Free Sample of Portfolio Optimization

Inputs D..
PORTFOLIO OPTIMIZATION
Risky Opportunity Set

Two Risky Assets and a Riskfree Asset
Expected Return / Month

Display + Capital Allocation Line

on the
Graph + Indifference Curve 3
Expected Standard Exp Ret
Return/Mon Deviation - Riskless Risky Opportunity Set, Capital Allocation Line, and Indifference Curve
E(ri) si Ei=E(ri)-rf 0.02
Riskfree Rate (rf) 0.40% 0.00% 0.00%

0.015
Risky Asset 1 1.50% 10.00% 1.10%

0.01
Risky Asset 2 0.80% 5.00% 0.40%
0.005
Correlation (r) 40.0%
Risk Aversion 2.2 0

4 0.0% 2.0% Standard
4.0% Deviation
6.0% (s)
8.0% 10.0% 12.0% 14.0%
15 100
8 50
14
22
Outputs Risky Asset Capital Utility Optimal

Proportion Opp Set Allocation Indifference Complete
in Risky (x-axis) Curve Line Curve Portfolio
Asset 1 or Standard Expected Expected Expected Expected
Opt Risky Deviation Ret / Mon Ret / Mon Ret / Mon Ret / Mon
Opp Set Curve -500.0%
s w2s 12 1 w ) s 22 2w 1 w ) rs 1s 2
2
s w2s 12 1 w ) s 22 2w 1 w ) rs 1s 2
2

Opp Set Curve -20.0% E r ) wE r1 ) 1 w ) E r2 )
Opp Set Curve 0.0%
Opp Set Curve 10.0%
Opp Set Curve 20.0%
Opp Set Curve 30.0%
w1 E1s 22 E2 rs 1s 2 )
Opp Set Curve 40.0%
Opp Set Curve 50.0%
Opp Set Curve 60.0% / E1s 22 E2s 12 E1 E2 ) rs 1s 2 )
Opp Set Curve 70.0%
Opp Set Curve 80.0%
Opp Set Curve 90.0%
Opp Set Curve 100.0%
Opt Risky Port
Cap Alloc Line 0.0%
Cap Alloc Line 1000.0%
Indifference Curve 0.0%
Opt Comp Port
Constant Utility Value

.
PORTFOLIO OPTIMIZATION Descriptive Statistics
Returns Stock Stock Stock Stock Stock

