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  • Assignment 1

    Transféré par

    Viacheslav Baykov
    59 vues2 pages
    This document contains information about 3 assets including their mean returns, covariance matrix, volatilities, and excess returns. It also provides the optimal portfolio allocation across the 3 assets that maximizes return for a given level of risk. The optimal portfolio has a position of 17% in Asset 1, 67% in Asset 2, and 17% in Asset 3. This portfolio has an expected return of 3% and volatility of 2.58%.

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    Assignment1.xlsx

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    This document contains information about 3 assets including their mean returns, covariance matrix, volatilities, and excess returns. It also provides the optimal portfolio allocation across the 3 assets that maximizes return for a given level of risk. The optimal portfolio has a position of 17% in Asset 1, 67% in Asset 2, and 17% in Asset 3. This portfolio has an expected return of 3% and volatility of 2.58%.

    Droits d'auteur :

    © All Rights Reserved
    Téléchargez comme XLSX, PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    59 vues2 pages

    Assignment 1

    Transféré par

    Viacheslav Baykov
    This document contains information about 3 assets including their mean returns, covariance matrix, volatilities, and excess returns. It also provides the optimal portfolio allocation across the 3 assets that maximizes return for a given level of risk. The optimal portfolio has a position of 17% in Asset 1, 67% in Asset 2, and 17% in Asset 3. This portfolio has an expected return of 3% and volatility of 2.58%.

    Droits d'auteur :

    © All Rights Reserved
    Téléchargez comme XLSX, PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    sur 2

    Asset 1

    6.00

    Asset 2
    2.00

    Asset 3
    4.00

    Asset 1
    Asset 2
    Asset 3

    Asset 1
    0.00800
    -0.00200
    0.00400

    Asset 2
    -0.00200
    0.00200
    -0.00200

    Asset 3
    0.00400
    -0.00200
    0.00800

    Volatility

    Asset 1
    8.94

    Asset 2
    4.47

    Asset 3
    8.94

    Mean return
    Covariance matrix

    Interest rate

    Excess return

    5.00

    1.00

    3.00

    Porfolio

    x1
    0.17

    x2
    0.67

    x3
    0.17

    Rate of return (%)

    3.00

    Volatility (%)

    2.58

    Sharpe portfolio
    Positions
    Sum positions
    Optimal positions
    Mean return
    Mean (excess?) return
    Volatility
    Sharpe Ratio

    875
    3000
    0.29
    3.416666667
    2.416666667
    2.838231061
    0.851469318
    5.257346591

    <=

    1.00

    85.94

    1750

    375

    0.58

    0.13

    1.00

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