Beruflich Dokumente
Kultur Dokumente
Portfolio
Dabur Marico BOI BOM Return St Dev
Mean -0.0419% -0.0106% 1.3 -0.3 -0.05% 3.58%
Standard Deviation 3.0895% 2.9960% 1.2 -0.2 -0.05% 3.40%
Covariance 0.0530% 1.1 -0.1 -0.05% 3.24%
Correlation 0.5731 1 0 -0.04% 3.09%
Risk Free Rate 0.0109% 0.9 0.1 -0.04% 2.96%
0.8 0.2 -0.04% 2.86%
0.7 0.3 -0.03% 2.78%
OPTIMUM PORTFOLIO 0.6 0.4 -0.03% 2.72%
MINIMUM VARIANCE PORTFOLIO 0.5 0.5 -0.03% 2.70%
0.4 0.6 -0.02% 2.70%
0.3 0.7 -0.02% 2.74%
0.2 0.8 -0.02% 2.80%
0.1 0.9 -0.01% 2.88%
0 1 -0.01% 3.00%
-0.1 1.1 -0.01% 3.13%
-0.2 1.2 0.00% 3.28%
-0.3 1.3 0.00% 3.45%
Portfolio Daily Effective Frontier Risky Portfolio at different risk level at a certain correlation
Sharpe Ratio
[E(Rp)-Rfr)/σp] -1 -0.5 0 0.5 1 1.5
-1.74% 0.0492 0.0453 0.0412 0.0365 0.0312 0.0247
-1.74% 0.0431 0.0404 0.0376 0.0345 0.0311 0.0273
-1.73% 0.0370 0.0356 0.0341 0.0326 0.0310 0.0293
-1.71% 0.0309 0.0309 0.0309 0.0309 0.0309 0.0309
-1.68% 0.0248 0.0264 0.0280 0.0294 0.0308 0.0321
-1.63% 0.0187 0.0223 0.0254 0.0282 0.0307 0.0330
-1.56% 0.0126 0.0188 0.0234 0.0273 0.0306 0.0336
-1.48% 0.0066 0.0163 0.0221 0.0266 0.0305 0.0340
-1.38% 0.0005 0.0152 0.0215 0.0264 0.0304 0.0340
-1.26% 0.0056 0.0159 0.0218 0.0264 0.0303 0.0338
-1.13% 0.0117 0.0182 0.0229 0.0268 0.0302 0.0333
-0.99% 0.0178 0.0216 0.0248 0.0276 0.0301 0.0325
-0.86% 0.0239 0.0256 0.0271 0.0286 0.0301 0.0314
-0.72% 0.0300 0.0300 0.0300 0.0300 0.0300 0.0300
-0.59% 0.0360 0.0346 0.0331 0.0315 0.0299 0.0281
-0.47% 0.0421 0.0394 0.0365 0.0333 0.0298 0.0258
-0.35% 0.0491 0.0443 0.0400 0.0352 0.0297 0.0228
(Risk Free Asset + Risky Portfolio or Risk Free Asset + Risky
Risk Free Asset + Risky Market Portfolio) Portfolio Weights (Risk Free Asset + Risky Portfolio)-
Portfolio Weights Monthly-Capital Market Line Risky Portfolio with Monthly-Capital Allocation Line
Highest Sharpe Ratio Highest Sharpe Ratio Highest Returns Risky Portfolio with Highest Returns
Risky Risky
Optimum Sharpe
Risk Free Portfolio Portfolio St Dev Ratio Risk Free Portfolio Portfolio St Dev
Asset Return Asset Tata + Return
Tata + (R̅p-Rfr)/σp Bajaj
Bajaj
100% 0% 0.01% 0.00% #DIV/0! 100% 0% 0.01% 0.00%
50% 50% -0.01% 1.36% -1.48% 50% 50% -0.02% 1.79%
0% 100% -0.03% 2.72% -1.48% 0% 100% -0.05% 3.58%
-50% 150% -0.05% 4.09% -1.48% -50% 150% -0.08% 5.37%
0.00%
0.00% 1.00% 2
-0.02%
Return
0.06% -0.04%
-0.06%
-0.08%
0.04% -0.10%
1.10% 1.60% 2.10% 2.60% 3.10% 3.60% 4.10%
Risk Column
Column
Risk Free Asset + Risky Risk Free Asset + Risky
Asset + Risky Portfolio)- Portfolio Weights (Risk Free Asset + Risky Portfolio)- Portfolio Weights
-Capital Allocation Line Risky Portfolio with Monthly-Capital Allocation Line Risky Portfolio with
olio with Highest Returns lowest risk Risky Portfolio with lowest risk equal weights of assets
0.00%
0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00%
-0.02%
-0.04%
-0.06%
-0.08%
-0.10%
Sharpe
Portfolio St Dev Ratio
Return
(R̅p-Rfr)/σp
Return
-0.02%
-0.03%
-0.04%
-0.05%
Risk
SML Line
02%
01%
00%
0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.16 0.18
-0.01%0.2
01% Column D
Column E
02%
03%
-0.04%
04%
05%
Risk