NAME ZAHOOR AHMED M.

KASHIF HUSSA
ENRLL 02-111181-256 02-111181-246

Variance-covariance matrix

0.20 0.01 0.03 0.05

0.01 0.30 0.06 0.05
0.06 0.06 0.40 0.02
0.07 0.04 0.02 0.40

• Weights of portfolio X and Y

Portfolio X 0.2 0.4 0.2
Portfolio Y 0.3 0.1 0.2

1.Calculate envelope portfolio with constant of 0.06.

constant 0.06

z
-0.4817
0.1698
0.4917
0.8202

2.Calculate portfolio expected return and standard deviation.

Portfolio expected return, E(rx) 16.01%

Portfolio standard devation, sx 0.62

3.Find efficient portfolio.

Data table with constant as variable

Constant sx E(rx)
 0.62 16.01%
-0.08
-0.07
-0.06
-0.05
-0.04
-0.03
-0.02
-0.01
0.00
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08

62.00% 16.01%

-0.08
-0.07
-0.06
-0.05
-0.04
-0.03
-0.02
-0.01
0.00
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
 Assignment No 3

Financial Modeling

M.KASHIF HUSSAIN
02-111181-246

Mean
returns
E(r)
5%
9%
11%
14%

0.2
0.4
 Chart Title
1200.00%

1000.00%

800.00%

600.00%

400.00%

200.00%

0.00%
0.00% 200.00% 400.00% 600.00% 800.00% 1000.00% 1200.00%
4. Calculate expected return of the portfolio X & Y.
5. Calculate, Mean, variance, Standard deviation, covariance and correlation of portfolio X and Y.

• Weights of portfolio X and Y

Portfolio X

0.2 0.4 0.2 0.2

Portfolio Y 0.3 0.1 0.2 0.4

PPL RETURN SHEL

1 3-Jan-22 79.25 121
2 4-Jan-22 79.19 -0.08% 120.58
3 5-Jan-22 79.51 0.40% 123.5
4 6-Jan-22 79.38 -0.16% 123.15
5 7-Jan-22 78.87 -0.64% 120.44
6 10-Jan-22 78.79 -0.10% 122.5
7 11-Jan-22 78.88 0.11% 125.1
8 12-Jan-22 78.1 -0.99% 125
9 13-Jan-22 78.9 1.02% 123.06
10 14-Jan-22 79.2 0.38% 122.99
11 17-Jan-22 79.7 0.63% 121.6
12 18-Jan-22 79.89 0.24% 121.6
13 19-Jan-22 80.6 0.88% 123.99
14 20-Jan-22 78.8 -2.26% 120
15 21-Jan-22 80.55 2.20% 120
16 24-Jan-22 80.6 0.06% 120.45
17 25-Jan-22 80.25 -0.44% 121
18 26-Jan-22 79.95 -0.37% 121.2
19 27-Jan-22 79.26 -0.87% 120.4
20 28-Jan-22 79.27 0.01% 120.1
21 31-Jan-22 79.3 0.04% 120.31
22 1-Feb-22 79.4 0.13% 122.5
23 2-Feb-22 80.97 1.96% 122.5
24 3-Feb-22 83 2.48% 125.01
25 4-Feb-22 82.3 -0.85% 131.78
26 7-Feb-22 81.49 -0.99% 141
27 8-Feb-22 82.51 1.24% 135.01
28 9-Feb-22 82 -0.62% 134
29 10-Feb-22 82.95 1.15% 134.93
30 11-Feb-22 82.5 -0.54% 132.25
31 14-Feb-22 82.49 -0.01% 130.21
32 15-Feb-22 81.56 -1.13% 124.65
33 16-Feb-22 81.49 -0.09% 128.95
34 17-Feb-22 80.98 -0.63% 127
35 18-Feb-22 80 -1.22% 125.51
36 21-Feb-22 81.89 2.34% 126.87
37 22-Feb-22 80.4 -1.84% 124.1
38 23-Feb-22 80.47 0.09% 123
39 24-Feb-22 79 -1.84% 120
40 25-Feb-22 77.98 -1.30% 116.11
41 28-Feb-22 77.85 -0.17% 120.11
42 1-Mar-22 84 7.60% 122.99
43 2-Mar-22 81.5 -3.02% 121
44 3-Mar-22 84.55 3.67% 120.75
45 4-Mar-22 87.5 3.43% 119.01
46 7-Mar-22 87 -0.57% 118.9
47 8-Mar-22 84.35 -3.09% 113.35
48 9-Mar-22 81.45 -3.50% 115
49 10-Mar-22 82.7 1.52% 117.7
50 11-Mar-22 82.5 -0.24% 115.17
51 14-Mar-22 81.2 -1.59% 114.88
52 15-Mar-22 79.89 -1.63% 115.01
53 16-Mar-22 77.98 -2.42% 117.25
54 17-Mar-22 78 0.03% 115.5
55 18-Mar-22 75 -3.92% 113.51
56 21-Mar-22 73.65 -1.82% 112
57 22-Mar-22 74.97 1.78% 111.1
58 24-Mar-22 72.48 -3.38% 111.01
59 25-Mar-22 73.47 1.36% 112
60 28-Mar-22 72.25 -1.67% 111.01
61 29-Mar-22 73.96 2.34% 112.99
62 30-Mar-22 73.48 -0.65% 114.35
63 31-Mar-22 73.49 0.01% 113.12