Month Barrick Gold (ABX) IBM (IBM) Korea Electric (KEP) Siemens (SI) Grupo Televisa (TV)
Dec 2012 1.39% 0.78% 13.85% 5.77% 12.29%
Nov 2012 -14.25% -1.86% -4.81% 2.57% 4.73%
Oct 2012 -3.02% -6.23% 3.78% 0.76% -3.87%
Sep 2012 8.41% 6.47% 15.97% 6.23% 2.31%
Aug 2012 17.76% -0.14% -3.08% 11.32% 0.83%
Jul 2012 -12.48% 0.20% -1.16% 0.74% 6.10%
Jun 2012 -3.81% 1.39% 18.94% 1.78% 13.11%
May 2012 -2.89% -6.44% -1.05% -11.06% -12.98%
Apr 2012 -7.01% -0.75% -2.36% -7.90% 4.22%
Mar 2012 -8.90% 6.06% -12.74% 1.13% -1.17%
Feb 2012 -2.80% 2.53% -9.57% 5.75% 8.16%
Jan 2012 8.86% 4.74% 12.30% 2.69% -6.36%
Dec 2011 -14.43% -2.19% -1.08% -5.72% 1.45%
Nov 2011 7.13% 2.23% 0.63% -3.39% -2.67%
Oct 2011 6.11% 5.58% 29.76% 16.91% 15.99%
Sep 2011 -8.08% 1.72% -19.12% -12.99% -16.56%
Aug 2011 6.94% -5.05% -13.00% -18.93% -0.68%
Jul 2011 5.03% 6.00% -8.97% -7.45% -9.80%
Jun 2011 -5.17% 1.55% -3.42% 2.75% 5.19%
May 2011 -6.14% -0.53% 13.55% -8.28% -0.80%
Apr 2011 -1.73% 4.61% -1.14% 6.26% -3.30%
Mar 2011 -1.72% 0.74% 0.33% 2.16% 3.85%
Feb 2011 11.43% 0.33% -4.16% 4.70% -1.83%
Jan 2011 -10.66% 10.38% -5.77% 6.32% -7.21%
Dec 2010 2.96% 3.75% 13.43% 13.16% 11.29%
Nov 2010 7.65% -1.04% -9.84% -3.95% 3.79%
Oct 2010 3.89% 7.05% 2.17% 8.45% 18.66%
Sep 2010 -1.01% 8.94% 5.04% 16.43% 2.33%
Aug 2010 14.06% -3.60% -12.63% -7.04% -2.68%
Jul 2010 -9.49% 3.98% 9.39% 8.78% 9.13%
Jun 2010 7.91% -1.42% -4.45% 0.00% -6.35%
May 2010 -2.92% -2.40% -10.37% -8.31% -10.54%
Apr 2010 13.59% 0.58% -7.39% -2.33% -1.14%
Mar 2010 1.81% 0.86% 0.68% 15.89% 13.87%
Feb 2010 8.16% 4.35% -0.74% -3.20% -5.53%
Jan 2010 -11.58% -6.50% 11.76% -0.38% -5.88%
Dec 2009 -7.75% 3.60% 5.98% -7.02% 3.46%
Nov 2009 19.37% 5.22% -1.15% 9.55% 6.25%
Oct 2009 -5.20% 0.84% -8.92% -3.16% 4.14%
Sep 2009 9.22% 1.32% 23.40% 7.05% 6.35%
Aug 2009 -0.57% 0.57% -7.63% 9.26% -3.37%
Jul 2009 4.02% 12.94% 16.26% 14.87% 6.41%
Jun 2009 -11.90% -1.75% 0.17% -5.79% -4.39%
May 2009 31.55% 3.51% 7.49% 9.73% 19.15%
Apr 2009 -10.24% 6.52% 16.72% 17.48% 13.49%
Mar 2009 7.35% 5.28% 19.92% 12.54% 12.08%
Feb 2009 -19.45% 0.96% -23.24% -9.70% -13.01%
Jan 2009 1.96% 8.90% -14.38% -23.21% -6.36%
Dec 2008 24.81% 3.14% 24.84% 26.88% 0.54%
Nov 2008 30.43% -11.69% -6.06% -0.75% -15.86%
Oct 2008 -38.11% -20.51% -20.10% -35.94% -19.25%
Sep 2008 5.79% -3.92% -17.67% -13.70% -5.65%
Aug 2008 -17.99% -4.49% -5.64% -10.36% 3.07%
Jul 2008 -6.92% 7.97% 9.77% 10.22% -4.78%
Jun 2008 12.93% -8.42% -10.09% -3.22% -9.85%
May 2008 4.84% 7.65% -1.64% -3.93% 7.63%
Apr 2008 -11.12% 4.83% 9.24% 8.73% 1.82%
Mar 2008 -16.36% 1.12% -13.11% -14.66% 10.18%
Feb 2008 0.99% 6.68% -14.01% -1.84% -1.12%
Jan 2008 22.33% -0.92% -3.45% -15.86% -6.39%
Dec 2007 3.80% 2.78% 0.70% 3.68% -1.65%
Nov 2007 -7.86% -9.08% -5.26% 11.29% -2.74%
Oct 2007 9.56% -1.43% -3.89% -0.64% 2.81%
Sep 2007 23.86% 0.95% 2.75% 9.54% -7.25%
Aug 2007 -1.16% 5.82% -5.06% -1.05% 3.21%
Jul 2007 13.18% 5.13% 8.36% -11.48% -8.55%
Jun 2007 -0.21% -1.27% 0.27% 8.38% -4.07%
May 2007 4.16% 4.69% 5.61% 9.12% 5.00%
Apr 2007 -1.54% 8.43% 3.40% 12.85% -5.87%
Mar 2007 -4.42% 1.42% -4.94% 1.48% 9.20%
Feb 2007 0.84% -5.96% -8.00% -4.60% -7.37%
Jan 2007 -3.52% 2.06% 0.70% 14.25% 9.07%
Dec 2006 -2.35% 5.69% 8.18% 3.25% 2.78%
Nov 2006 1.77% -0.12% 8.65% 6.28% 6.48%
Oct 2006 0.91% 12.68% 1.18% 3.11% 16.09%
Sep 2006 -8.24% 1.20% 0.67% 2.41% 11.66%
Aug 2006 8.70% 4.99% 1.46% 5.35% 2.81%
Jul 2006 4.05% 0.77% 0.95% -7.01% -4.09%
Jun 2006 -3.30% -3.85% -6.56% 0.86% 5.00%
May 2006 0.79% -2.60% -11.01% -9.04% -12.53%
Apr 2006 11.89% -0.16% 5.56% 1.58% 6.53%
Mar 2006 -0.48% 2.78% -2.75% 1.29% 1.45%
Feb 2006 -13.00% -1.06% -2.24% 0.41% -6.09%
Jan 2006 12.88% -1.09% 16.57% 8.94% 3.79%
Dec 2005 4.74% -7.54% 19.28% 13.26% 1.39%
Nov 2005 5.82% 8.82% 3.12% 1.55% 8.62%
Oct 2005 -13.08% 2.07% -7.79% -3.76% 1.94%
Sep 2005 10.79% -0.50% 10.34% 1.09% 14.19%
Aug 2005 7.02% -3.16% -8.13% -0.61% -4.81%
Jul 2005 -2.12% 12.48% 11.49% 5.95% 6.25%
Jun 2005 8.87% -1.79% 5.24% -0.78% 3.48%
May 2005 3.49% -0.82% 0.61% -0.41% 11.20%
Apr 2005 -6.84% -16.42% 10.12% -7.01% -4.46%
Mar 2005 -3.78% -1.30% -4.00% 1.31% -8.77%
Feb 2005 13.91% -0.71% 1.38% -1.73% 9.55%
Jan 2005 -9.74% -5.23% 4.31% -4.29% -2.76%
Dec 2004 -1.50% 4.61% 1.93% 6.08% -2.84%
Nov 2004 9.73% 5.20% 17.42% 6.80% 13.22%
Oct 2004 6.99% 4.68% 8.82% 1.41% 4.31%
Sep 2004 5.20% 1.24% 5.08% 6.73% 9.56%
Aug 2004 4.60% -2.53% 8.31% -1.69% 2.40%
Jul 2004 -3.19% -1.23% 1.20% -3.14% 3.82%
Jun 2004 -4.45% -0.50% 2.35% 2.43% 7.12%
May 2004 8.06% 0.68% -4.69% -0.81% 5.51%
Apr 2004 -19.13% -4.00% -9.01% -3.61% -7.92%
Mar 2004 16.28% -4.83% -0.10% -4.82% 7.18%
Feb 2004 3.81% -2.59% 2.89% -4.40% 9.06%
Jan 2004 -13.25% 7.07% -3.37% 3.53% 1.61%
Dec 2003 1.66% 2.36% -5.74% 9.42% -2.42%
Nov 2003 15.31% 1.36% 4.88% 8.54% 5.42%
Oct 2003 3.40% 1.30% 3.14% 13.30% 5.90%
Sep 2003 -6.83% 7.71% 13.98% -4.61% -2.43%
Aug 2003 18.05% 1.13% 1.76% 11.00% 0.00%
Jul 2003 -4.36% -1.52% 1.80% 14.86% 8.70%
Jun 2003 2.40% -6.29% -4.19% 2.67% 13.01%
May 2003 17.66% 3.89% -1.27% -4.65% 1.68%
Apr 2003 -3.92% 8.25% 18.05% 21.29% 20.64%
Mar 2003 -3.47% 0.62% -3.27% 3.55% 4.01%
Feb 2003 -2.01% -0.13% -0.72% -3.10% -5.44%
Jan 2003 6.75% 0.90% -2.24% -0.13% -8.45%
riptive Statistics
Stock US FF Port US FF Port US FF Port US FF Port US FF Port US FF Port Country ETF

