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Date

MSFT
Jun-92
Jul-92
Aug-92
Sep-92
Oct-92
Nov-92
Dec-92
Jan-93
Feb-93
Mar-93
Apr-93
May-93
Jun-93
Jul-93
Aug-93
Sep-93
Oct-93
Nov-93
Dec-93
Jan-94
Feb-94
Mar-94
Apr-94
May-94
Jun-94
Jul-94
Aug-94
Sep-94
Oct-94
Nov-94
Dec-94
Jan-95
Feb-95
Mar-95
Apr-95
May-95
Jun-95
Jul-95
Aug-95
Sep-95
Oct-95
Nov-95
Dec-95
Jan-96
Feb-96
Mar-96

1.63
1.7
1.74
1.88
2.07
2.17
1.99
2.02
1.95
2.16
2
2.16
2.05
1.73
1.75
1.93
1.87
1.87
1.88
1.99
1.93
1.98
2.16
2.51
2.41
2.4
2.71
2.62
2.94
2.94
2.85
2.77
2.94
3.32
3.82
3.95
4.22
4.23
4.32
4.23
4.67
4.07
4.1
4.32
4.61
4.81

Starbuck sp500
Return of msft Return of sbux
0.66
408.14
0.79
424.21
4.205%
17.979%
0.74
414.03
2.326%
-6.538%
0.9
417.8
7.739%
19.574%
0.88
418.68
9.628%
-2.247%
1.12
431.35
4.718%
24.116%
1.1
435.71
-8.659%
-1.802%
1.14
438.78
1.496%
3.572%
1.08
443.38
-3.527%
-5.407%
1.13
451.67
10.228%
4.526%
1.15
440.19
-7.696%
1.754%
1.43
450.19
7.696%
21.791%
1.46
450.53
-5.227%
2.076%
1.41
448.13
-16.972%
-3.485%
1.44
463.56
1.149%
2.105%
1.63
458.93
9.790%
12.394%
1.59
467.83
-3.158%
-2.485%
1.32
461.79
0.000%
-18.610%
1.32
466.45
0.533%
0.000%
1.43
481.61
5.686%
8.004%
1.38
467.14
-3.061%
-3.559%
1.45
445.77
2.558%
4.948%
1.77
450.91
8.701%
19.942%
1.69
456.5
15.017%
-4.625%
1.5
444.27
-4.066%
-11.926%
1.72
458.26
-0.416%
13.686%
1.68
475.49
12.148%
-2.353%
1.37
462.71
-3.377%
-20.398%
1.61
472.35
11.524%
16.142%
1.59
453.69
0.000%
-1.250%
1.63
459.27
-3.109%
2.485%
1.43
470.42
-2.847%
-13.091%
1.42
487.39
5.956%
-0.702%
1.43
500.71
12.156%
0.702%
1.4
514.71
14.029%
-2.120%
1.73
533.4
3.347%
21.165%
2.12
544.75
6.612%
20.329%
2.22
562.06
0.237%
4.609%
2.38
561.88
2.105%
6.959%
2.25
584.41
-2.105%
-5.617%
2.33
581.5
9.896%
3.494%
2.51
605.37
-13.752%
7.441%
2.5
615.93
0.734%
-0.399%
1.99
636.02
5.227%
-22.816%
2.09
640.43
6.497%
4.903%
2.77
645.5
4.247%
28.168%

Apr-96
May-96
Jun-96
Jul-96
Aug-96
Sep-96
Oct-96
Nov-96
Dec-96
Jan-97
Feb-97
Mar-97
Apr-97
May-97
Jun-97
Jul-97
Aug-97
Sep-97
Oct-97
Nov-97
Dec-97
Jan-98
Feb-98
Mar-98
Apr-98
May-98
Jun-98
Jul-98
Aug-98
Sep-98
Oct-98
Nov-98
Dec-98
Jan-99
Feb-99
Mar-99
Apr-99
May-99
Jun-99
Jul-99
Aug-99
Sep-99
Oct-99
Nov-99
Dec-99
Jan-00
Feb-00

5.29
5.54
5.61
5.5
5.72
6.16
6.41
7.32
7.72
9.53
9.1
8.56
11.35
11.58
11.8
13.2
12.34
12.36
12.14
13.21
12.07
13.93
15.83
16.72
16.83
15.84
20.24
20.53
17.92
20.56
19.77
22.79
25.9
32.68
28.04
33.48
30.37
30.14
33.69
32.05
34.57
33.83
34.57
34.01
43.61
36.56
33.38

3.22
3.22
3.36
3.09
3.89
3.92
3.86
4.12
3.4
4.07
4
3.52
3.55
3.74
4.63
4.87
4.87
4.97
3.92
4.15
4.56
4.35
4.7
5.39
5.72
5.71
6.35
4.98
3.75
4.3
5.16
5.48
6.67
6.19
6.29
6.67
8.78
8.77
8.93
5.53
5.44
5.89
6.46
6.31
5.76
7.61
8.35

