project in finance

Sheet1

Asset Allocation Analysis: Risk and Return
		Standard	Correlation
	Return	Deviation	Coefficient	Covariance
HML	12.00%	29.00%	0.2000	0.0087
UMD	8.00%	15.00%
T-Bill	1.00%	0.00%
Weight	Weight		Expected	Standard	Reward to
Security 1	Security 2		Return	Deviation	Variability
1.0	0.0		0.12000	0.29000	0.37931
0.9	0.1		0.11600	0.26441	0.40089
0.8	0.2		0.11200	0.23981	0.42534
0.7	0.3		0.10800	0.21654	0.45258
0.6	0.4		0.10400	0.19507	0.48188
0.5	0.5		0.10000	0.17607	0.51117
0.4	0.6		0.09600	0.16041	0.53612
0.3	0.7		0.09200	0.14916	0.54975
0.2	0.8		0.08800	0.14335	0.54414
0.1	0.9		0.08400	0.14364	0.51518
0.0	1.0		0.08000	0.15000	0.46667
Minimum Variance Portfolio
		Short Sales	No Short
		Allowed	Sales
	Weight 1	0.15471	0.15471
	Weight 2	0.84529	0.84529
	Return	0.08619	0.08619
	Risk	0.14271	0.14271
Optimal Risky Portfolio
		Short Sales	No Short
		Allowed	Sales
	Weight 1	0.27457	0.27457
	Weight 2	0.72543	0.72543
	Return	0.09098	0.09098
	Risk	0.14713	0.14713		LEGEND:
	Reward-to-Variability	0.55043	0.55043		Enter data
					Value calculated
					See comment

Portfolio Risk and Return

Portfolio Opportunity Set 0.28999999999999998 0.26440877443836847 0.23980825673858688 0.2165363710788559 0.1950692184841063 0.17606816861659008 0.16041196962820448 0.14915763473587265 0.14334573589751459 0.14363843496780382 0.15 0.12 0.11599999999999999 0.112 0.10799999999999998 0.104 0.1 9.6000000000000002E-2 9.1999999999999998E-2 8.7999999999999995E-2 8.4000000000000005E-2 0.08 Capital Allocation Line (MV) 0 0.14270607002340391 0.01 8.6188340807174885E-2 Capital Allocation Line (OR) 0 0.14712786546738843 0.01 9.0982931135962328E-2

Standard Deviation

Expected return