YPF (YPF) Small-Growth Small-Neutral Small-Value Big-Growth Big-Neutral Big-Value Australia (EWA)
27.97% 2.55% 3.79% 4.30% -0.15% 1.13% 4.67% 4.27%
3.23% 0.75% 0.82% 1.07% 1.57% 0.00% -0.93% 1.59%
-14.08% -3.86% -1.28% -0.43% -2.87% -1.51% 2.03% 3.32%
3.92% 3.24% 3.60% 3.87% 1.73% 3.29% 4.24% 1.36%
9.64% 3.28% 3.37% 3.57% 2.69% 1.78% 3.58% 1.25%
-7.61% -2.97% -1.08% -1.44% 1.27% 1.24% -0.23% 6.09%
-3.44% 5.88% 4.24% 4.77% 3.03% 4.34% 5.06% 7.45%
-12.28% -6.57% -6.42% -5.79% -5.88% -6.16% -6.46% -12.92%
-48.68% -1.23% -2.06% -0.97% -0.57% -0.66% -1.22% 1.40%
8.31% 2.61% 2.90% 2.83% 3.96% 1.45% 3.60% -1.01%
-25.06% 3.55% 2.39% 2.86% 4.54% 3.88% 5.32% 1.41%
0.92% 7.95% 6.99% 5.98% 6.05% 3.56% 3.74% 9.24%
-0.94% -0.20% 0.71% 1.09% -0.26% 2.06% 1.51% -5.02%
9.17% -1.42% -0.37% -0.07% -0.14% 0.89% -1.84% -2.02%
-1.75% 15.50% 15.81% 12.98% 10.19% 12.44% 10.92% 18.35%
-13.24% -10.99% -11.40% -11.12% -6.42% -7.63% -8.42% -17.58%
-7.38% -9.09% -9.19% -9.66% -4.21% -7.06% -6.76% -3.45%
-5.51% -4.17% -4.13% -3.51% -0.81% -2.95% -3.87% -3.22%
-2.49% -1.63% -2.00% -1.92% -1.48% -1.79% -2.03% -0.88%
8.88% -1.19% -2.29% -3.33% -0.54% -1.48% -2.82% -5.48%
-1.19% 3.43% 2.01% 1.33% 3.83% 2.45% 1.44% 6.20%
-13.77% 3.24% 2.46% 2.31% 0.09% 1.49% -1.43% 1.95%
2.58% 4.96% 5.16% 6.15% 2.57% 4.10% 4.72% 4.99%
-0.04% -0.40% -0.03% 0.45% 1.91% 2.70% 2.78% -2.24%
28.59% 7.32% 8.07% 9.61% 4.94% 7.92% 9.81% 10.83%
1.99% 3.15% 4.31% 3.56% 0.58% 0.37% -0.92% -3.88%
2.18% 4.66% 4.08% 3.74% 4.73% 3.57% 1.05% 3.08%
-2.06% 14.04% 12.56% 11.00% 10.06% 8.95% 7.06% 12.73%
-2.02% -6.90% -7.95% -8.31% -4.14% -4.19% -6.00% -2.27%
4.42% 6.83% 6.61% 7.69% 6.81% 7.43% 6.39% 13.54%
8.69% -6.11% -7.68% -10.92% -4.71% -5.19% -8.43% -4.61%
-19.78% -6.53% -7.22% -10.46% -7.46% -8.31% -8.18% -14.21%
5.86% 4.65% 6.26% 9.41% 0.90% 2.16% 2.45% -2.37%
5.97% 7.37% 8.09% 9.04% 5.40% 6.58% 7.79% 8.45%
-1.64% 3.62% 4.13% 7.55% 3.14% 3.17% 4.68% 4.93%
-4.61% -3.75% -2.73% -2.96% -3.97% -2.50% -3.55% -7.62%
17.39% 8.46% 8.30% 8.57% 1.93% 2.76% 3.27% 0.54%
2.70% 1.74% 2.04% 4.32% 6.71% 4.88% 4.47% 6.38%
-0.63% -6.78% -6.43% -9.42% -0.58% -2.72% -6.68% -2.96%
-2.41% 6.78% 5.73% 7.83% 3.58% 4.03% 5.33% 11.49%
9.97% 0.96% 3.04% 9.17% 1.93% 3.90% 8.88% 7.08%
16.20% 6.85% 10.16% 14.45% 6.79% 8.52% 8.66% 12.68%
-10.93% 5.23% 1.06% 1.53% 1.48% -1.97% 0.30% 2.29%
26.21% 3.54% 3.19% 2.42% 4.22% 6.47% 6.45% 12.12%
14.53% 16.20% 16.69% 18.12% 7.34% 11.20% 16.27% 9.71%
-14.14% 9.13% 10.12% 11.42% 8.09% 9.41% 10.99% 19.34%
-33.33% -9.82% -11.39% -15.36% -7.27% -12.72% -15.53% -3.36%
-5.43% -7.52% -10.50% -15.94% -4.57% -10.58% -15.86% -17.13%
-3.83% 5.53% 4.02% 5.37% 2.21% 0.84% -0.03% 9.08%
8.23% -11.99% -11.10% -14.43% -6.28% -6.66% -13.70% -8.87%
-5.08% -21.83% -19.35% -20.33% -15.05% -17.08% -22.54% -27.02%
0.46% -10.87% -7.00% -7.13% -9.62% -9.79% -4.56% -13.77%
0.96% 3.07% 4.17% 7.01% 1.57% 0.84% 0.59% -4.26%
0.19% 2.75% 2.58% 5.49% -0.81% -2.92% 3.82% -6.01%
0.13% -7.57% -7.75% -7.76% -7.32% -9.80% -9.16% -9.57%
13.28% 5.08% 5.47% 3.57% 2.26% -0.17% 3.10% 5.36%
-0.18% 4.85% 2.91% 2.94% 3.98% 5.35% 5.83% 7.84%
10.44% -1.38% 1.05% 0.05% 0.51% -2.92% -0.37% -2.94%
13.60% -4.11% -2.95% -3.69% -2.37% -3.88% -2.86% -1.26%
-11.96% -8.17% -5.84% -4.65% -7.26% -4.40% -4.68% -6.73%
10.05% 0.26% -0.84% -0.74% -0.44% -1.55% 0.52% -4.88%
-11.47% -6.75% -6.99% -7.73% -3.44% -5.07% -4.64% -8.84%
14.15% 3.63% 1.68% 0.92% 2.98% 0.87% 1.75% 9.20%
-2.76% 2.66% 0.85% -0.28% 4.56% 2.83% 3.24% 13.76%
-8.76% 1.72% 2.16% -0.87% 1.63% 2.31% -0.51% -0.36%
-3.25% -4.89% -5.81% -7.82% -1.59% -4.28% -4.64% -1.51%
6.33% -0.69% -0.90% -1.66% -1.20% -1.98% -2.34% 2.04%
0.33% 4.14% 4.08% 2.78% 2.98% 4.04% 4.09% 2.99%
0.43% 2.32% 1.93% 1.74% 4.88% 3.86% 3.53% 4.39%
0.81% 1.31% 1.37% 0.60% 0.61% 1.35% 2.10% 5.49%
-9.17% -0.21% -0.37% -0.31% -2.00% -1.59% -1.43% 2.84%
0.50% 2.19% 1.00% 2.46% 2.28% 1.14% 1.96% 1.79%
-0.95% -0.57% 0.80% 2.14% 0.43% 1.85% 2.75% 2.41%
3.48% 2.64% 2.68% 3.12% 1.44% 2.76% 1.92% 4.35%
7.02% 5.91% 5.01% 5.11% 3.14% 3.06% 4.90% 8.58%
-3.83% 0.97% 1.19% 0.93% 2.69% 2.22% 1.89% -1.58%
2.00% 3.24% 2.68% 2.44% 3.47% 1.65% 0.76% 2.77%
10.00% -5.82% -2.79% -1.86% -1.21% 1.34% 1.37% 1.01%
0.02% -0.60% 0.17% 0.27% -0.37% 0.03% 1.78% -0.24%