654.17
669.12
670.63
639.95
651.99
687.33
705.27
757.02
740.74
786.16
790.82
757.12
801.34
848.28
885.14
954.31
899.47
947.28
914.62
955.4
970.43
980.28
1049.34
1101.75
1111.75
1090.82
1133.84
1120.67
957.28
1017.01
1098.67
1163.63
1229.23
1279.64
1238.33
1286.37
1335.18
1301.84
1372.71
1328.72
1320.41
1282.71
1362.93
1388.91
1469.25
1394.46
1366.42

9.512%
4.618%
1.256%
-1.980%
3.922%
7.411%
3.978%
13.275%
5.320%
21.063%
-4.617%
-6.117%
28.212%
2.006%
1.882%
11.212%
-6.737%
0.162%
-1.796%
8.447%
-9.025%
14.332%
12.786%
5.470%
0.656%
-6.062%
24.512%
1.423%
-13.597%
13.743%
-3.918%
14.216%
12.792%
23.252%
-15.313%
17.732%
-9.749%
-0.760%
11.135%
-4.990%
7.569%
-2.164%
2.164%
-1.633%
24.863%
-17.633%
-9.100%

15.053%
0.000%
4.256%
-8.377%
23.024%
0.768%
-1.542%
6.519%
-19.208%
17.987%
-1.735%
-12.783%
0.849%
5.214%
21.347%
5.054%
0.000%
2.033%
-23.733%
5.702%
9.421%
-4.715%
7.739%
13.698%
5.942%
-0.175%
10.624%
-24.302%
-28.367%
13.686%
18.232%
6.017%
19.651%
-7.468%
1.603%
5.866%
27.486%
-0.114%
1.808%
-47.923%
-1.641%
7.948%
9.237%
-2.349%
-9.120%
27.853%
9.280%

Mar-00
Apr-00
May-00
Jun-00
Jul-00
Aug-00
Sep-00
Oct-00
Nov-00
Dec-00
Jan-01
Feb-01
Mar-01
Apr-01
May-01
Jun-01
Jul-01
Aug-01
Sep-01
Oct-01
Nov-01
Dec-01
Jan-02
Feb-02
Mar-02
Apr-02
May-02
Jun-02
Jul-02
Aug-02
Sep-02
Oct-02
Nov-02
Dec-02
Jan-03
Feb-03
Mar-03
Apr-03
May-03
Jun-03
Jul-03
Aug-03
Sep-03
Oct-03
Nov-03
Dec-03
Jan-04

39.69
26.05
23.37
29.88
26.08
26.08
22.53
25.73
21.43
16.2
22.81
22.04
20.43
25.31
25.84
27.27
24.72
21.31
19.11
21.72
23.98
24.75
23.8
21.79
22.53
19.52
19.02
20.43
17.92
18.33
16.34
19.97
21.55
19.31
17.73
17.76
18.14
19.16
18.44
19.22
19.79
19.88
20.84
19.7
19.38
20.63
20.84

10.65
7.19
8.08
9.08
8.91
8.71
9.52
10.62
10.83
10.52
11.87
11.32
10.09
9.2
9.28
10.94
8.58
8.02
7.1
8.14
8.42
9.06
11.3
10.94
11
10.85
11.54
11.81
9.33
9.56
9.82
11.33
10.34
9.69
10.8
11.15
12.25
11.18
11.73
11.67
12.99
13.5
13.69
15.02
15.3
15.77
17.41

1498.58
1452.43
1420.6
1454.6
1430.83
1517.68
1436.51
1429.4
1314.95
1320.28
1366.01
1239.94
1160.33
1249.46
1255.82
1224.38
1211.23
1133.58
1040.94
1059.78
1139.45
1148.08
1130.2
1106.73
1147.39
1076.92
1067.14
989.82
911.62
916.07
815.28
885.76
936.31
879.82
855.7
841.15
848.18
916.92
963.59
974.5
990.31
1008.01
995.97
1050.71
1058.2
1111.92
1131.13

17.314%
-42.108%
-10.856%
24.574%
-13.602%
0.000%
-14.632%
13.281%
-18.287%
-27.978%
34.219%
-3.434%
-7.585%
21.420%
2.072%
5.386%
-9.817%
-14.844%
-10.896%
12.802%
9.899%
3.161%
-3.914%
-8.823%
3.340%
-14.341%
-2.595%
7.151%
-13.109%
2.262%
-11.492%
20.062%
7.614%
-10.975%
-8.536%
0.169%
2.117%
5.471%
-3.830%
4.143%
2.923%
0.454%
4.716%
-5.626%
-1.638%
6.250%
1.013%