PSO
PPL RETURN SHEL RETURN RETURN
3-Jan-22
4-Jan-22 -0.08% -0.35% 0.59%
5-Jan-22 0.40% 2.39% 0.01%
6-Jan-22 -0.16% -0.28% 2.16%
7-Jan-22 -0.64% -2.23% -2.15%
10-Jan-22 -0.10% 1.70% 0.38%
11-Jan-22 0.11% 2.10% 2.18%
12-Jan-22 -0.99% -0.08% -1.16%
13-Jan-22 1.02% -1.56% 1.66%
14-Jan-22 0.38% -0.06% -0.45%
17-Jan-22 0.63% -1.14% -0.46%
18-Jan-22 0.24% 0.00% -0.53%
19-Jan-22 0.88% 1.95% 0.27%
20-Jan-22 -2.26% -3.27% -3.83%
21-Jan-22 2.20% 0.00% 1.11%
24-Jan-22 0.06% 0.37% -0.17%
25-Jan-22 -0.44% 0.46% 2.88%
26-Jan-22 -0.37% 0.17% 0.16%
27-Jan-22 -0.87% -0.66% 0.51%
28-Jan-22 0.01% -0.25% -0.41%
31-Jan-22 0.04% 0.17% -0.67%
1-Feb-22 0.13% 1.80% 1.19%
2-Feb-22 1.96% 0.00% -0.04%
3-Feb-22 2.48% 2.03% 3.19%
4-Feb-22 -0.85% 5.27% -1.55%
7-Feb-22 -0.99% 6.76% 1.94%
8-Feb-22 1.24% -4.34% -0.19%
9-Feb-22 -0.62% -0.75% -0.27%
10-Feb-22 1.15% 0.69% 1.61%
11-Feb-22 -0.54% -2.01% -0.25%
14-Feb-22 -0.01% -1.55% -4.56%
15-Feb-22 -1.13% -4.36% -2.28%
16-Feb-22 -0.09% 3.39% 0.70%
17-Feb-22 -0.63% -1.52% -1.72%
18-Feb-22 -1.22% -1.18% -0.64%
21-Feb-22 2.34% 1.08% 1.38%
22-Feb-22 -1.84% -2.21% -0.37%
23-Feb-22 0.09% -0.89% 0.07%
24-Feb-22 -1.84% -2.47% -1.91%
25-Feb-22 -1.30% -3.30% -1.69%
28-Feb-22 -0.17% 3.39% -0.01%
1-Mar-22 7.60% 2.37% 5.53%
2-Mar-22 -3.02% -1.63% -3.81%
3-Mar-22 3.67% -0.21% -1.01%
4-Mar-22 3.43% -1.45% -1.85%
7-Mar-22 -0.57% -0.09% -0.92%
8-Mar-22 -3.09% -4.78% -4.69%
9-Mar-22 -3.50% 1.45% -2.46%
10-Mar-22 1.52% 2.32% 0.93%
11-Mar-22 -0.24% -2.17% 0.60%
14-Mar-22 -1.59% -0.25% -0.79%
15-Mar-22 -1.63% 0.11% -0.43%
 16-Mar-22 -2.42% 1.93% 1.83%
17-Mar-22 0.03% -1.50% 0.63%
18-Mar-22 -3.92% -1.74% -2.45%
21-Mar-22 -1.82% -1.34% -3.14%
22-Mar-22 1.78% -0.81% 1.55%
24-Mar-22 -3.38% -0.08% -0.91%
25-Mar-22 1.36% 0.89% 0.32%
28-Mar-22 -1.67% -0.89% -0.52%
29-Mar-22 2.34% 1.77% 2.58%
30-Mar-22 -0.65% 1.20% 2.73%
31-Mar-22 0.01% -1.08% -1.43%