-17.05% -7.65% -4.60% -3.93% -3.12% -2.67% -1.29% -5.20%
-3.09% -0.74% 0.95% 1.59% -0.31% 2.30% 3.52% 9.59%
-2.80% 4.27% 5.47% 4.85% 1.58% 1.54% 0.78% 0.81%
0.89% -0.35% -0.32% -0.66% 0.33% 0.35% -1.08% -2.65%
3.62% 8.63% 9.50% 7.69% 1.26% 4.03% 4.54% 8.45%
-11.58% -0.21% -0.16% -0.35% -0.66% 1.04% 0.43% 3.32%
-0.73% 5.14% 4.77% 3.44% 4.27% 3.82% 2.26% 1.84%
-11.60% -3.63% -2.80% -2.46% -0.27% -2.69% -2.84% -5.61%
8.89% 0.51% 0.58% 0.46% -0.24% 1.72% 2.12% 6.06%
12.06% -2.08% -1.40% -0.87% -1.64% -0.06% -0.02% 2.67%
1.08% 6.62% 6.94% 6.13% 4.63% 2.55% 4.22% 1.87%
8.57% 2.61% 4.21% 4.52% -0.97% 1.96% 2.67% 5.55%
-0.65% 7.37% 6.24% 5.54% 3.93% 2.93% 3.31% -0.53%
3.43% -6.41% -5.79% -6.36% -1.34% -2.91% -2.31% -0.71%
-14.72% -4.05% -2.36% -1.78% -1.23% -2.81% 0.00% -4.40%
31.79% 0.43% 2.07% 3.70% 0.81% 4.34% 3.21% 5.41%
6.36% -5.74% -3.16% -2.09% -2.95% -1.79% -1.29% 0.78%
2.83% 4.29% 2.57% 3.95% 4.03% 2.56% 3.66% 3.88%
6.77% 8.15% 8.63% 9.94% 3.45% 5.24% 5.52% 7.50%
0.00% 3.21% 1.13% 1.48% 1.76% 0.97% 1.80% 6.54%
5.73% 5.53% 4.89% 3.90% 0.54% 2.24% 2.89% 7.24%
-2.82% -2.12% -0.27% -0.82% -0.18% 0.95% 0.78% 2.27%
3.54% -9.91% -5.27% -4.35% -4.90% -1.67% -1.51% -1.34%
0.33% 3.45% 4.36% 5.26% 1.22% 2.18% 2.71% 1.67%
-1.57% 1.06% 1.02% 0.75% 1.39% 0.80% 1.12% 1.46%
7.25% -3.62% -3.43% -6.06% -0.68% -3.18% -1.62% -7.53%
4.44% 1.03% 0.59% 0.41% -1.83% -0.56% -1.11% 0.86%
1.87% 0.42% 0.69% 0.75% 1.20% 2.42% 1.70% 5.20%
1.03% 3.95% 4.35% 6.06% 1.59% 2.11% 2.76% -0.75%
10.31% 0.78% 2.35% 4.07% 4.29% 4.90% 6.36% 8.67%
1.67% 2.86% 3.94% 4.51% 0.84% 1.71% 2.12% -0.08%
23.17% 8.25% 8.27% 10.83% 5.11% 7.44% 6.13% 7.99%
8.94% -1.82% -1.68% 0.90% -0.80% -1.93% -1.52% 3.61%
-4.87% 4.63% 4.97% 6.15% 1.79% 2.24% 3.71% 3.56%
0.75% 8.38% 6.23% 6.32% 2.32% 1.73% 0.16% -1.26%
7.91% 2.41% 2.48% 3.59% 1.21% 1.34% 1.40% 2.49%
25.70% 13.14% 10.74% 10.38% 4.99% 6.90% 8.04% 5.87%
13.63% 11.24% 9.46% 9.11% 7.64% 9.08% 9.66% 6.67%
19.24% 2.03% 0.58% 0.94% 1.70% 0.10% -0.55% 3.23%
14.21% -3.57% -2.38% -3.29% -1.01% -3.26% -4.21% -1.59%
13.31% -2.33% -2.41% -1.37% -2.67% -2.26% -5.38% 3.96%
Country ETF Country ETF Country ETF Country ETF Country ETF US Riskfree
Canada (EWC) Germany (EWG) Malaysia (EWM) Mexico (EWW) Singapore (EWS) US Riskfree
2.37% 5.02% 3.99% 5.12% 3.74% 0.00%
-1.33% 2.53% -1.87% 2.64% 1.42% 0.01%
0.00% 1.64% 2.71% 0.21% -0.52% 0.01%
3.60% 6.36% 0.31% 6.53% 2.13% 0.01%
4.60% 5.00% 0.90% -1.22% -0.08% 0.01%
1.74% 2.07% 0.91% 1.12% 6.66% 0.01%
2.91% 4.57% 3.48% 13.84% 7.43% 0.00%
-10.72% -13.53% -4.34% -11.90% -10.35% 0.01%
0.07% -3.18% -0.62% -1.09% 0.81% 0.01%
-2.34% 1.44% -0.48% 5.36% 0.00% 0.01%
3.24% 7.59% 3.97% 2.01% 4.12% 0.01%
5.68% 10.98% 5.30% 8.20% 14.31% 0.00%
-1.85% -6.83% -1.40% -1.68% -5.63% 0.00%
-2.76% -2.69% 1.15% -0.45% -3.92% 0.00%
10.79% 16.04% 13.91% 12.86% 11.36% 0.00%
-14.72% -12.67% -14.19% -16.67% -15.51% 0.00%
-3.39% -18.66% -5.77% -4.90% -9.46% 0.00%
-2.31% -4.35% -1.37% -1.20% 4.73% 0.00%
-3.11% 1.53% 2.34% 1.01% -1.98% 0.00%
-2.37% -5.66% 0.47% -3.03% -1.73% 0.00%
0.27% 10.91% 1.49% 2.32% 5.71% 0.00%
-0.18% -0.19% 5.12% 2.83% 4.75% 0.01%
7.61% 3.30% -0.99% 0.59% -5.02% 0.01%
0.94% 5.14% -1.18% -1.87% -0.79% 0.01%
6.78% 6.26% 7.31% 5.28% 5.96% 0.01%
1.41% -5.46% -3.20% 2.75% -2.05% 0.01%
3.18% 8.32% 2.40% 8.55% 3.18% 0.01%
7.39% 13.93% 6.59% 10.19% 8.72% 0.01%
-2.10% -6.89% 5.05% -5.63% -1.22% 0.01%
7.20% 10.85% 7.26% 6.41% 9.52% 0.01%
-4.28% -0.81% 4.14% -1.56% 3.16% 0.01%
-7.30% -10.47% -7.66% -7.74% -8.33% 0.01%
1.15% -2.19% 2.83% -0.71% 4.43% 0.01%
7.72% 9.08% 9.26% 9.72% 4.45% 0.01%
6.01% -1.43% 1.33% 5.74% 2.13% 0.01%
-7.18% -9.36% -0.66% -5.87% -6.18% 0.00%
2.55% -0.21% -0.90% 3.08% 3.41% 0.00%
8.64% 7.14% 3.53% 9.89% 8.40% 0.00%
-6.40% -5.36% 3.45% -0.18% -2.51% 0.00%
7.15% 6.12% 4.75% 2.95% 5.08% 0.01%
-1.74% 3.82% -0.82% 4.00% -2.85% 0.01%
12.98% 12.01% 9.66% 10.69% 16.74% 0.01%
-6.88% -4.22% 2.06% 0.84% -2.52% 0.01%
23.27% 11.85% 8.49% 17.61% 27.32% 0.01%
13.85% 15.50% 16.31% 14.35% 16.19% 0.01%
9.08% 10.97% 0.00% 14.41% 9.76% 0.01%
-9.64% -12.97% -0.29% -13.76% -11.01% 0.02%
-4.19% -19.35% -3.84% -14.19% -8.51% 0.00%
3.78% 16.29% 6.07% 11.24% 7.92% 0.00%
-10.79% -10.23% -1.54% -4.89% -3.27% 0.01%
-27.18% -22.68% -17.44% -33.79% -27.82% 0.02%