24.330%
-39.287%
11.670%
11.668%
-1.890%
-2.270%
8.892%
10.934%
1.958%
-2.904%
12.074%
-4.744%
-11.503%
-9.234%
0.866%
16.456%
-24.299%
-6.750%
-12.184%
13.670%
3.382%
7.326%
22.093%
-3.238%
0.547%
-1.373%
6.165%
2.313%
-23.571%
2.435%
2.683%
14.303%
-9.143%
-6.493%
10.845%
3.189%
9.409%
-9.140%
4.802%
-0.513%
10.716%
3.851%
1.398%
9.272%
1.847%
3.026%
9.894%

Feb-04
Mar-04
Apr-04
May-04
Jun-04
Jul-04
Aug-04
Sep-04
Oct-04
Nov-04
Dec-04
Jan-05
Feb-05
Mar-05
Apr-05
May-05
Jun-05
Jul-05
Aug-05
Sep-05
Oct-05
Nov-05
Dec-05
Jan-06
Feb-06
Mar-06
Apr-06
May-06
Jun-06
Jul-06
Aug-06
Sep-06
Oct-06
Nov-06
Dec-06
Jan-07
Feb-07
Mar-07
Apr-07
May-07
Jun-07
Jul-07
Aug-07
Sep-07
Oct-07
Nov-07
Dec-07

19.99
18.79
19.69
19.77
21.52
21.47
20.64
20.9
21.14
22.59
22.51
22.14
21.26
20.43
21.38
21.87
21.06
21.71
23.28
21.88
21.85
23.6
22.3
24.01
22.99
23.28
20.66
19.46
20.01
20.67
22.16
23.58
24.75
25.4
25.83
26.7
24.45
24.19
25.99
26.73
25.67
25.25
25.11
25.75
32.17
29.46
31.22

17.78
18.01
18.5
19.3
20.68
22.34
20.56
21.61
25.14
26.75
29.65
25.67
24.63
24.56
23.54
26.05
24.56
24.98
23.31
23.82
26.89
28.95
28.54
30.14
34.54
35.78
35.44
33.9
35.91
32.55
29.49
32.38
35.9
33.56
33.68
33.22
29.38
29.82
29.5
27.4
24.95
25.37
26.2
24.91
25.37
22.24
19.46

1144.94
1126.21
1107.3
1120.68
1140.84
1101.72
1104.24
1114.58
1130.2
1173.82
1211.92
1181.27
1203.6
1180.59
1156.85
1191.5
1191.33
1234.18
1220.33
1228.81
1207.01
1249.48
1248.29
1280.08
1280.66
1294.87
1310.61
1270.09
1270.2
1276.66
1303.82
1335.85
1377.94
1400.63
1418.3
1438.24
1406.82
1420.86
1482.37
1530.62
1503.35
1455.27
1473.99
1526.75
1549.38
1481.14
1468.36

-4.164%
-6.191%
4.679%
0.405%
8.482%
-0.233%
-3.943%
1.252%
1.142%
6.634%
-0.355%
-1.657%
-4.056%
-3.982%
4.545%
2.266%
-3.774%
3.040%
6.982%
-6.202%
-0.137%
7.705%
-5.666%
7.388%
-4.341%
1.254%
-11.940%
-5.984%
2.787%
3.245%
6.961%
6.211%
4.843%
2.592%
1.679%
3.313%
-8.803%
-1.069%
7.177%
2.807%
-4.046%
-1.650%
-0.556%
2.517%
22.260%
-8.800%
5.803%

2.103%
1.285%
2.684%
4.233%
6.906%
7.721%
-8.303%
4.981%
15.130%
6.207%
10.293%
-14.414%
-4.136%
-0.285%
-4.242%
10.132%
-5.890%
1.696%
-6.919%
2.164%
12.123%
7.382%
-1.426%
5.455%
13.626%
3.527%
-0.955%
-4.443%
5.760%
-9.824%
-9.873%
9.349%
10.320%
-6.740%
0.357%
-1.375%
-12.284%
1.487%
-1.079%
-7.385%
-9.367%
1.669%
3.219%
-5.049%
1.830%
-13.167%
-13.353%

Jan-08
Feb-08
Mar-08
Apr-08
May-08
Jun-08
Jul-08
Aug-08
Sep-08
Oct-08
Nov-08
Dec-08
Jan-09
Feb-09
Mar-09
Apr-09
May-09
Jun-09
Jul-09
Aug-09
Sep-09
Oct-09
Nov-09
Dec-09
Jan-10
Feb-10
Mar-10
Apr-10
May-10
Jun-10
Jul-10
Aug-10
Sep-10
Oct-10
Nov-10
Dec-10
Jan-11
Feb-11
Mar-11
Apr-11
May-11
Jun-11
Jul-11
Aug-11
Sep-11
Oct-11
Nov-11

