Optimal risky portfolio (i.e. the optimal combination of stocks and bonds)? What is the return, risk and
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Optimal risky portfolio (i.e. the optimal combination of stocks and bonds)?
What is the return, risk and Sharpe Ratio of the optimal risky portfolio?
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Risk Free Rate E(rtn) Stocks Vaolatility Stocks E(rtn) Bonds Vaolatility Bonds Correlation Stock Allocation Bond 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% 60% 65% 70% 75% 80% 85% 90% 95% 100% 3% 10% 15% 6% 8% 0.25 Allocation Return 100% 95% 90% 6.00% 8.00% 6.20% 7.82% 6.40% 7.71% 6.60% 7.68% 6.80% 7.72% 75% 7.00% 7.83% 70% 7.20% 8.01% 65% 7.40% 8.26% 0.5326 60% 7.60% 8.57% 0.5368 55% 7.80% 8.93% 0.5374 |||| 50% 8.00% 9.34% 0.5353 45% 8.20% 9.79% 0.5311 40% 8.40% 10.28% 0.5254 35% 8.60% 10.80% 0.5187 30% 8.80% 11.34% 25% 9.00% 11.91% 9.20% 12.50% 9.40% 13.10% 9.60% 13.72% 9.80% 14.36% 10.00% 15.00% 85% 80% 20% 15% 10% 5% Risk 0% Sharpe Ratio 0.3750 0.4091 0.4408 0.4689 0.4924 0.5108 0.5241 0.5114 0.5038 0.4961 0.4885 0.4810 0.4737 0.4667 Risk Free Rate E(rtn) Stocks Vaolatility Stocks E(rtn) Bonds Vaolatility Bonds Correlation Stock Allocation Bond 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% 60% 65% 70% 75% 80% 85% 90% 95% 100% 3% 10% 15% 6% 8% 0.25 Allocation Return 100% 95% 90% 6.00% 8.00% 6.20% 7.82% 6.40% 7.71% 6.60% 7.68% 6.80% 7.72% 75% 7.00% 7.83% 70% 7.20% 8.01% 65% 7.40% 8.26% 0.5326 60% 7.60% 8.57% 0.5368 55% 7.80% 8.93% 0.5374 |||| 50% 8.00% 9.34% 0.5353 45% 8.20% 9.79% 0.5311 40% 8.40% 10.28% 0.5254 35% 8.60% 10.80% 0.5187 30% 8.80% 11.34% 25% 9.00% 11.91% 9.20% 12.50% 9.40% 13.10% 9.60% 13.72% 9.80% 14.36% 10.00% 15.00% 85% 80% 20% 15% 10% 5% Risk 0% Sharpe Ratio 0.3750 0.4091 0.4408 0.4689 0.4924 0.5108 0.5241 0.5114 0.5038 0.4961 0.4885 0.4810 0.4737 0.4667
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Related Book For
Fundamentals of Financial Management
ISBN: 978-1337395250
15th edition
Authors: Eugene F. Brigham, Joel F. Houston
Posted Date:
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