-13.30% -12.77% -6.98% -10.61% -13.42% 0.07%
-3.09% -6.10% -8.99% -3.49% -8.76% 0.14%
-5.46% -0.88% -1.63% -4.99% -0.64% 0.13%
-4.95% -8.77% -8.83% -8.72% -8.71% 0.14%
7.86% 2.60% -2.60% 7.79% 1.25% 0.15%
7.09% 3.71% 0.76% -1.13% 6.26% 0.09%
-5.31% 1.71% -5.43% 6.33% 5.10% 0.11%
5.71% -0.71% -4.13% 0.20% -0.25% 0.19%
-5.73% -11.96% 2.67% -0.95% -11.68% 0.23%
1.88% 0.98% 5.08% -1.70% -0.56% 0.24%
-11.56% -1.85% -4.65% -6.22% -8.64% 0.31%
10.24% 4.92% 10.26% 5.26% 6.21% 0.32%
9.46% 7.22% 7.31% 0.58% 11.43% 0.32%
0.03% 1.13% -5.14% -0.58% -1.70% 0.35%
0.10% -3.74% -1.02% -4.64% -0.81% 0.40%
-0.80% 0.18% -1.17% -1.92% -0.37% 0.38%
9.18% 5.32% 4.83% 13.59% 7.54% 0.40%
5.43% 8.91% 5.17% 1.80% 2.91% 0.42%
2.59% 4.46% 7.55% 7.69% 5.82% 0.43%
0.59% 0.15% -1.08% -3.48% -0.26% 0.43%
0.08% 2.45% 11.87% 2.05% 4.64% 0.41%
-0.64% 5.82% 2.71% 8.10% 4.91% 0.41%
2.51% 4.85% 11.87% 3.83% 8.29% 0.43%
4.75% 4.70% 5.61% 7.54% 8.57% 0.41%
-3.03% 1.14% -0.65% 4.45% 2.87% 0.40%
4.08% 3.71% 2.39% 3.87% 2.95% 0.43%
0.13% -0.13% 3.29% 7.21% 0.11% 0.41%
-2.26% -0.74% -3.57% 3.28% 2.21% 0.39%
-2.25% -4.39% -3.08% -11.19% -7.82% 0.39%
5.21% 4.86% 4.42% 5.63% 6.38% 0.38%
1.24% 4.54% 1.91% 0.13% 2.69% 0.38%
-2.26% 0.46% 0.96% -1.42% 1.54% 0.37%
9.04% 8.07% 6.45% 8.77% 6.58% 0.34%
4.75% 4.96% 0.97% 4.58% 4.34% 0.31%
5.25% 2.96% -1.81% 7.89% 2.48% 0.33%
-7.28% -2.78% -2.05% -2.11% -4.01% 0.29%
5.74% 0.73% 0.83% 12.04% 1.92% 0.27%
6.19% 1.90% -2.42% -0.65% -3.45% 0.28%
5.84% 6.76% 7.51% 8.68% 7.13% 0.26%
5.40% 0.40% 2.52% 4.68% 2.85% 0.24%
2.74% 2.14% -1.89% 9.85% 1.10% 0.22%
-6.11% -4.31% 1.33% -2.40% 0.55% 0.22%
1.42% -2.16% -5.30% -10.16% -1.23% 0.22%
6.67% 4.11% -0.83% 7.05% 0.14% 0.20%
-4.57% -4.72% 1.12% -0.28% 2.09% 0.17%
1.27% 5.93% -0.44% 9.08% 4.43% 0.16%
4.98% 7.83% 7.15% 8.67% 3.33% 0.16%
6.40% 4.50% 1.93% 4.94% 1.47% 0.14%
8.26% 5.13% 3.86% 5.30% 3.82% 0.13%
-0.56% -0.92% -1.67% 2.00% 3.97% 0.11%
-0.07% -6.25% 2.02% -2.31% 0.64% 0.10%
5.74% 3.79% 2.38% 0.72% 2.96% 0.09%
1.72% 0.97% -4.11% 2.87% -0.33% 0.08%
-8.43% -0.96% -9.88% -9.39% -4.39% 0.08%
-0.68% -4.07% 1.39% 5.43% -1.54% 0.08%
2.66% -1.34% 8.28% 7.19% 2.37% 0.08%
0.42% 1.54% 2.95% 7.55% 5.50% 0.07%
4.95% 10.75% 3.05% 5.99% 2.49% 0.07%
4.16% 6.55% -5.78% 2.13% 0.00% 0.08%
6.53% 11.48% 14.60% 3.57% 6.80% 0.08%
0.73% -0.72% -3.44% 3.07% 3.14% 0.08%
5.66% -1.18% 3.39% -1.06% 2.85% 0.08%
-1.19% 4.10% 6.31% 4.56% 9.11% 0.08%
2.61% 6.36% 3.54% 2.70% 3.21% 0.08%
9.52% 5.81% 8.72% 4.14% 12.50% 0.09%
7.58% 24.74% -1.20% 16.15% 3.74% 0.10%
-2.40% -4.61% -1.96% 1.22% -2.20% 0.10%
1.63% -7.23% -3.96% -3.28% -0.97% 0.10%
4.24% -0.20% 5.58% -4.50% -3.04% 0.10%
Second Pass Second Pass
Second Pass Fama-French Macro
Average Static CAPM 3 Factor 3 Factor
Past Expected Expected Expected Standard
Return Return Return Return Deviation
0.46% 0.12% 0.22%
0.17% 1.16% 0.39%
1.11% 0.60% 0.92%
0.67% 1.84% 0.01%
0.34% 1.06% 0.14%
-0.14% 0.55% -0.78%
0.65% 0.29% 0.09%
0.65% 0.49% 3.73%
0.79% 0.05% 2.07%
0.27% 0.64% 1.57%
0.48% 0.33% -0.42%
0.46% 0.54% -0.43%
0.42% 0.74% 2.75%
0.42% 0.74% 2.10%
0.42% 0.46% 1.12%
0.41% -0.81% 0.52%
0.43% -0.26% 0.86%
0.41% -0.09% 0.82%
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
Stock Stock Stock Stock
Correlations Barrick Gold (ABX) IBM (IBM) Korea Electric (KEP) Siemens (SI)
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
Stock Stock Stock Stock
Covariances Barrick Gold (ABX) IBM (IBM) Korea Electric (KEP) Siemens (SI)
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
Stock Stock US FF Port US FF Port US FF Port US FF Port US FF Port
Grupo Televisa (TV) YPF (YPF) Small-Growth Small-Neutral Small-Value Big-Growth Big-Neutral
Stock Stock US FF Port US FF Port US FF Port US FF Port US FF Port
Grupo Televisa (TV) YPF (YPF) Small-Growth Small-Neutral Small-Value Big-Growth Big-Neutral
US FF Port Country ETF Country ETF Country ETF Country ETF Country ETF
Big-Value Australia (EWA) Canada (EWC) Germany (EWG) Malaysia (EWM) Mexico (EWW)
US FF Port Country ETF Country ETF Country ETF Country ETF Country ETF
Big-Value Australia (EWA) Canada (EWC) Germany (EWG) Malaysia (EWM) Mexico (EWW)
Country ETF
Singapore (EWS)
Country ETF
Singapore (EWS)
Ass.
F...
PORTFOLIO OPTIMIZATION Many Risky Assets and a Riskfre
Inputs

