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  • Sample Optimal Portfolio Creation

    Hochgeladen von

    Jahangir Alom
    13 Ansichten4 Seiten

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    13 Ansichten4 Seiten

    Sample Optimal Portfolio Creation

    Hochgeladen von

    Jahangir Alom

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Als XLS, PDF, TXT herunterladen oder online auf Scribd lesen
    Markieren Sie unangemessene Inhalte
    von 4

    Data

    Exim Bank Islami Bank


    2007 January
    373.25
    3834.75
    February
    358
    3845
    March
    335.75
    3857
    April
    345.5
    3820
    May
    413.75
    4030
    June
    390.5
    4474.5
    July
    410
    4838
    August
    384.75
    3827.5
    September
    379.75
    4212
    October
    411.75
    5325.25
    November
    401.5
    6494.75
    December
    391
    6632
    2008 January
    396.25
    5939.75
    February
    383.25
    5663.75
    March
    383.25
    5840.25
    April
    402.25
    5776.5
    May
    411
    5941
    June
    338.25
    6387.5
    July
    330.5
    6260.75
    August
    336.25
    7795.75
    September
    328
    7626.25
    October
    304.5
    7483.25
    November
    287.5
    680
    December
    323.5
    607.5
    2009 January
    295.75
    501
    February
    289.50
    465.5
    March
    263.00
    441.25
    April
    302.50
    508.75
    May
    334.75
    569.5
    June
    427.75
    816.25
    July
    296.25
    558.75
    August
    294.25
    522.25
    September
    305.50
    518.5
    October
    301.25
    518.25
    November
    350.75
    601.75
    December
    373.75
    591
    Mean Return

    Return Series
    Heidelberg
    Cement
    693
    750.25
    741.5
    684.5
    967
    1147
    1120
    1190.75
    1248.25
    1253.5
    1165
    1204.75
    1186.75
    1207
    1375.75
    1314.5
    1591.25
    1406.75
    1335.75
    1314
    1234
    1219.5
    1058.5
    1214
    1180
    1209
    1198.25
    1181.75
    1276.25
    1429.25
    1512.75
    1568.75
    1699.5
    1749.5
    2010.75
    2152.5

    Exim Bank
    -0.04
    -0.06
    0.03
    0.18
    -0.06
    0.05
    -0.06
    -0.01
    0.08
    -0.03
    -0.03
    0.01
    -0.03
    0
    0.05
    0.02
    -0.19
    -0.02
    0.02
    -0.02
    -0.07
    -0.06
    0.12
    -0.09
    -0.02
    -0.1
    0.14
    0.1
    0.25
    -0.37
    -0.01
    0.04
    -0.01
    0.15
    0.06
    0.000038248

    Return Series
    Islami Bank

    Heidelberg
    Cement
    0
    0.08
    0
    -0.01
    -0.01
    -0.08
    0.05
    0.35
    0.1
    0.17
    0.08
    -0.02
    -0.23
    0.06
    0.1
    0.05
    0.23
    0
    0.2
    -0.07
    0.02
    0.03
    -0.11
    -0.02
    -0.05
    0.02
    0.03
    0.13
    -0.01
    -0.05
    0.03
    0.19
    0.07
    -0.12
    -0.02
    -0.05
    0.22
    -0.02
    -0.02
    -0.06
    -0.02
    -0.01
    -2.4
    -0.14
    -0.11
    0.14
    -0.19
    -0.03
    -0.07
    0.02
    -0.05
    -0.01
    0.14
    -0.01
    0.11
    0.08
    0.36
    0.11
    -0.38
    0.06
    -0.07
    0.04
    -0.01
    0.08
    0
    0.03
    0.15
    0.14
    -0.02
    0.07
    ### 0.032381578

    Average Risk
    Free Return
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0

    Asset Class
    Bank
    Bank
    Cement

    Company
    Exim Bank
    Islami Bank
    Heidelberg Cement

    Mean Return Risk Free Rate


    0.00003825
    0
    -0.05
    0
    0.03
    0

    Portfolio Excess Return


    Portfolio Variance
    Portfolio Standard Deviatio
    Theata
    Total Weight

    Heidelberg
    Cement

    Exim Bank Islami Bank


    Weight
    0.00000
    0.00000
    1.00000
    Excess Return Covariance Covariance Covariance Weight
    (0.00412842)
    0.01
    0.01
    0 0.000000
    (0.05759648)
    0.01
    0.18
    0.01 0.000000
    0.02821491
    0
    0.01
    0.01 0.999999

    io Excess Return
    io Variance
    io Standard Deviation

    Weight

    0.03
    0.01
    0.09
    0.3
    1

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