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  • ER Covariance: Recession 0.33 - 0.07 0.17 Normal 0.33 0.12 0.07 Boom 0.33 0.28 - 0.03

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    This document analyzes the expected returns, variances, and covariances of stock and bond funds under different economic scenarios. It models portfolios with varying weightages of the two funds. The optimal portfolio is found to have a 50:50 weighting of stocks and bonds, yielding an expected return of 0.09 and standard deviation of 0.03. Tables show the stock and bond funds' individual expected returns, variances, and covariance, and how the portfolio risk and return changes with different weightings.

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    Frontier for finalaxcals

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    Eff.frontier

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    This document analyzes the expected returns, variances, and covariances of stock and bond funds under different economic scenarios. It models portfolios with varying weightages of the two funds. The optimal portfolio is found to have a 50:50 weighting of stocks and bonds, yielding an expected return of 0.09 and standard deviation of 0.03. Tables show the stock and bond funds' individual expected returns, variances, and covariance, and how the portfolio risk and return changes with different weightings.

    Авторское право:

    © All Rights Reserved
    Скачайте в формате XLSX, PDF, TXT или читайте онлайн в Scribd
    Отметить как неприемлемый контент
    23 просмотров3 страницы

    ER Covariance: Recession 0.33 - 0.07 0.17 Normal 0.33 0.12 0.07 Boom 0.33 0.28 - 0.03

    Загружено:

    random
    This document analyzes the expected returns, variances, and covariances of stock and bond funds under different economic scenarios. It models portfolios with varying weightages of the two funds. The optimal portfolio is found to have a 50:50 weighting of stocks and bonds, yielding an expected return of 0.09 and standard deviation of 0.03. Tables show the stock and bond funds' individual expected returns, variances, and covariance, and how the portfolio risk and return changes with different weightings.

    Авторское право:

    © All Rights Reserved
    Скачайте в формате XLSX, PDF, TXT или читайте онлайн в Scribd
    Отметить как неприемлемый контент
    из 3

    Rate of Return

    Scenario Probability Stock fund Bond fund


    Recession 0.33 -0.07 0.17
    Normal 0.33 0.12 0.07
    Boom 0.33 0.28 -0.03
    ER
    Covariance

    Stock fund Bond fund


    Expected return 0.11 0.07
    Variance 0.0205 0.0067
    Standard Deviation 0.14 0.08
    Weightage in Portfolio 0.5 0.5

    W of stock PSD PR
    0.5 0.03 0.090
    0
    0.1
    0.2
    0.3
    0.4
    0.5
    0.6
    0.7
    0.8
    0.9
    1
    1.1
    1.2
    1.3
    1.4
    1.5
    SR*P BR*P
    -0.023 0.057
    0.040 0.023
    0.093 -0.010
    0.110 0.070
    STOCK VARIENCE
    X- (X-)^2
    -0.18 0.03
    0.01 0.00
    0.17 0.03
    Portfolio (50:50) Ret/risk Variance
    0.090 SD
    0.00095 Covariance
    0.03 2.92 corelation
    1

    PR
    0.100

    0.090

    0.080

    0.070

    0.060

    0.050

    0.040

    0.030

    0.020

    0.010

    0.000
    0.03 0.03 0.04 0.04 0.05 0.05 0.06 0.06 0.07
    CK VARIENCE cov BOND VARIENCE
    ((X-)^2)p
    0.0108 -0.006 0.10 0.010 0.0033333
    3.333333E-005 0 0.00 0.000 0
    0.0096333333 -0.005667 -0.10 0.010 0.0033333
    0.0204667 0.006667
    0.1430617582 0.0816497
    -0.011667
    -0.998778

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