Question: Plot the curve for the risks and expected returns of the optimal portfolio combinations in the 4-asset case detailed in Exhibit 6, namely: US Equities,
Plot the curve for the risks and expected returns of the optimal portfolio combinations in the 4-asset case detailed in Exhibit 6, namely: US Equities, Foreign Equities, Bonds, and REITs.
| Exhibit 6 Array of Optimal Portfolios with Four Asset Classes: U.S., Foreign, Bonds, and REITs | ||||||
| Asset Allocation | ||||||
| Portfolio | Expected Ret. | Stdev | US Equity | Foreign Equity | Bonds | REITs |
| 1 | 7.00% | 8.93% | 0.000 | 0.102 | 0.678 | 0.220 |
| 2 | 7.50% | 8.66% | 0.000 | 0.170 | 0.605 | 0.225 |
| 3 | 8.00% | 8.57% | 0.000 | 0.239 | 0.532 | 0.229 |
| 4 | 8.50% | 8.66% | 0.004 | 0.303 | 0.460 | 0.232 |
| 5 | 9.00% | 8.89% | 0.059 | 0.325 | 0.400 | 0.216 |
| 6 | 9.50% | 9.24% | 0.114 | 0.347 | 0.340 | 0.199 |
| 7 | 10.00% | 9.69% | 0.169 | 0.369 | 0.280 | 0.183 |
| 8 | 10.50% | 10.23% | 0.224 | 0.391 | 0.219 | 0.166 |
| 9 | 11.00% | 10.85% | 0.278 | 0.412 | 0.159 | 0.150 |
| 10 | 11.50% | 11.52% | 0.333 | 0.434 | 0.099 | 0.133 |
| 11 | 12.00% | 12.25% | 0.388 | 0.456 | 0.039 | 0.117 |
| 12 | 12.50% | 13.04% | 0.465 | 0.481 | 0.000 | 0.054 |
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