Asset returns PPL PSO SHEL EFERT

Mean return -0.12% -0.11% -0.18% 0.28%
Variance 0.0004 0.0004 0.0004 0.0002
Standard deviation 1.88% 2.12% 1.89% 1.23%

X Y
Portfolio mean return -0.05% 0.03%
Portfolio return variance 0.000192 0.000143
Portfolio return standard deviation 1.39% 1.20%
covariance 0.000148
correlation 0.892
ppl
3-Jan-22 79.25 79.79 78.6
4-Jan-22 79.19 80.15 79.1
5-Jan-22 79.51 80.2 79
6-Jan-22 79.38 79.38 78.01
7-Jan-22 78.87 78.87 78.03
10-Jan-22 78.79 79.6 78.1
11-Jan-22 78.88 78.88 77.91
12-Jan-22 78.1 79.85 78.06
13-Jan-22 78.9 79.24 78.5
14-Jan-22 79.2 79.9 78.41
17-Jan-22 79.7 80 78.7
18-Jan-22 79.89 81.3 79.5
19-Jan-22 80.6 81.2 78.61
20-Jan-22 78.8 80.65 78.51
21-Jan-22 80.55 80.85 79.6
24-Jan-22 80.6 80.7 79.75
25-Jan-22 80.25 80.41 79.55
26-Jan-22 79.95 80.17 79.05
27-Jan-22 79.26 80.1 78.51
28-Jan-22 79.27 79.6 78.5
31-Jan-22 79.3
1-Feb-22 79.4 81 79.17
2-Feb-22 80.97 82.75 80.26
3-Feb-22 83 83 81.35
4-Feb-22 82.3 83.6 81.1
7-Feb-22 81.49 83.75 81.49
8-Feb-22 82.51 83.23 81.9
9-Feb-22 82 83.98 81.5
10-Feb-22 82.95 83.75 82.01
11-Feb-22 82.5 83.3 81.7
14-Feb-22 82.49 82.5 81.7
15-Feb-22 81.56 81.98 80.3
16-Feb-22 81.49 81.49 80.01
17-Feb-22 80.98 81.98 79.6
18-Feb-22 80 81.7 79.6
21-Feb-22 81.89 81.89 80.2
22-Feb-22 80.4 80.4 78.9
23-Feb-22 80.47 80.47 78.9
24-Feb-22 79 80 76.5
25-Feb-22 77.98 78.72 75.67
28-Feb-22 77.85
1-Mar-22 84 84 81.75
2-Mar-22 81.5 84.5 81.5
3-Mar-22 84.55 89 84
4-Mar-22 87.5 88.5 86.6
7-Mar-22 87 88.35 83.51
8-Mar-22 84.35 85.59 81.55
9-Mar-22 81.45 83 80
10-Mar-22 82.7 82.75 81.3
11-Mar-22 82.5 82.5 80.6
14-Mar-22 81.2 81.28 78.75
15-Mar-22 79.89 79.89 77.26
16-Mar-22 77.98 78.88 77.65
 17-Mar-22 78 78.1 76.6
18-Mar-22 75 76 72
21-Mar-22 73.65 75.5 73.06
22-Mar-22 74.97 75 71.61
24-Mar-22 72.48 73 71.57
25-Mar-22 73.47 73.47 72.02
28-Mar-22 72.25 73.55 71.49
29-Mar-22 73.96 74.49 73.34
30-Mar-22 73.48 73.5 72
31-Mar-22 73.49

