Portfolio Risk and Return

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Sheet1

Risk and return with three assets
Asset Data Exp Ret Std Dev
1 Tbills 0.60% 4.30%
2 Bonds 2.10% 10.10%
3 Shares 9.00% 20.80%
VCV Matrix Tbills Bonds Shares Portfolio weights
1 Tbills 0.0018 0.0027 0.0008 1 Tbills 40%
2 Bonds 0.0027 0.0102 0.0048 2 Bonds 50%
3 Shares 0.0008 0.0048 0.0433 3 Shares 10%
Exp Ret 2.19%
Std Dev 6.39%
Variance 0.41%

Sheet2

Risk and return with three assets
Asset Data Exp Ret Std Dev
Tbills 0.60% 4.30% Targe exp return 7%
Bonds 2.10% 10.10%
Shares 9.00% 20.80%
VCV Matrix Tbills Bons Shares Portfolio weights
Tbills 0.0018 0.0027 0.0008 Tbills 0%
Bonds 0.0027 0.0102 0.0048 Bonds 29%
Shares 0.0008 0.0048 0.0433 Shares 71%
Sum 100% =1
Exp Ret 0.070
Std Dev 0.154
Variance 0.024

Sheet3

Generic Portfolio Problems
Risk-free asset and one risky asset
Asset Data Exp Ret Std Dev Risk aversion coefficient (A) 3
Asset 0 1.00% 0
Asset 1 2.10% 0.101
VCV Matrix Asset 0 Asset 1 Optimal portfolio Benefit
Asset 0 0 0
Asset 1 0 0.0102 Weights
Asset 0 Return 1.00%
Asset 1 Std dev 0