28.59
23.94
24.98
25.1
25.02
24.3
22.72
24.21
23.67
19.81
18.06
17.36
15.27
14.52
16.52
18.22
18.9
21.51
21.28
22.43
23.4
25.23
26.88
27.86
25.76
26.33
26.9
28.04
23.8
21.22
23.81
21.76
22.71
24.73
23.57
26.04
25.87
24.95
23.83
24.33
23.63
24.56
25.88
25.29
23.66
25.32
24.5

17.98
17.1
16.64
15.43
17.3
14.97
13.97
14.8
14.14
12.49
8.49
9
8.98
8.7
10.56
13.75
13.68
13.21
16.83
18.06
19.64
18.05
20.82
21.93
20.72
21.78
23.08
24.81
24.72
23.2
23.73
22.06
24.52
27.41
29.5
30.97
30.39
31.92
35.76
35.03
35.73
38.35
38.94
37.64
36.35
41.29
42.55

1378.55
1330.63
1322.7
1385.59
1400.38
1280
1267.38
1282.83
1166.36
968.75
896.24
903.25
825.88
735.09
797.87
872.81
919.14
919.32
987.48
1020.62
1057.08
1036.19
1095.63
1115.1
1073.87
1104.49
1169.43
1186.69
1089.41
1030.71
1101.6
1049.33
1141.2
1183.26
1180.55
1257.64
1286.12
1327.22
1325.83
1363.61
1345.2
1320.64
1292.28
1218.89
1131.42
1253.3
1246.96

-8.800%
-17.751%
4.252%
0.479%
-0.319%
-2.920%
-6.723%
6.352%
-2.256%
-17.802%
-9.249%
-3.953%
-12.828%
-5.036%
12.904%
9.795%
3.664%
12.936%
-1.075%
5.263%
4.234%
7.530%
6.335%
3.581%
-7.837%
2.189%
2.142%
4.151%
-16.395%
-11.474%
11.516%
-9.003%
4.273%
8.521%
-4.804%
9.966%
-0.655%
-3.621%
-4.593%
2.076%
-2.919%
3.860%
5.235%
-2.306%
-6.662%
6.781%
-3.292%

-7.910%
-5.018%
-2.727%
-7.550%
11.439%
-14.466%
-6.914%
5.772%
-4.562%
-12.408%
-38.604%
5.834%
-0.222%
-3.168%
19.375%
26.397%
-0.510%
-3.496%
24.219%
7.054%
8.387%
-8.442%
14.277%
5.194%
-5.676%
4.989%
5.797%
7.228%
-0.363%
-6.346%
2.259%
-7.297%
10.572%
11.142%
7.348%
4.863%
-1.891%
4.912%
11.360%
-2.063%
1.979%
7.076%
1.527%
-3.395%
-3.487%
12.743%
3.006%

Dec-11
Jan-12
Feb-12
Mar-12
Apr-12
May-12
Jun-12
Jul-12
Aug-12
Sep-12
Oct-12
Nov-12
Dec-12
Jan-13
Feb-13
Mar-13
Apr-13
May-13
Mean
standard Deviation
variance

Annual mean
Annual Standard Deviation
Annual Variance

Covariance
correlation

24.86
28.28
30.6
31.1
30.87
28.33
29.69
28.6
30.11
29.07
27.88
26.22
26.31
27.04
27.61
28.41
32.87
34.9

45.02
46.89
47.68
54.88
56.33
54.06
52.52
44.6
49.05
50.14
45.39
51.5
53.25
55.72
54.67
56.76
60.64
63.36

1257.6
1312.41
1365.68
1408.47
1397.91
1310.33
1362.16
1379.32
1406.58
1440.67
1412.16
1416.18
1426.19
1498.11
1514.68
1569.19
1597.57
1630.74

1.459%
12.889%
7.885%
1.621%
-0.742%
-8.586%
4.689%
-3.740%
5.145%
-3.515%
-4.180%
-6.139%
0.343%
2.737%
2.086%
2.856%
14.582%
5.993%

5.643%
4.070%
1.671%
14.064%
2.608%
-4.113%
-2.890%
-16.346%
9.511%
2.198%
-9.953%
12.629%
3.342%
4.534%
-1.902%
3.752%
6.612%
4.388%

18.85456 16.21663 1047.078

1.221%
9.363%
0.873%

1.818%
11.143%
1.237%

14.65%

21.82%
133.71%
4.28%

3.02%

0.003346467
0.322040122

Chart Title

Chart Title
40.000%
30.000%
20.000%

Axis Title

10.000%
-50.000%

-40.000%

-30.000%

-20.000%

0.000%
-10.000%
0.000%
-10.000%
-20.000%
-30.000%
-40.000%
-50.000%
-60.000%
Axis Title

