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Consider the following two stock portfolio (A, B) with 40% invested in stock A. Graph the frontier (mean y-axis, sigma x-axis) with correlations between -1
Consider the following two stock portfolio (A, B) with 40% invested in stock A. Graph the frontier (mean y-axis, sigma x-axis) with correlations between -1 and +1 (0.1 intervals). For excel, please provide formulas.
| TWO STOCKS Varying the correlation coefficient | |||||
| Stock A | Stock B | ||||
| Mean | 3.00% | 8.00% | |||
| Sigma | 15.00% | 22.00% | |||
| Correlation | 0.3000 | ||||
| Sample portfolio computation | |||||
| Stock A proportion | |||||
| Stock B proportion | |||||
| Portfolio mean | |||||
| Portfolio sigma | |||||
| Data table: varying proportion of K | |||||
| Sigma | Mean | ||||
| -1 | |||||
| -0.9 | |||||
| -0.8 | |||||
| -0.7 | |||||
| -0.6 | |||||
| -0.5 | |||||
| -0.4 | |||||
| -0.3 | |||||
| -0.2 | |||||
| -0.1 | |||||
| 0 | |||||
| 0.1 | |||||
| 0.2 | |||||
| 0.3 | |||||
| 0.4 | |||||
| 0.5 | |||||
| 0.6 | |||||
| 0.7 | |||||
| 0.8 | |||||
| 0.9 | |||||
| 1 |
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