- Compute the Covariance Matrix - Compute the Correlation Matrix - Build 3*11 Portfolios with Cash (and X), and compute E(RP), (RP) in excel Normal
- Compute the Covariance Matrix
- Compute the Correlation Matrix
- Build 3*11 Portfolios with Cash (and X), and compute E(RP), σ(RP) in excel
Normal Boom Recession Stagnation Prob E (X) Var (X) Sigma (X) 0,5 0,2 0,2 0,1 Cash Cash 3,00% 3,00% 3,00% 3,00% 3,0% 0 0% Bonds 6,00% 4,00% 9,00% -6,00% Bonds 5,0% 0,0016 4,00% Stocks 10,00% 30,00% -10,00% -15,00% Stocks 7,5% 0,021625 14,71% Gold Gold 2,00% -15,00% 20,00% 30,00% 5,0% 0,01920 13,86%
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Authors: Christian Albright, Wayne Winston, Christopher Zappe
4th Edition
538476125, 978-0538476126