Asset Type Stock US FF Port Country ETF 1
Average Past Return
Static CAPM Risky Opportunity Set, Capital Allo

Fama-French 3 Factor 0.04
Method to Forecast
Expected Return Macro 3 Factor 1
0.035
Risk Aversion 2.8

Expected 28
0.03
Return/Mon Standard
th Deviation
0.025
US Riskfree 0.00% 50 0.00%

0.02
0 0.00% 50 0.00% 50
0.015
0 0.00% 50 0.00% 50
0.01
0 0.00% 50 0.00% 50
0.005
0 0.00% 50 0.00% 50
0
0.0% 5.0% 1
Standard Deviation (s)
0 0.00% 50 0.00% 50
12
0 0.00% 50 0.00% 50 Portfolio Weights of
Portfolio Weights
and the Optim
10
Correlations
0 0 0 0 0 0 8
0 100.0% 0.0% 0.0% 0.0% 0.0% 0.0%
6
0 0.0% 100.0% 0.0% 0.0% 0.0% 0.0%
4
0 0.0% 0.0% 100.0% 0.0% 0.0% 0.0%
2
0 0.0% 0.0% 0.0% 100.0% 0.0% 0.0%
0
US Riskfree
0 0.0% 0.0% 0.0% 0.0% 100.0% 0.0%

Optim
Optim
0 0.0% 0.0% 0.0% 0.0% 0.0% 100.0%
0
US Riskfree
0
Optim
Optim
10
10 10
10 10 10
10 10 10 10
10 10 10 10 10
Standard Deviations
0 0 0 0 0 0
Variance-Covariance Matrix
0 0 0 0 0 0 US Riskfree
0 0
0 0
0 0
0 0
0 0
0 0
Outputs
A
B
C
Delta
Gamma
Risky Asst Capital Optimal

Opp Set Allocation Individual Risky Indifference
Proportion Curve Line Asset (Tangent) Curve
in Optimal Standard Expected Expected Expected Portfolio Expected
Risky Port Deviation Ret / Mon Ret / Mon Ret / Mon Weights Ret / Mon
US Riskfree
0 0.0%
0 0.0%
0 0.0%
0 0.0%
0 0.0%
0 0.0%
Opp Set Curve 0.00%
Opp Set Curve 0.13%
Opp Set Curve 0.27%
Opp Set Curve 0.40%
Opp Set Curve 0.53%
Opp Set Curve 0.67%
Opp Set Curve 0.80%
Opp Set Curve 0.93%
Opp Set Curve 1.07%
Opp Set Curve 1.20%
Opp Set Curve 1.33%
Opp Set Curve 1.47%
Opp Set Curve 1.60%
Opp Set Curve 1.73%
Opp Set Curve 1.87%
Opp Set Curve 2.00%
Opp Set Curve 2.13%
Opp Set Curve 2.27%
Opp Set Curve 2.40%
Opp Set Curve 2.53%
Opp Set Curve 2.67%
Opp Set Curve 2.80%
Opp Set Curve 2.93%
Opp Set Curve 3.07%
Opp Set Curve 3.20%
Opp Set Curve 3.33%
Opp Set Curve 3.47%
Opp Set Curve 3.60%
Opp Set Curve 3.73%
Opp Set Curve 3.87%
Opp Set Curve 4.00%
Opt Risky Port
Cap Alloc Line 0.0%
Indiffer Curve 0.0%
Indiffer Curve 0.5%
Indiffer Curve 1.0%
Indiffer Curve 1.5%
Indiffer Curve 2.0%
Indiffer Curve 2.5%
Indiffer Curve 3.0%
Indiffer Curve 3.5%
Indiffer Curve 4.0%
Indiffer Curve 4.5%
Indiffer Curve 5.0%
Indiffer Curve 6.0%
Indiffer Curve 7.0%
Indiffer Curve 8.0%
Indiffer Curve 9.0%
Indiffer Curve 10.0%
Opt Comp Port

ssets and a Riskfree Asset
Opportunity Set, Capital Allocation Line, and Indifference Curve
5.0% 10.0% 15.0%

Standard Deviation (s)
12
Portfolio Weights of the Optimal Risky Portfolio
Portfolio Weights
and the Optimal Complete Portfolio

10
0
US Riskfree
Optimal Risky Portfolio

Optimal Complete Portfolio
0
US Riskfree
0
Optimal Risky Portfolio
Optimal Complete Portfolio
One plus
Exp Ret
[1 + E(ri)] Ones
Optimal
Complete Optimal
Portfolio Complete
Expected Portfolio
Ret / Mon Weights
PORTFOLIO OPTIMIZATION Any Number of Risky Assets
Inputs

