
-20.00
-40.00

Volatility (%)

nt Frontier

0 100.00 120.00 140.00 160.00

ity (%)

Random Return
Optimal Return

Mean return
US Bonds
3.15

Intl Bonds
1.75

US Large Growth
-6.39

US Bonds
Intl Bonds
US Large Growth
US Large Value
US Small Growth
US Small Value
Intl Dev. Equity
Intl Emerg. Equity

US Bonds
0.0010
0.0013
-0.0006
-0.0007
0.0001
0.0001
-0.0004
-0.0004

Intl Bonds
0.0013
0.0073
-0.0013
-0.0006
-0.0022
-0.0010
0.0014
-0.0015

US Large Growth
-0.0006
-0.0013
0.0599
0.0276
0.0635
0.0230
0.0330
0.0480

Volatility

US Bonds
3.17

Intl Bonds
8.53

US Large Growth
24.46

Covariance matrix

Porfolio

x1
0.09

Interest rate (%)

x2
-0.01
1.5

risk aversion (tau)

Net rate of return (%)

1.79

Volatility (%)

0.38

Risk-adjusted return

1.64

Sharpe Portfolio Calculations

Positions
Sum-of-positions
Sharpe Optimal Portfolio
Optimal Sharpe ratio

x3
0.01

0.09
0.07
1.25
0.76

-0.01
-0.11

0.01
0.12

US Large Value US Small Growth US Small Value

-2.86
-6.75
-0.54

Intl Dev. Equity

-6.75

US Large Value US Small Growth US Small Value

-0.0007
0.0001
0.0001
-0.0006
-0.0022
-0.0010
0.0276
0.0635
0.0230
0.0296
0.0266
0.0215
0.0266
0.1025
0.0427
0.0215
0.0427
0.0321
0.0207
0.0399
0.0199
0.0299
0.0660
0.0322

Intl Dev. Equity

-0.0004
0.0014
0.0330
0.0207
0.0399
0.0199
0.0284
0.0351

US Large Value US Small Growth US Small Value

17.21
32.01
17.90

Intl Dev. Equity

16.84

x4
0.00

x5
-0.01

0.00
-0.05

x6
0.01

-0.01
-0.10

x7
-0.02

0.01
0.20

-0.02
-0.34

Intl Emerg. Equity

-5.26

Intl Emerg. Equity

-0.0004
-0.0015
0.0480
0.0299
0.0660
0.0322
0.0351
0.0800
Intl Emerg. Equity
28.28
x8
0.00

x0
0.93

0.00
0.04

1.00

1.00

Mean return
US Bonds
3.15

Intl Bonds
1.75

US Large Growth
-6.39

US Bonds
Intl Bonds
US Large Growth
US Large Value
US Small Growth
US Small Value
Intl Dev. Equity
Intl Emerg. Equity

US Bonds
0.0010
0.0013
-0.0006
-0.0007
0.0001
0.0001
-0.0004
-0.0004

Intl Bonds
0.0013
0.0073
-0.0013
-0.0006
-0.0022
-0.0010
0.0014
-0.0015

US Large Growth
-0.0006
-0.0013
0.0599
0.0276
0.0635
0.0230
0.0330
0.0480

Volatility

US Bonds
3.17

Intl Bonds
8.53

US Large Growth
24.46

Covariance matrix

Interest rate (%)

Excess returns
Sharpe Portfolio Calculations
Positions
Sum-of-positions
Sharpe Optimal Portfolio
Mean excess return
Volatility
Optimal Sharpe ratio
Security market line
beta
implied return
error

1.5
1.65

0.25

-7.89

1700.78
1364.93
1.25
4.23
5.56
0.76

-156.10

166.86

-0.11

0.12

0.39
1.65
0.00

0.06
0.25
0.00

-1.87
-7.89
0.00

US Large Value US Small Growth US Small Value

-2.86
-6.75
-0.54

Intl Dev. Equity

-6.75

US Large Value US Small Growth US Small Value

-0.0007
0.0001
0.0001
-0.0006
-0.0022
-0.0010
0.0276
0.0635
0.0230
0.0296
0.0266
0.0215
0.0266
0.1025
0.0427
0.0215
0.0427
0.0321
0.0207
0.0399
0.0199
0.0299
0.0660
0.0322

Intl Dev. Equity

-0.0004
0.0014
0.0330
0.0207
0.0399
0.0199
0.0284
0.0351

US Large Value US Small Growth US Small Value

17.21
32.01
17.90

Intl Dev. Equity

16.84

-4.36

-8.25

-2.04

-8.25

-72.58

-140.39

266.49

-458.03

-0.05

-0.10

0.20

-0.34

-1.03
-4.36
0.00

-1.95
-8.25
0.00

-0.48
-2.04
0.00

-1.95
-8.25
0.00

Intl Emerg. Equity

-5.26

Intl Emerg. Equity

-0.0004
-0.0015
0.0480
0.0299
0.0660
0.0322
0.0351
0.0800
Intl Emerg. Equity
28.28

-6.76

57.90
0.04

-1.60
-6.76
0.00

mu_hat

inv(V)*mu_hat
s*