Beruflich Dokumente
Kultur Dokumente
Expected Returns
Standard
Average Daily Return Deviation
BAP 0.14% 1.66%
PACASMAYO 0.17% 2.24%
GRAM 0.04% 4.44%
SCCO 0.08% 1.92%
FORD -0.02% 1.49%
EPU 0.11% 1.31%
Portfolio Statistics
Portfolio Average Return 0.140% <=Subtract out the risk free rate
Standard Deviation 1.28%
Slope 0.1093
Portfolio
Average return 0.072% 0.080% 0.085%
Standard Deviation 1.08% 1.08% 1.09%
Slope 0.0670 0.0739 0.0782
BAP 0% 5% 8%
PACASMAYO 15% 16% 16%
GRAM 0% 0% 0%
SCCO 0% 0% 0%
FORD 36% 32% 29%
EPU 48% 47% 47%
100.00% 100.00% 100.00%
Saved Solver Scenarios And
Minimum SD Target Avg Rath
1.28% 1.28% simp
time
6 6
1 1
1 1
1 1
1 1
A
Andrew Matuszak: T
This solver set can be used to fi
find the portfolio with the lowest re
standard deviation. st
A
1 1 Andrew Matuszak: T
1 1 This solver set can be used to fi
1 1 find the portfolio with the lowest re
standard deviation. st
100 0
100
Covariance Table
Weights 39% 30% 0% 0% 0%
Asset BAP PACASMAYGRAM SCCO FORD
39% BAP 0.000277 0.000054 0.000189 0.000130 0.000096
30% PACASMAYO 0.000054 0.000501 0.000101 0.000015 0.000028
0% GRAM 0.000189 0.000101 0.001971 0.000191 0.000103
0% SCCO 0.000130 0.000015 0.000191 0.000366 0.000129
0% FORD 0.000096 0.000028 0.000103 0.000129 0.000221
31% EPU 0.000151 0.000063 0.000228 0.000146 0.000066
100%
VAR 0.000164
100%
Andrew Matuszak:
Rather than creating new Solver sets, you can
simply load these through the Solver tool to save
time.
Andrew Matuszak:
atuszak: This solver set can be used to
et can be used to find a portfolio with a targeted
folio with the lowest return with the lowest
viation. standard deviation.
Andrew Matuszak:
atuszak: This solver set can be used to
et can be used to find a portfolio with a targeted
folio with the lowest return with the lowest
viation. standard deviation.
Andrew Matuszak:
Notice that these are set to be equal to the corresponding 'F' column. Do not
simply transpose these data; you must use a formula.
31%
EPU
Efficient Frontier
0.000151
0.000063 0.160%
0.000228 0.140%
0.000146
0.000066 0.120%
Average Return
0.000171 0.100%
0.080%
0.060%
0.040%
0.020%
0.000%
1.05% 1.10% 1.15% 1.20% 1.25% 1.30%
Standard Deviation