ogdc

1-Mar-22 152.95 152.95 147.1

2-Mar-22 155.75 155.75 145.05
3-Mar-22 160.6 160.6 149.95
4-Mar-22 150 150.01 150
7-Mar-22 144 146 144
8-Mar-22 145 148 140.01
9-Mar-22 140 140.5 136.15
10-Mar-22 139.2 146.7 138
11-Mar-22 140 145 138
14-Mar-22 137.25 140 137.25
15-Mar-22 139 140 137.51
16-Mar-22 140 142 139.97
18-Mar-22 134 135 130.2
21-Mar-22 130.15 132.95 128.25
22-Mar-22 133.5 135.01 130
24-Mar-22 135 135 134
25-Mar-22 135 136 134
28-Mar-22 134.5 136 134.5
29-Mar-22 136.95 137.95 136.95
30-Mar-22 137 140 137
31-Mar-22 141.5
4-Feb-22 89.15 90.98 88.7
7-Feb-22 89.75 91.84 89.6
8-Feb-22 91.59 92.4 90.8
9-Feb-22 91.35 93.25 90.85
10-Feb-22 91.5 92.5 90.75
11-Feb-22 90.55 91.45 89.65
14-Feb-22 90.24 90.55 89.2
15-Feb-22 89.85 90.15 88.75
16-Feb-22 89.2 89.34 88.15
17-Feb-22 88.33 89.8 88
18-Feb-22 88.25 90.68 88.25
21-Feb-22 90.7 92.15 89.65
22-Feb-22 90 90.49 88.4
23-Feb-22 89.45 90.4 87.12
24-Feb-22 88.25 88.25 86.35
25-Feb-22 87.5 87.95 85.8
28-Feb-22 86.5
1-Feb-22 87.5 88.2 87.02
2-Feb-22 88.5 89.9 88.11
3-Feb-22 90.2 90.35 88.01
4-Feb-22 89.15 90.98 88.7
7-Feb-22 89.75 91.84 89.6
8-Feb-22 91.59 92.4 90.8
9-Feb-22 91.35 93.25 90.85
10-Feb-22 91.5 92.5 90.75
11-Feb-22 90.55 91.45 89.65
14-Feb-22 90.24 90.55 89.2
15-Feb-22 89.85 90.15 88.75
16-Feb-22 89.2 89.34 88.15
17-Feb-22 88.33 89.8 88
18-Feb-22 88.25 90.68 88.25
21-Feb-22 90.7 92.15 89.65
22-Feb-22 90 90.49 88.4
23-Feb-22 89.45 90.4 87.12
24-Feb-22 88.25 88.25 86.35
25-Feb-22 87.5 87.95 85.8
28-Feb-22 86.5
 PPL = Pakistan Patroleum Limited
ation of portfolio X and Y. PSO = Pakistan State Oil
SHEL = Shell Pakistan limited
EFERT = Engro Fertilizers Limited