10.000%

20.000%

y = 0.3832x + 0.0135
R = 0.1037

20.000%

30.000%

40.000%

two assets portfolio problem


mean
asset1
asset2

sigma
6%
10%

correlation
covar

-1
-0.022

% of Asset 1
% of Asset 2

80%
20.00%

Portfolio Mean
Protfolio Variance
sigma

11%
20%

6.80%
0.002304
0.048
12.00%
10.00%

Data Table : fn of % of asset 1


% of asset 1
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%

sigma(p) mean9p)
0.048
6.80%
20.00%
10.00%
16.90%
9.60%
13.80%
9.20%
10.70%
8.80%
7.60%
8.40%
4.50%
8.00%
1.40%
7.60%
1.70%
7.20%
4.80%
6.80%
7.90%
6.40%
11.00%
6.00%

8.00%
6.00%
4.00%
2.00%
0.00%
0.00%

5.00%

10.00%

15.00%

20.00%

20.00%

25.00%

20 k

50

1
20
k

1 <-- {=TRANSPOSE(matrix1)}
20
k

50
5

50
5

NSPOSE(matrix1)}

0.235504 <-- =RAND()


0.800486
0.209378
0.620557
0.322468
0.386464
0.416493
0.953324
0.285015
0.047534
0.131888
0.769167
0.858477
0.200976
0.654157
0.88577
0.337749
0.229507
0.050458
0.53219
0.39131
0.606023
0.254818
0.195167
0.058384
0.42701
0.426075
0.428122
0.498835
0.592046
0.185684
0.370726
0.147994
0.653383
0.628319
0.102073
0.090959
0.876579
0.240991
0.610523
0.877357
0.919653
0.283999
0.545717
0.126804
0.982808
0.817928

bins
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1

frequency
0
128
113
136
123
143
122
120
131
117
137

0.552943
0.78511
0.512882
0.689795
0.489723
0.350634
0.865111
0.658406
0.465397
0.182392
0.676986
0.342176
0.462938
0.174252
0.190821
0.702857
0.024622
0.498967
0.138736
0.973411
0.331393
0.966067
0.968447
0.149664
0.097259
0.356456
0.522863
0.13376
0.800956
0.47829
0.007916
0.726959
0.707788
0.909396
0.994637
0.896256
0.747691
0.54582
0.070273
0.204289
0.656591
0.035063
0.390202
0.37606
0.627727
0.015143
0.243208

0.840106
0.756917
0.677362
0.057037
0.994641
0.697625
0.607383
0.009463
0.462212
0.205334
0.073226
0.426455
0.988781
0.549451
0.610713
0.919926
0.579099
0.558518
0.80086
0.73502
0.64229
0.478691
0.51659
0.547423
0.265405
0.982922
0.488966
0.128562
0.353001
0.926566
0.893529
0.847988
0.901173
0.514861
0.261997
0.209663
0.795944
0.383114
0.027287
0.999344
0.107806
0.922787
0.898027
0.015733
0.676657
0.163243
0.753408

0.540576
0.005297
0.513063
0.468591
0.9589
0.686138
0.942163
0.964032
0.185699
0.762132
0.442883
0.738425
0.640083
0.426949
0.981661
0.526412
0.779652
0.489453
0.048996
0.992188
0.077849
0.716481
0.980491
0.341635
0.937774
0.605023
0.070432
0.593126
0.768409
0.376552
0.686183
0.949643
0.118025
0.419648
0.921291
0.646516
0.877175
0.759856
0.947895
0.599361
0.657849
0.381922
0.436441
0.187509
0.202094
0.355046
0.415587

0.490459
0.085102
0.723397
0.310401
0.095261
0.666337
0.976887
0.179183
0.252295
0.600431
0.743119
0.544347
0.133701
0.85237
0.313026
0.239314
0.503406
0.754824
0.604552
0.934445
0.45305
0.647349
0.123994
0.617158
0.825014
0.54912
0.779237
0.562338
0.918598
0.564296
0.469677
0.739649
0.841181
0.54083
0.226669
0.651187
0.695548
0.878695
0.383859
0.413504
0.324596
0.935343
0.696924
0.376191
0.281666
0.089423
0.873917

0.319533
0.690963
0.940455
0.916114
0.017699
0.761488
0.612575
0.290737
0.571352
0.218187
0.771545
0.591312
0.403327
0.04288
0.973295
0.878817
0.640449
0.312975
0.406456
0.002053
0.807019
0.983174
0.784693
0.539093
0.826678
0.716871
0.611934
0.669443
0.439461
0.047523
0.020005
0.546135
0.270956
0.678954
0.792261
0.998441
0.77814
0.807408
0.786238
0.202652
0.606451
0.441926
0.269179
0.543158
0.041647
0.533195
0.738938

