PORTFOLIO OPTIMIZATION Many Assets

One plus
Inputs Expected Standard Exp Ret

Expected Return
Return Deviation [1 + E(r)] Ones
Riskless Rate (r) 4.0% 0.0% 104.0% Eff. Trade-Off Line & Eff. Frontier Curve
16.0%
Risky Asset 1 8.0% 20.0% 108.0% 100.0%
Risky Asset 2 9.0% 20.0% 109.0% 100.0% 14.0%
Risky Asset 3 10.0% 20.0% 110.0% 100.0%
12.0%
Risky Asset 4 11.0% 20.0% 111.0% 100.0%
Risky Asset 5 12.0% 20.0% 112.0% 100.0% 10.0%

8.0%
Correlations
1 2 3 4 5 6.0%
1 100.0% 0.0% 0.0% 0.0% 0.0%
4.0%
2 0.0% 100.0% 0.0% 0.0% 0.0%
3 0.0% 0.0% 100.0% 0.0% 0.0% 2.0%
4 0.0% 0.0% 0.0% 100.0% 0.0%
0.0%
5 0.0% 0.0% 0.0% 0.0% 100.0%
0.0% 5.0% 10.0% 15.0% 20.0% 25.0%
Standard Deviation (s)
Standard Deviations
1 2 3 4 5
20.0% 20.0% 20.0% 20.0% 20.0% Portfolio Weights in an
Optimal (Tangent) Portfolio
Variances and Covariances 30.00%

1 2 3 4 5 25.00%
Portfolio Weights

1 4.00% 0.00% 0.00% 0.00% 0.00% 20.00%

2 0.00% 4.00% 0.00% 0.00% 0.00%
3 0.00% 0.00% 4.00% 0.00% 0.00% 15.00%

4 0.00% 0.00% 0.00% 4.00% 0.00% 10.00%

5 0.00% 0.00% 0.00% 0.00% 4.00% 5.00%

0.00%
1 2 3 4 5
Asset Number

Outputs
A 125
B 137.5
C. 151.275 Efficient Efficient
Delta 3.1E+00 Frontier Trade-off Individual
Gamma 0.133333 Curve Line Asset Optimal Combination
Standard Expected Expected Expected of Risky Assets
Index Deviation Return Return Return (Tangent Portfolio)
Risky Asset 1 20.0% 8.0% 1 13.33%
Risky Asset 2 20.0% 9.0% 2 16.67%
Risky Asset 3 20.0% 10.0% 3 20.00%
Risky Asset 4 20.0% 11.0% 4 23.33%
Risky Asset 5 20.0% 12.0% 5 26.67%
Trade-off Curve 0 25.00% 6.31%
Trade-off Curve 1 22.84% 6.68%
Trade-off Curve 2 20.71% 7.05%
Trade-off Curve 3 18.63% 7.42%
Trade-off Curve 4 16.62% 7.79%
Trade-off Curve 5 14.71% 8.15%
Trade-off Curve 6 12.93% 8.52%
Trade-off Curve 7 11.36% 8.89%
Trade-off Curve 8 10.09% 9.26%
Trade-off Curve 9 9.24% 9.63%
Trade-off Curve 10 8.94% 10.00%
Trade-off Curve 11 9.24% 10.37%
Trade-off Curve 12 10.09% 10.74%
Trade-off Curve 13 11.36% 11.11%
Trade-off Curve 14 12.93% 11.48%
Trade-off Curve 15 14.71% 11.85%
Trade-off Curve 16 16.62% 12.21%
Trade-off Curve 17 18.63% 12.58%
Trade-off Curve 18 20.71% 12.95%
Trade-off Curve 19 22.84% 13.32%
Trade-off Curve 20 25.00% 13.69%
Optimal Comb. 9.2% 10.3%
Eff Trade-off Line 0.0% 0.0% 4.0%
Eff Trade-off Line 100.0% 9.2% 10.3%
Eff Trade-off Line 200.0% 18.4% 16.7%
ontier Curve

15.0% 20.0% 25.0%

viation (s)

hts in an
nt) Portfolio

3 4 5
mber