RETURN PSO RETURN EFERT RETURN

181.91 76.15
-0.35% 182.98 0.59% 76.44 0.38%
2.39% 183 0.01% 77 0.73%
-0.28% 187 2.16% 77.95 1.23%
-2.23% 183.02 -2.15% 78.8 1.08%
1.70% 183.71 0.38% 81.45 3.31%
2.10% 187.75 2.18% 79.3 -2.68%
-0.08% 185.58 -1.16% 79.32 0.03%
-1.56% 188.69 1.66% 80.2 1.10%
-0.06% 187.85 -0.45% 80.8 0.75%
-1.14% 186.99 -0.46% 80.36 -0.55%
0.00% 186 -0.53% 80.75 0.48%
1.95% 186.5 0.27% 80.05 -0.87%
-3.27% 179.5 -3.83% 80 -0.06%
0.00% 181.5 1.11% 79.51 -0.61%
0.37% 181.2 -0.17% 79.45 -0.08%
0.46% 186.5 2.88% 80.25 1.00%
0.17% 186.8 0.16% 80.4 0.19%
-0.66% 187.76 0.51% 80.4 0.00%
-0.25% 187 -0.41% 80.54 0.17%
0.17% 185.75 -0.67% 81.45 1.12%
1.80% 187.97 1.19% 82.5 1.28%
0.00% 187.9 -0.04% 83.28 0.94%
2.03% 193.99 3.19% 83.45 0.20%
5.27% 191 -1.55% 83.8 0.42%
6.76% 194.75 1.94% 84.33 0.63%
-4.34% 194.38 -0.19% 84 -0.39%
-0.75% 193.86 -0.27% 84.74 0.88%
0.69% 197 1.61% 85.2 0.54%
-2.01% 196.5 -0.25% 84.3 -1.06%
-1.55% 187.75 -4.56% 83 -1.55%
 -4.36% 183.51 -2.28% 83.61 0.73%
3.39% 184.8 0.70% 84.34 0.87%
-1.52% 181.65 -1.72% 83.9 -0.52%
-1.18% 180.5 -0.64% 84.85 1.13%
1.08% 183 1.38% 86.05 1.40%
-2.21% 182.32 -0.37% 86.05 0.00%
-0.89% 182.45 0.07% 86.2 0.17%
-2.47% 179 -1.91% 85.9 -0.35%
-3.30% 176 -1.69% 86 0.12%
3.39% 175.99 -0.01% 87 1.16%
2.37% 186 5.53% 89 2.27%
-1.63% 179.05 -3.81% 87.76 -1.40%
-0.21% 177.25 -1.01% 88 0.27%
-1.45% 174 -1.85% 88.4 0.45%
-0.09% 172.4 -0.92% 89.98 1.77%
-4.78% 164.5 -4.69% 88.4 -1.77%
1.45% 160.5 -2.46% 87.89 -0.58%
2.32% 162 0.93% 89.9 2.26%
-2.17% 162.98 0.60% 89.6 -0.33%
-0.25% 161.7 -0.79% 86.01 -4.09%
0.11% 161 -0.43% 87.51 1.73%
1.93% 163.97 1.83% 87 -0.58%
-1.50% 165 0.63% 86.69 -0.36%
-1.74% 161 -2.45% 85.7 -1.15%
-1.34% 156.02 -3.14% 88.99 3.77%
-0.81% 158.45 1.55% 89.1 0.12%
-0.08% 157.01 -0.91% 89 -0.11%
0.89% 157.51 0.32% 90.15 1.28%
-0.89% 156.7 -0.52% 91.15 1.10%
1.77% 160.8 2.58% 91.15 0.00%
1.20% 165.25 2.73% 91 -0.16%
-1.08% 162.9 -1.43% 90.7 -0.33%

EFERT PORFOLIO X PORFOLIO Y return minus return minus

RETURN RETURNS RETURNS mean (X) mean (Y)