Number of
Risky Assets 20
Risk Aversion 14.5

Expected 145
Return/Mon Standard Risky Opportunity Set, Capital Allocation Line, and Indiffer
th Deviation
0.03
Riskfree 0.31% 0.00%
Risky Asset 1 1.59% 13.15%
Risky Asset 2 0.22% 6.35% 0.025
Risky Asset 3 0.75% 17.28%
Risky Asset 4 0.17% 11.89% 0.02
Risky Asset 5 1.57% 15.69%
Risky Asset 6 -0.46% 12.95%
0.015
Risky Asset 7 1.52% 4.67%
Risky Asset 8 0.61% 10.83%
Risky Asset 9 -0.53% 8.40% 0.01
Risky Asset 10 0.67% 6.93%
Risky Asset 11 1.94% 15.49% 0.005
Risky Asset 12 0.98% 20.41%
Risky Asset 13 -0.49% 11.34% -1.73472347597681E-18
Risky Asset 14 2.30% 17.30% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0%
Risky Asset 15 1.36% 8.34%
-0.005
Risky Asset 16 1.90% 10.56%
Risky Asset 17 1.83% 28.26%
Risky Asset 18 1.45% 21.82% -0.01
Risky Asset 19 0.49% 10.76% Standard Deviation (s)
Risky Asset 20 1.63% 10.07%
Correlations
Risky Asset Risky Risky Asset Risky Risky Risky Risky Risky
1 Asset 2 3 Asset 4 Asset 5 Asset 6 Asset 7 Asset 8
Risky Asset 1 100.00% 13.10% 12.43% 36.20% 6.94% -12.59% 26.96% 12.01%
Risky Asset 2 13.10% 100.00% 9.34% 40.27% 5.32% 3.64% 31.03% -10.96%
Risky Asset 3 12.43% 9.34% 100.00% 24.57% 14.44% -24.69% 9.62% 10.51%
Risky Asset 4 36.20% 40.27% 24.57% 100.00% 30.17% 5.62% 32.48% 20.06%
Risky Asset 5 6.94% 5.32% 14.44% 30.17% 100.00% -9.71% 28.61% 17.16%
Risky Asset 6 -12.59% 3.64% -24.69% 5.62% -9.71% 100.00% 3.65% -4.70%
Risky Asset 7 26.96% 31.03% 9.62% 32.48% 28.61% 3.65% 100.00% 10.65%
Risky Asset 8 12.01% -10.96% 10.51% 20.06% 17.16% -4.70% 10.65% 100.00%
Risky Asset 9 35.70% 26.24% 27.20% 11.90% 0.23% 6.93% 7.93% 11.76%
Risky Asset 10 -3.26% 4.83% -0.09% 5.28% 4.81% -4.92% 20.70% 4.69%
Risky Asset 11 27.37% 12.12% 19.70% 13.51% 16.44% -1.19% 11.01% -3.32%
Risky Asset 12 40.68% -1.15% 21.47% 19.12% 17.04% -10.65% 20.40% 19.84%
Risky Asset 13 -19.75% -11.23% 9.14% -4.31% 26.46% -2.43% -2.68% -16.80%
Risky Asset 14 20.96% -8.07% 43.25% 20.46% 20.33% -5.86% 3.53% 25.51%
Risky Asset 15 -1.21% 16.45% 2.81% 1.88% 11.22% -4.72% 19.40% 3.00%
Risky Asset 16 20.56% -4.67% 13.21% 4.97% 9.75% 24.89% -14.49% -16.67%
Risky Asset 17 29.10% -1.07% 38.18% 21.72% 27.95% -8.05% 34.49% 42.86%
Risky Asset 18 -17.51% 12.42% 4.99% 21.44% -13.18% 42.53% 12.72% 0.89%
Risky Asset 19 32.29% -4.50% 19.04% 20.05% 23.93% -12.44% 2.84% 29.53%
Risky Asset 20 10.38% 7.59% 13.52% 17.99% -7.45% 32.37% 8.33% 11.57%
Standard Deviations
Variance-Covariance Matrix
Risky Asset 1
Risky Asset 2
Risky Asset 3
Risky Asset 4
Risky Asset 5
Risky Asset 6
Risky Asset 7
Risky Asset 8
Risky Asset 9
Risky Asset 10
Risky Asset 11
Risky Asset 12
Risky Asset 13
Risky Asset 14
Risky Asset 15
Risky Asset 16
Risky Asset 17
Risky Asset 18
Risky Asset 19
Risky Asset 20
Outputs
A
B
C
Delta
Gamma
Risky Asst Capital Optimal Optimal

Opp Set Allocation Individual Risky IndifferenceComplete
Proportion Curve Line Asset (Tangent) Curve Portfolio
in Optimal Standard Expected Expected Expected Portfolio Expected Expected
Risky Port Deviation Ret / Mon Ret / Mon Ret / Mon Weights Ret / Mon Ret / Mon
Riskfree
1 13.2%
2 6.4%
3 17.3%
4 11.9%
5 15.7%
6 13.0%
7 4.7%
8 10.8%
9 8.4%
10 6.9%
11 15.5%
12 20.4%
13 11.3%
14 17.3%
15 8.3%
16 10.6%
17 28.3%
18 21.8%
19 10.8%
20 10.1%
Opp Set Curve 0.00%
Opp Set Curve 0.04%
Opp Set Curve 0.08%
Opp Set Curve 0.12%
Opp Set Curve 0.16%
Opp Set Curve 0.20%
Opp Set Curve 0.24%
Opp Set Curve 0.28%
Opp Set Curve 0.32%
Opp Set Curve 0.36%
Opp Set Curve 0.40%
Opp Set Curve 0.44%
Opp Set Curve 0.48%
Opp Set Curve 0.52%
Opp Set Curve 0.56%
Opp Set Curve 0.60%
Opp Set Curve 0.64%
Opp Set Curve 0.68%
Opp Set Curve 0.72%
Opp Set Curve 0.76%
Opp Set Curve 0.80%
Opp Set Curve 0.84%
Opp Set Curve 0.88%
Opp Set Curve 0.92%
Opp Set Curve 0.96%
Opp Set Curve 1.00%
Opp Set Curve 1.04%
Opp Set Curve 1.08%
Opp Set Curve 1.12%
Opp Set Curve 1.16%
Opp Set Curve 1.20%
Opp Set Curve 1.24%
Opp Set Curve 1.28%
Opp Set Curve 1.32%
Opp Set Curve 1.36%
Opp Set Curve 1.40%
Opp Set Curve 1.44%
Opp Set Curve 1.48%
Opp Set Curve 1.52%
Opp Set Curve 1.56%
Opp Set Curve 1.60%
Opp Set Curve 1.64%
Opp Set Curve 1.68%
Opp Set Curve 1.72%
Opp Set Curve 1.76%
Opp Set Curve 1.80%
Opp Set Curve 1.84%
Opp Set Curve 1.88%
Opp Set Curve 1.92%
Opp Set Curve 1.96%
Opp Set Curve 2.00%
Opp Set Curve 2.04%
Opp Set Curve 2.08%
Opp Set Curve 2.12%
Opp Set Curve 2.16%
Opp Set Curve 2.20%
Opp Set Curve 2.24%
Opp Set Curve 2.28%
Opp Set Curve 2.32%
Opp Set Curve 2.36%
Opp Set Curve 2.40%
Opp Set Curve 2.44%
Opp Set Curve 2.48%
Opp Set Curve 2.52%
Opp Set Curve 2.56%
Opp Set Curve 2.60%
Opp Set Curve 2.64%
Opp Set Curve 2.68%
Opp Set Curve 2.72%
Opp Set Curve 2.76%
Opp Set Curve 2.80%
Opp Set Curve 2.84%
Opp Set Curve 2.88%
Opp Set Curve 2.92%
Opp Set Curve 2.96%
Opp Set Curve 3.00%
Opt Risky Port
Cap Alloc Line 0.0%
Indiffer Curve 0.0%
Indiffer Curve 0.5%
Indiffer Curve 1.0%
Indiffer Curve 1.5%
Indiffer Curve 2.0%
Indiffer Curve 2.5%
Indiffer Curve 3.0%
Indiffer Curve 3.5%
Indiffer Curve 4.0%
Indiffer Curve 4.5%
Indiffer Curve 5.0%
Indiffer Curve 6.0%
Indiffer Curve 7.0%
Indiffer Curve 8.0%
Indiffer Curve 9.0%
Opt Comp Port

