Portfolio Optimization Dynamic Chart - Excel

							PORTFOLIO OPTIMIZATION
Inputs Expected Return Riskless Rate Risky Asset 1 Risky Asset 2 Risky Asset 3 Risky Asset 4 Risky Asset 5 4.0% 8.0% 9.0% 10.0% 11.0% 12.0% Correlations 3 0.0% 0.0% 100.0% 0.0% 0.0% 20 40 45 50 55 60

Dynamic Chart
Standard Deviation 0.0%
40%
Portfolio Weights

Portfolio Weights in an Optimal (Tangent) Port.

20.0% 20.0% 20.0% 20.0% 20.0%
16%
14%
Expected Return

100 100 100 100 100

30%
20%

10%
0%

1

2

3

4

5

Asset Number

Eff. Trade-Off Line & Eff. Frontier Curve

1 2 3 4 5 2 3 4 5

1 100.0% 0.0% 0.0% 0.0% 0.0% 10 10 10 10

2 0.0% 100.0% 0.0% 0.0% 0.0%

4 0.0% 0.0% 0.0% 100.0% 0.0%

5 0.0% 0.0% 0.0% 0.0% 100.0%

12%

10%
8% 6%

4%
2%

10 10 10 10 10 10

0% 0% 5%
Standard Deviation (s)

10%

15%

20%

25%

1 20.0%

Standard Deviations 2 3 4 20.0% 20.0% 20.0% Variances and Covariances 2 3 4 0.00% 0.00% 0.00% 4.00% 0.00% 0.00% 0.00% 4.00% 0.00% 0.00% 0.00% 4.00% 0.00% 0.00% 0.00%

5 20.0%

1 2 3 4 5

1 4.00% 0.00% 0.00% 0.00% 0.00%

5 0.00% 0.00% 0.00% 0.00% 4.00%

1 2 3 4 5

One plus Exp Ret [1 + E(r)] 104.0% 108.0% 109.0% 110.0% 111.0% 112.0%

Ones 100.0% 100.0% 100.0% 100.0% 100.0%

Outputs A 125 B 137.5 C. 151.275 Delta 3.1E+00 Gamma 0.133333 Index Risky Asset 1 Risky Asset 2 Risky Asset 3 Risky Asset 4 Risky Asset 5 Trade-off Curve Trade-off Curve Trade-off Curve Trade-off Curve Trade-off Curve Trade-off Curve Trade-off Curve Trade-off Curve

0 1 2 3 4 5 6 7

Efficient Efficient Frontier Trade-off Individual Curve Line Asset Standard Expected Expected Expected Deviation Return Return Return 20.0% 8.0% 20.0% 9.0% 20.0% 10.0% 20.0% 11.0% 20.0% 12.0% 25.00% 6.31% 22.84% 6.68% 20.71% 7.05% 18.63% 7.42% 16.62% 7.79% 14.71% 8.15% 12.93% 8.52% 11.36% 8.89%

Optimal Combination of Risky Assets (Tangent Portfolio) 1 13.33% 2 16.67% 3 20.00% 4 23.33% 5 26.67%

Trade-off Curve Trade-off Curve Trade-off Curve Trade-off Curve Trade-off Curve Trade-off Curve Trade-off Curve Trade-off Curve Trade-off Curve Trade-off Curve Trade-off Curve Trade-off Curve Trade-off Curve Optimal Comb. Eff Trade-off Line Eff Trade-off Line Eff Trade-off Line

8 9 10 11 12 13 14 15 16 17 18 19 20 0.0% 100.0% 200.0%

10.09% 9.24% 8.94% 9.24% 10.09% 11.36% 12.93% 14.71% 16.62% 18.63% 20.71% 22.84% 25.00% 9.2% 0.0% 9.2% 18.4%

9.26% 9.63% 10.00% 10.37% 10.74% 11.11% 11.48% 11.85% 12.21% 12.58% 12.95% 13.32% 13.69% 10.3% 4.0% 10.3% 16.7%