0.38% 0.04% 0.21% 0.09% 0.18%

0.73% 1.19% 0.65% 1.23% 0.62%
1.23% 0.53% 0.85% 0.58% 0.82%
1.08% -1.23% -0.41% -1.19% -0.44%
3.31% 1.39% 1.54% 1.44% 1.51%
-2.68% 0.76% -0.39% 0.81% -0.42%
 0.03% -0.46% -0.53% -0.41% -0.56%
1.10% 0.13% 0.92% 0.18% 0.89%
0.75% 0.11% 0.32% 0.16% 0.29%
-0.55% -0.53% -0.24% -0.48% -0.26%
0.48% 0.04% 0.16% 0.09% 0.13%
-0.87% 0.84% 0.17% 0.88% 0.14%
-0.06% -2.54% -1.79% -2.49% -1.82%
-0.61% 0.54% 0.63% 0.59% 0.60%
-0.08% 0.11% -0.01% 0.16% -0.04%
1.00% 0.87% 0.89% 0.92% 0.86%
0.19% 0.06% 0.01% 0.11% -0.02%
0.00% -0.34% -0.22% -0.29% -0.25%
0.17% -0.14% -0.03% -0.10% -0.06%
1.12% 0.17% 0.34% 0.22% 0.31%
1.28% 1.24% 0.97% 1.29% 0.94%
0.94% 0.57% 0.96% 0.62% 0.93%
0.20% 1.99% 1.67% 2.03% 1.64%
0.42% 1.71% 0.13% 1.76% 0.10%
0.63% 3.02% 1.02% 3.07% 0.99%
-0.39% -1.60% -0.26% -1.56% -0.29%
0.88% -0.30% 0.04% -0.26% 0.01%
0.54% 0.94% 0.95% 0.98% 0.92%
-1.06% -1.17% -0.84% -1.13% -0.87%
-1.55% -1.85% -1.69% -1.80% -1.72%
0.73% -2.28% -0.94% -2.24% -0.97%
0.87% 1.65% 0.80% 1.70% 0.77%
-0.52% -1.18% -0.89% -1.14% -0.92%
1.13% -0.62% -0.16% -0.57% -0.19%
1.40% 1.45% 1.65% 1.50% 1.62%
0.00% -1.32% -0.85% -1.28% -0.88%
0.17% -0.29% 0.02% -0.24% -0.01%
-0.35% -1.81% -1.32% -1.76% -1.35%
0.12% -1.89% -1.01% -1.85% -1.04%
1.16% 1.55% 0.75% 1.60% 0.72%
2.27% 4.03% 4.53% 4.08% 4.50%
-1.40% -2.30% -2.39% -2.25% -2.42%
0.27% 0.50% 0.99% 0.55% 0.96%
0.45% -0.17% 0.70% -0.13% 0.67%
1.77% 0.02% 0.34% 0.06% 0.31%
-1.77% -3.82% -3.05% -3.78% -3.08%
-0.58% -0.73% -1.63% -0.68% -1.66%
2.26% 1.87% 1.78% 1.92% 1.75%
-0.33% -0.86% -0.30% -0.82% -0.33%
-4.09% -1.39% -2.30% -1.35% -2.32%
1.73% -0.02% 0.13% 0.03% 0.10%
-0.58% 0.54% -0.40% 0.58% -0.43%
-0.36% -0.54% -0.16% -0.50% -0.19%
-1.15% -2.20% -2.30% -2.15% -2.33%
3.77% -0.77% 0.20% -0.73% 0.17%
0.12% 0.37% 0.81% 0.41% 0.78%
-0.11% -0.91% -1.25% -0.87% -1.28%
1.28% 0.95% 1.07% 0.99% 1.04%
1.10% -0.57% -0.25% -0.53% -0.28%
0.00% 1.69% 1.40% 1.74% 1.37%
-0.16% 0.86% 0.40% 0.91% 0.37%
-0.33% -0.78% -0.52% -0.74% -0.55%

Portfolio X has the highest return as compared to stock Y, but it also has the highest risk,
so we will invest in portfolio X and take a risky decision.
78.94 451,370
79.62 923,790
79.06 902,026
78.18 465,370
78.59 307,563
78.51 1,016,986
78.04 1,049,225
78.86 1,668,719
78.75 494,736
79.62 1,624,511
79.45 592,477
80.14 2,291,121
79.5 2,137,137
80.42 2,160,554
80.19 288,538
80.37 392,963
79.62 718,641
79.2 225,326
78.82 883,770
78.59 1,345,330

