fm3_chapter09.xls

CALCULATING THE EFFICIENT FRONTIER Variance - covariance matrix Expected returns E(r) Expected minus constant E(r) -c - - Constant an envelope portfolio with constant =0 z Envelope portfolio x #NAME? #NAME? Sum #NAME? Computing an envelope portfolio with constant = z Envelope portfolio y #NAME? #NAME? Sum #NAME? E(x) E(x) #NAME? Var(x) Var(y) #NAME? Sigma(x) Sigma(y) #NAME? Cov(x,y) #NAME? Corr(x,y) #NAME? A single portfolio calculation Proportion ofx E(r p) % #NAME? ? p % #NAME? Data table: we vary the proportion ofx to produce a graph of the frontier Proportion ofx Sigma Return <-- Data table header refers to cells B36 and B35 - - - - 123456789 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 ABCDEFG - - - jumps inx for table Portfolio x Portfolio y Proportion of x: