PORTFOLIO OPTIMIZATION

Input data in Blue

cells only.
INPUTS
Riskless Rate
Risky Asset 1
Risky Asset 2
Risky Asset 3
Risky Asset 4
Risky Asset 5
Risky Asset 6

1
2
3
4
5
6

1
100.00%
0.00%
0.00%
0.00%
0.00%
0.00%

RISKY ASSETS

1
2
3
4
5
6

2
0.00%
100.00%
0.00%
0.00%
0.00%
0.00%

1
20.00%

1
4.00%
0.00%
0.00%
0.00%
0.00%
0.00%

A
B
C
DELTA
GAMMA

EXPECTED STANDARD
RETURN
DEVIATION
5.00%
0.00%
8.00%
20.00%
9.00%
20.00%
10.00%
20.00%
11.00%
20.00%
12.00%
20.00%
13.00%
20.00%

ONE PLUS
EXP RATE
{1+E}
105.00%
108.00%
109.00%
110.00%
111.00%
112.00%
113.00%

CORRELATIONS
3
4
0.00%
0.00%
0.00%
0.00%
100.00%
0.00%
0.00%
100.00%
0.00%
0.00%
0.00%
0.00%

STANDARD DEVIATION
2
3
20.00%
20.00%

VARIANCES&COVARIANCES
2
3
0.00%
0.00%
4.00%
0.00%
0.00%
4.00%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%

4
20.00%

4
0.00%
0.00%
0.00%
4.00%
0.00%
0.00%

ONES
100.00%
100.00%
100.00%
100.00%
100.00%
100.00%

5
0.00%
0.00%
0.00%
0.00%
100.00%
0.00%

5
20.00%

5
0.00%
0.00%
0.00%
0.00%
4.00%
0.00%

6
0.00%
0.00%
0.00%
0.00%
0.00%
100.00%

6
20.00%

6
0.00%
0.00%
0.00%
0.00%
0.00%
4.00%

150
165.75
183.1975
6.5625
0.12121212
EFFICIENT EFFICIENT INDIVIDUA
FRONTIER TRADE OFF
L ASSET
CURVE
LINE

STANDARD EXPECTED
DEVIATION
RETURN

INDEX

RISKY ASSET 1
RISKY ASSET 2
RISKY ASSET 3
RISKY ASSET 4
RISKY ASSET 5
RISKY ASSET 6

EXPECTE
D RETURN

20.00%
20.00%
20.00%
20.00%
20.00%
20.00%
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

OPTIMAL COMBINATION
EFFICIENT TRADE OFF LINE
0.00%
100.00%
200.00%

25.00%
22.78%
20.59%
18.45%
16.36%
14.36%
12.49%
10.81%
9.43%
8.50%
8.16%
8.50%
9.43%
10.81%
12.49%
14.36%
16.36%
18.45%
20.59%
22.78%
25.00%
8.55%
0.00%
8.55%
17.10%

8.00%
9.00%
10.00%
11.00%
12.00%
13.00%
5.56%
6.05%
6.55%
7.04%
7.53%
8.03%
8.52%
9.02%
9.51%
10.01%
10.50%
10.99%
11.49%
11.98%
12.48%
12.97%
13.47%
13.96%
14.45%
14.95%
15.44%
11.03%
5.00%
11.03%
17.06%

EFFICIENT TRADE OFF LINE & EFFICIENT

FRONTIER CURVE
0.18

0.14
0.12
0.1

Series1

0.08

Series2
Series3

0.06

0.04
0.02
0
0.00%

5.00%

10.00% 15.00% 20.00% 25.00% 30.00%

STANDARD DEVIATION

PORTFOLIO WEIGHTS IN AN OPTIMAL (TANGENT)

PORTFOLIO
30.00%
PORTFOLIO WEIGHTS

EXPECTED RETURN

0.16

25.00%
20.00%
15.00%
10.00%
5.00%
0.00%
1

ASSET NUMBER

OPTIMAL
COMBINATION OF
RISKY ASSETS IN
TANGENT PORTFOLIO
9.09%
12.12%
15.15%
18.18%
21.21%
24.24%

Series1
Series2
Series3

OPTIMAL (TANGENT)

Series1