0.213186
0.77784
0.462333
0.296394
0.27223
0.52212
0.446156
0.628826
0.630449
0.276135
0.969999
0.087879
0.097361
0.07998
0.82179
0.289866
0.64472
0.200381
0.429697
0.420986
0.63484
0.736953
0.358502
0.640291
0.485022
0.732844
0.510645
0.810544
0.361789
0.785458
0.607286
0.758171
0.806181
0.125014
0.822129
0.004906
0.751565
0.377852
0.509842
0.707072
0.722117
0.427438
0.326279
0.081987
0.035427
0.398296
0.275979

0.102476
0.620703
0.579801
0.400251
0.519447
0.544073
0.133759
0.366222
0.366023
0.181475
0.092833
0.183071
0.239721
0.845105
0.008241
0.798792
0.933756
0.16116
0.830192
0.786055
0.719178
0.831626
0.906259
0.105276
0.949345
0.902902
0.570038
0.107439
0.746054
0.528528
0.212946
0.937435
0.15238
0.74194
0.106485
0.16708
0.736112
0.5431
0.459158
0.811463
0.398874
0.616672
0.81783
0.83519
0.277692
0.791516
0.491674

0.937607
0.888285
0.249177
0.547015
0.778193
0.044666
0.578356
0.499262
0.650074
0.708095
0.490302
0.094947
0.726619
0.426628
0.470876
0.681236
0.295324
0.134199
0.248495
0.721001
0.705904
0.294715
0.962821
0.011434
0.189935
0.092181
0.97808
0.545427
0.245934
0.538447
0.232698
0.722069
0.433074
0.055156
0.33764
0.713311
0.135945
0.550922
0.996128
0.5717
0.60289
0.045047
0.447806
0.252549
0.33298
0.684889
0.565506

0.986817
0.97662
0.332338
0.93099
0.598399
0.758791
0.099292
0.986847
0.195445
0.939157
0.058779
0.866995
0.946796
0.81783
0.595735
0.278999
0.050586
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0.699948
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0.469442
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0.901353
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0.886048
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0.513964
0.151913
0.629381
0.903662
0.256718
0.911638
0.703731
0.625129
0.962526
0.831459
0.434399
0.267558
0.792811

0.724123
0.736067
0.386101
0.10248
0.243043
0.118064
0.339517
0.416412
0.412329
0.647736
0.418273
0.515927
0.302572
0.809441
0.879437
0.860828
0.141756
0.4475
0.719879
0.029187
0.809537
0.430294
0.474489
0.236631
0.773008
0.569019
0.79649
0.748459
0.879398
0.761032
0.490247
0.741638
0.883412
0.108173
0.092618
0.303647
0.362669
0.859238
0.438726
0.36815
0.993324
0.078401
0.921028
0.203283
0.121856
0.116247
0.844481

0.083917
0.223673
0.690407
0.694228
0.622012
0.419495
0.030604
0.130428
0.160577
0.155504
0.646593
0.988216
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0.38104
0.678939
0.826418
0.741755
0.717238
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0.95655
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0.761269
0.151383
0.029379
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0.955543
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0.155092
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0.126743
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0.086012
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0.477694
0.119922
0.168015
0.956169

0.035555
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0.617258
0.91129
0.745872
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0.863856
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0.706171
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0.70658
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0.091399
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0.11419
0.787727
0.720127
0.773973
0.695184
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0.167954
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0.504142
0.935574

0.312321
0.270111
0.991001
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0.228071
0.462017
0.359416
0.256304
0.183863
0.837741
0.32828
0.802904
0.29354
0.540422
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0.994159
0.266949
0.144123
0.403066
0.442927
0.668144
0.41618
0.255198
0.415733
0.499946
0.15877
0.783342
0.376195
0.475497
0.552049
0.15219
0.487537
0.89017
0.051981
0.513456
0.517178
0.988545
0.282042
0.615625
0.316214
0.694315
0.073291
0.673303
0.920107
0.365622

0.777873
0.613957
0.899389
0.92708
0.509596
0.187744
0.446418
0.085878
0.720955
0.471444
0.402036
0.455593
0.656602
0.65676
0.727869
0.958754
0.826259
0.822605
0.17392
0.169812
0.295979
0.803736
0.196189
0.402094
0.000939
0.602893
0.859831
0.277077
0.149029
0.904892
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0.65432
0.113887
0.305997
0.628108
0.559918
0.894539
0.831306
0.654973
0.990282
0.878389
0.248265
0.722824
0.720166
0.514276
0.451809
0.741164