Portfolio Weights of the Optimal Risky Portfolio
and the Optimal Complete Portfolio
12
Portfolio Weights
l Allocation Line, and Indifference Curve
10
15.0% 20.0% 25.0% 30.0% 2
0
Riskfree
16
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
17
18
19
s) Optimal Risky Portfolio Optimal Complete Portfolio
Risky Risky Risky Risky Risky Risky Risky Risky Risky Risky
Asset 9 Asset 10 Asset 11 Asset 12 Asset 13 Asset 14 Asset 15 Asset 16 Asset 17 Asset 18
35.70% -3.26% 27.37% 40.68% -19.75% 20.96% -1.21% 20.56% 29.10% -17.51%
26.24% 4.83% 12.12% -1.15% -11.23% -8.07% 16.45% -4.67% -1.07% 12.42%
27.20% -0.09% 19.70% 21.47% 9.14% 43.25% 2.81% 13.21% 38.18% 4.99%
11.90% 5.28% 13.51% 19.12% -4.31% 20.46% 1.88% 4.97% 21.72% 21.44%
0.23% 4.81% 16.44% 17.04% 26.46% 20.33% 11.22% 9.75% 27.95% -13.18%
6.93% -4.92% -1.19% -10.65% -2.43% -5.86% -4.72% 24.89% -8.05% 42.53%
7.93% 20.70% 11.01% 20.40% -2.68% 3.53% 19.40% -14.49% 34.49% 12.72%
11.76% 4.69% -3.32% 19.84% -16.80% 25.51% 3.00% -16.67% 42.86% 0.89%
100.00% 18.77% 26.80% 12.59% -19.86% 9.69% 17.19% 14.90% 20.74% -10.70%
18.77% 100.00% -22.66% 16.43% -9.59% -15.59% 12.08% -10.33% 19.57% -22.69%
26.80% -22.66% 100.00% 3.40% -3.14% 25.60% 13.61% 26.44% 19.26% -12.97%
12.59% 16.43% 3.40% 100.00% -10.97% 27.69% 6.12% 16.66% 31.84% -0.78%
-19.86% -9.59% -3.14% -10.97% 100.00% 16.11% -12.94% 2.32% -2.98% 9.56%
9.69% -15.59% 25.60% 27.69% 16.11% 100.00% -10.87% -8.18% 24.28% 2.13%
17.19% 12.08% 13.61% 6.12% -12.94% -10.87% 100.00% 16.05% -0.50% -19.14%
14.90% -10.33% 26.44% 16.66% 2.32% -8.18% 16.05% 100.00% 8.06% 17.85%
20.74% 19.57% 19.26% 31.84% -2.98% 24.28% -0.50% 8.06% 100.00% -13.84%
-10.70% -22.69% -12.97% -0.78% 9.56% 2.13% -19.14% 17.85% -13.84% 100.00%
17.31% -27.53% 17.78% 13.45% 2.00% 24.26% 20.22% 3.77% 15.10% -17.19%
-0.14% -17.80% 30.26% 25.01% -9.08% 22.91% 9.94% 23.14% 4.28% 29.70%
Optimal
Complete
Portfolio
Weights
o
16
13
14
15
17
18
19
20
Complete Portfolio
Risky Risky
Asset 19 Asset 20
32.29% 10.38%
-4.50% 7.59%
19.04% 13.52%
20.05% 17.99%
23.93% -7.45%
-12.44% 32.37%
2.84% 8.33%
29.53% 11.57%
17.31% -0.14%
-27.53% -17.80%
17.78% 30.26%
13.45% 25.01%
2.00% -9.08%
24.26% 22.91%
20.22% 9.94%
3.77% 23.14%
15.10% 4.28%
-17.19% 29.70%
100.00% -0.41%
-0.41% 100.00%
Risky Risky
Asset 19 Asset 20
One plus
Exp Ret
[1 + E(ri)] Ones
Risky Risky
Asset 19 Asset 20 Riskfree 100.3%
Risky Asset 1 101.6% 100.0%
Risky Asset 2 100.2% 100.0%
Risky Asset 3 100.8% 100.0%
Risky Asset 4 100.2% 100.0%
Risky Asset 5 101.6% 100.0%
Risky Asset 6 99.5% 100.0%
Risky Asset 7 101.5% 100.0%
Risky Asset 8 100.6% 100.0%
Risky Asset 9 99.5% 100.0%
Risky Asset 10 100.7% 100.0%
Risky Asset 11 101.9% 100.0%
Risky Asset 12 101.0% 100.0%
Risky Asset 13 99.5% 100.0%
Risky Asset 14 102.3% 100.0%
Risky Asset 15 101.4% 100.0%
Risky Asset 16 101.9% 100.0%
Risky Asset 17 101.8% 100.0%
Risky Asset 18 101.5% 100.0%
Risky Asset 19 100.5% 100.0%
Risky Asset 20 101.6% 100.0%

Free Sample of Portfolio Optimization

Transféré par

Informations du document

Copyright

Formats disponibles

Partager ce document

Partager ou intégrer le document

Options de partage

Avez-vous trouvé ce document utile ?

Ce contenu est-il inapproprié ?

Droits d'auteur :

Formats disponibles

Free Sample of Portfolio Optimization

Transféré par

Droits d'auteur :

Formats disponibles

Inputs D..

Risky Opportunity Set

Expected Return / Month

Display + Capital Allocation Line

Riskfree Rate (rf) 0.40% 0.00% 0.00%

Risky Asset 1 1.50% 10.00% 1.10%

Risk Aversion 2.2 0

Outputs Risky Asset Capital Utility Optimal

Opp Set Curve -70.0%

Constant Utility Value

Returns Stock Stock Stock Stock Stock

Stock US FF Port US FF Port US FF Port US FF Port US FF Port US FF Port Country ETF

Expected Return / Month

Average Past Return

Static CAPM Risky Opportunity Set, Capital Allo

Risk Aversion 2.8

US Riskfree 0.00% 50 0.00%

0 0.0% 0.0% 0.0% 0.0% 100.0% 0.0%

Risky Asst Capital Optimal

Constant Utility Value

Opportunity Set, Capital Allocation Line, and Indifference Curve

5.0% 10.0% 15.0%

and the Optimal Complete Portfolio

Optimal Risky Portfolio

Expected Return / Month

Risk Aversion 14.5

Risky Asst Capital Optimal Optimal

Constant Utility Value

15.0% 20.0% 25.0% 30.0% 2

Vous aimerez peut-être aussi