Finance 8330
Investment Policy & Portfolio Management
Assignment B - The Two Asset Portfolio
Security Statistics
Statistic
A
Z
Covariance Matrix
E[R]
8.6%
5.5%
A
Z
σ
18.0%
8.0%
A
3.240%
-0.864%
-0.864%
Z
-0.864%
0.640%
(0.60)
Correlation Matrix
A
Z
A
1.000
-0.600
Z
-0.600
1.000
Risky Portfolio - Two Assets
Portfolio
A
Z
Labels
A
1.0
0.0
8.600%
3.240%
18.000%
A
3.240%
B
0.9
0.1
8.290%
2.475%
15.733%
C
0.8
0.2
7.980%
1.823%
13.501%
D
0.7
0.3
7.670%
1.282%
11.324%
E
0.6
0.4
7.360%
0.854%
9.242%
F
0.5
0.5
7.050%
0.538%
7.335%
G
0.4
0.6
6.740%
0.334%
5.780%
H
0.3
0.7
6.430%
0.242%
4.923%
I
0.2
0.8
6.120%
0.263%
5.126%
J
0.1
0.9
5.810%
0.395%
6.287%
Z
0.0
1.0
5.500%
0.640%
8.000%
Z
Label:
Label:
A & Z
σ
A,Z
σ
A,Z
ρ
A,Z
ρ
A,Z
R
p
σ
2
p
σ
p
ρ
A,Z
= -0.60
4
2.5%
3.5%
4.5%
5.5%
6.5%
7.5%
8.5%
9.5%
Portfolio Return