0.38906
0.337341
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0.589659
0.626057
0.072498
0.220746
0.334924
0.508239
0.003814
0.888832
0.014381
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0.07138
0.963745
0.394876
0.38947
0.452917
0.51302
0.765686
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0.259363
0.589882
0.922349
0.094813
0.84046
0.95611
0.693124
0.290794
0.868734
0.843752
0.55322
0.984243
0.90131
0.11266
0.108183
0.862194
0.731674
0.927417
0.119176
0.433828
0.447651
0.281794
0.466455
0.313988
0.24489
0.006157

0.754998
0.184984
0.252411
0.639166
0.562837
0.019342
0.479749
0.500194
0.37589
0.909963
0.533004
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0.544371
0.502837
0.935834
0.221485
0.047949
0.215768
0.656551
0.964132
0.309743
0.14787
0.130226
0.072279
0.484708
0.538808
0.840326
0.370073
0.2409
0.94252
0.655002
0.703354
0.051666
0.291108
0.842465
0.713693
0.313449
0.784248
0.851495
0.329561
0.400721
0.594204
0.435786
0.553475
0.300341
0.354119
0.322274

0.439625
0.011044
0.329706
0.036907
0.205666
0.02907
0.225527
0.936843
0.670227
0.307833
0.033673
0.873834
0.547201
0.27873
0.849889
0.224916
0.392701
0.833531
0.484955
0.392501
0.338721
0.210397
0.721308
0.216007
0.280511
0.873297
0.338406
0.562596
0.506792
0.326872
0.43115
0.889078
0.408313
0.907289
0.331194
0.809575
0.050807
0.612907
0.470301
0.892054
0.186511
0.631439
0.888371
0.312901
0.86949
0.39644
0.394405

0.485735
0.644806
0.997725
0.957894
0.433064
0.980377
0.773725
0.912467
0.484238
0.007696
0.340349
0.026033
0.339603
0.589228
0.618273
0.194126
0.423656
0.686156
0.891095
0.572264
0.790559
0.325444
0.291373
0.723347
0.492032
0.011998
0.785377
0.389489
0.437109
0.944737
0.478917
0.297189
0.192458
0.742126
0.207895
0.015901
0.351309
0.20039
0.493881
0.279465
0.673261
0.349045
0.047573
0.726372
0.087079
0.949254
0.101205

0.140696
0.074451
0.493289
0.709335
0.56346
0.52267
0.84562
0.098674
0.133938
0.416562
0.641352
0.254041
0.142431
0.253658
0.523839
0.809952
0.590864
0.939823
0.252291
0.428247
0.326219
0.722252
0.365507
0.515733
0.56796
0.101521
0.290073
0.93407
0.789509
0.202226
0.808389
0.762001
0.421151
0.296014
0.210649
0.368308
0.880595
0.515701
0.689867
0.656143
0.074865
0.621378
0.317545
0.745011
0.69185
0.873305
0.64055

0.799822
0.050448
0.298909
0.836587
0.919256
0.691475
0.938758
0.291292
0.154003
0.474602
0.916555
0.665778
0.043135
0.704139
0.090716
0.284643
0.915895
0.340833
0.370408
0.404984
0.979438
0.056376
0.748898
0.262319
0.283344
0.585228
0.388091
0.834055
0.031733
0.479516
0.040193
0.139006
0.032298
0.70634
0.619106
0.341674
0.714128
0.953095
0.556999
0.952902
0.831092
0.766409
0.912584
0.009221
0.207122
0.530164
0.355037

0.22477
0.307547
0.732818
0.365265
0.739232
0.157176
0.974291
0.078371
0.499597
0.953398
0.706542
0.416503
0.375084
0.306555
0.305718
0.909454
0.101659
0.962944
0.214162
0.12546
0.199793
0.422645
0.571523
0.932061
0.221307
0.377757
0.320825
0.02929
0.445314
0.77069
0.902083
0.280742
0.085716
0.948328
0.023979
0.67721
0.719616
0.81163
0.525773
0.77591
0.055446
0.861278
0.371515
0.020721
0.914219
0.32901
0.523937

0.205862
0.723535
0.985605
0.713917
0.788147
0.111056
0.48214
0.34182
0.667357
0.542326
0.025368
0.126198
0.841428
0.485123
0.476806
0.97458
0.846337
0.639355
0.488487
0.462811
0.149576
0.755997
0.947814
0.748895
0.12683
0.433212
0.187648
0.857988
0.88274
0.677227
0.286839
0.451477
0.834097
0.415741
0.094933
0.366827
0.2307
0.203581
0.921871
0.279201
0.806614
0.979882
0.496631
0.141793
0.032323
0.169984
0.346991

0.809417

year
1
2
3
4
5

compounbd

portfoilo value at the end of


theyear
year
return on portfolio portfolio valeu at the beginning of the
11%
19858947895
22043432163
18%
22043432163
26011249953
22%
26011249953
31733724943
-35%
31733724943
20626921213
6%
20626921213
21864536485

