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Determine the equation for the efficient frontier and illustrate it in a mean-variance figure. r(f) 6% A B C St.d. E[r] A 0,00050475 -0,001578 -0,0020273
Determine the equation for the efficient frontier and illustrate it in a mean-variance figure.
| r(f) | 6% | ||||||
| A | B | C | St.d. | E[r] | |||
| A | 0,00050475 | -0,001578 | -0,0020273 | 0,022467 | 0,0955 | ||
| B | -0,001578 | 0,005184 | 0,00595800 | 0,072000 | 0,0860 | ||
| C | -0,00202725 | 0,00595800 | 0,00902475 | 0,094999 | 0,0895 | ||
| A | B | C | Sum | ||||
| Weight | 0,775105384 | 0,1488448 | 0,076049767 | 1 | |||
| E[r] | 0,0936 | ||||||
| Variance | 0,0000021 | ||||||
| St.d. | 0,0014388 | ||||||
| Sharpe ratio | 23,3737 | ||||||
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Authors: Alfred A. Marcus, Timothy J. Hargrave
1st Edition
1506388590, 978-1506388595