80.72 784,293
82.46 1,810,135
81.59 901,647
81.38 2,704,294
82.73 3,294,297
82.05 936,692
82.97 1,884,474
82.29 1,824,809
82.07 819,408
81.86 569,286
80.62 1,206,676
80.29 211,094
80.14 516,026
81.3 653,088
80.33 719,716
79.81 1,160,073
79.8 596,782
78.2 1,708,243
76.64 1,157,364

83.2 5,462,685
84.22 2,497,732
87.51 6,786,944
87.08 1,945,741
84.58 2,414,042
82.32 1,203,280
81.41 1,079,316
82.21 578,446
80.97 274,219
79.13 1,272,137
78.08 800,189
77.96 387,960
 76.85 211,734
72.43 1,605,279
73.35 1,892,503
72.15 1,549,828
72.88 719,066
72.42 561,585
73.35 974,453
73.79 809,493
72.94 568,832

150 5,200
150 21,000
150.05 47,000
150 29,100
145 16,000
141.41 52,500
136.5 11,100
143.6 7,400
143.13 3,400
138.63 300
139.97 10,300
140 14,700
131.56 32,500
129.62 7,900
134.6 15,200
134.5 1,400
134.5 2,500
136 4,400
137 3,000
138 9,100

89.51 7,935,067
91.53 5,926,878
91.23 2,803,404
91.67 5,310,348
90.89 3,345,536
89.97 1,301,741
89.56 2,267,567
89 915,389
88.83 552,856
88.69 2,142,672
90.16 2,067,350
90.19 2,214,161
89.25 2,113,420
88.88 3,938,075
87.19 2,314,921
86.1 2,027,329

88.13 1,063,564
89.6 2,264,735
88.34 1,403,327
89.51 7,935,067
91.53 5,926,878
91.23 2,803,404
91.67 5,310,348
90.89 3,345,536
89.97 1,301,741
89.56 2,267,567
89 915,389
88.83 552,856
88.69 2,142,672
90.16 2,067,350
90.19 2,214,161
89.25 2,113,420
88.88 3,938,075
87.19 2,314,921
86.1 2,027,329
e highest risk,
 Mean returns
Variance-covariance, S
E(r)
0.20 0.01 0.03 0.05 5%
0.01 0.30 0.06 0.05 9%
0.06 0.06 0.40 0.02 11%
0.07 0.04 0.02 0.40 14%

Portfolio x 0.2 0.4 0.2 0.2

Portfolio y 0.3 0.1 0.2 0.4

Portfolio x and y statistics: Mean, variance, covariance, correlation

Mean, E(rx) 9.60% Mean,E(ry) 10.20%
Variance, s x
2
0.1164 Variance, sy 2
0.1306
Covariance(x,y) 0.1036
Correlation, rxy 0.8403

Calculating returns of combinations of Portfolio x and Portfolio y

Proportion of Portfolio x 0.35
Mean return, E(rp) 9.99%
Variance of return, sp2 11.66%
Stand. dev. of return, sp 34.14%

34.14% 9.99%
-1
-0.9
-0.8
-0.7 16.00%
-0.6 14.00%
-0.5
12.00%
-0.4
10.00%
-0.3
-0.2 8.00%

-0.1 6.00%
0 4.00%
0.1 2.00%
0.2
0.00%
0.3 40.00%
0.4
0.5
0.6
0.7
 0.8
0.9 No stock will be the
1 because they all are
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
1.9
2

STOCK A 44.72% 5%
STOCK B 54.77% 9%
STOCK C 63.25% 11%
STOCK D 63.25% 14%
 Chart Title
16.00%
14.00%
12.00%
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
40.00% 45.00% 50.00% 55.00% 60.00% 65.00%

Column C Column D
No stock will be the efficient out of Stock A, B, C and D
because they all are out of efficient frontier curve