1.94%

row vector
1

column vector
1
2
3
4

30 <-- =MMULT(A2:D2,A5:A8)
1
2

matrix

column vector
1
4
7

3
5
8

3
6
9

1
2
3

matrix
-0.5
1
-0.5

-0.5
0.5
-2
1
2.166666667 -1.166666667

check
1.00
0.00
0.00

0.00
1.00
0.00

0.00
0.00
1.00

product

product
16
32
50

30

37

42

var-covar matrix

expected return
0.1
0.01
0.03
0.05

port1
port2

0.01
0.3
0.06
-0.04

0.03
0.06
0.4
0.02

0.05
-0.04
0.02
0.5

6%
8%
10%
15%

mean
variacne
9.75%
9.75% <-- =SUMPRODUCT(G3:G6,J3:J6)
12.25%
19.03% <-- =SUMPRODUCT(G3:G6,K3:K6)

covariance

11.95% <-- {=MMULT(MMULT(TRANSPOSE(J3:J6),B3:E6),K3:K6)}

sample portfolio calculation


% of port1
80%
% of port2
20%
mean
variance
sd

10.25%
10.83%
32.90%

data table: as fun of port1


sigma
mean
32.90%
10.25%
-50%
52.28%
13.50%
20%
40.49%
11.75%
40%
37.61%
11.25%
60%
35.06%
10.75%
40%
37.61%
11.25%
88%
32.17%
10.05%
110%
30.59%
9.50%
132%
29.74%
8.95%
154%
29.66%
8.40%
176%
30.37%
7.85%
198%
31.82%
7.30%
220%
33.91%
6.75%
242%
36.53%
6.20%
264%
39.57%
5.65%
286%
42.95%
5.10%
308%
46.59%
4.55%
330%
50.44%
4.00%
352%
54.45%
3.45%

16.00%

14.00%

12.00%

10.00%

8.00%

6.00%

4.00%

374%
396%
418%

58.59%
62.84%
67.16%

2.90%
2.35%
1.80%

2.00%

0.00%
0.00%

10.00%

port1

port2
25%
25%
25%
25%

5%
15%
25%
55%

20.00%

30.00%

40.00%

50.00%

60.00%

70.00%

80.00%

var-covar matrix,S

expected return
0.1
0.01
0.03
0.05

constant

asset1
asset2
asset3
asset4
sum

0.01
0.3
0.06
-0.04

0.03
0.06
0.4
0.02

3%
Numerator
0.1268
0.1682
0.1285
0.2356
0.6591

portfolio
0.1924
0.2551
0.1949
0.3575
1.0000

0.05
-0.04
0.02
0.5

6%
8%
10%
15%

var-covar matrix,S

expected return
0.1
0.01
0.03
0.05

constant

asset1
asset2
asset3
asset4
sum

mean
variance
sigma
covar

0.01
0.3
0.06
-0.04

0.03
0.06
0.4
0.02

3%
Numerator
0.1268
0.1682
0.1285
0.2356
0.6591

0.05
-0.04
0.02
0.5

6%
8%
10%
15%

15%
portfolio1
19.24%
25.51%
19.49%
35.75%
100.00%

Numerator
portfolio2
-0.910307052
86.56%
-0.18612735
17.70%
-0.032680255
3.11%
0.077447727
-7.36%
-1.0517 100.00%

10.51%
11.39%
33.75%
4.27%

5.82%
8.73%
29.55%

0.00%

var-covar matrix,S

expected return
0.1
0.01
0.03
0.05

constant

asset1
asset2
asset3
asset4
sum

0.03
0.06
0.4
0.02

0.05
-0.04
0.02
0.5

6%
8%
10%
15%

3%

15%

Numerator
0.1268
0.1682
0.1285
0.2356
0.6591

port1

covar(port,y)
var(y)
beta
expected return

0.01
0.3
0.06
-0.04

portfolio y
19.24%
25.51%
19.49%
35.75%
100.00%

port2

por3

port4

port5

port6

1
0
0
0

0
1
0
0

0.25
0.25
0.25
0.25

0.3
0.6
0.8
-0.7

0.2
0.4
-1.45
1.85

0
1.26
0.6
-0.86

4.55%
11.39%
0.40
6.00%

7.59%
11.39%
0.67
8.00%

10.24%
11.39%
0.90
9.75%

1.67%
11.39%
0.15
4.10%

22.23%
11.39%
1.95
17.65%

0.27%
11.39%
0.02
3.18%

regression:regress expected return on beta


intercept
0.030
slope
0.075
r-2
1.00

port7

port8
0
0
0
1

0
0
1
0

18.21%
11.39%
1.60
15.00%

10.62%
11.39%
0.93
10.00%

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