Section 123 Portfolio Optimization：123部分投资组合优化

Section 12.3 Portfolio OptimizationThe Two Risky Asset Problem. The riskless rate is 6.0%. Risky Ass

Section12.3PortfolioOptimization TheTwoRiskyAssetProblem. Therisklessrateis6.0%.RiskyAsset1hasameanreturnof 14.0%andastandarddeviationof20.0%.RiskyAsset2hasameanreturnof8.0%anda standarddeviationof15.0%.ThecorrelationbetweenRiskyAsset1and2is0.0%.Graphthe EfficientTrade-OffLineandtheRiskyAssetTrade-OffCurve. SolutionStrategy. DeterminetheRiskyAssetTrade-OffCurvefortwo-assetportfoliosby varyingtheproportioninthefirstassetandcalculatingtheresultingportfolio’sstandarddeviation andexpectedreturn.Then,determinetheOptimalbinationofRiskyAssetsbycalculatingthe optimalproportioninthefirstassetandcalculatingthecorrespondingstandarddeviationand expectedreturn.Finally,determinetheEfficientTrade-OffLinebyvaryingtheamountinthe Optimalbinationandcalculatingthecorrespondingstandarddeviationandexpectedreturn.Then grapheverything. FIGURE12.3.1SpreadsheetforaTwoRiskyAssetExampleofPortfolioOptimization HowToBuildYourOwnSpreadsheetModel. 1. Inputs. EntertheinputsdescribedaboveintotherangesB6:B8andC5:C7. 2. ExpectedReturn–RisklessRate. CalculatetheExpectedReturnminustheRisklessRate byenteringincellD5andcopyingitdowntotherangeD6:D7. =C5-$C$5