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How would I go about plotting the Capital Allocation Line on the graph? A. Input List U.S. U.K. France Germany Japan China Excess Returns Mean
How would I go about plotting the Capital Allocation Line on the graph?
A. Input List U.S. U.K. France Germany Japan China Excess Returns Mean 0.0600 0.0530 0.0680 0.0800 0.0450 0.0730 SD 0.1495 0.1493 0.2008 0.2270 0.1878 0.3004 Sharpe Ratio 0.4013 0.3551 0.3386 0.3525 0.2397 0.2430 Correlation Matrix U.S. U.K. France Germany Japan China U.S. U.K. France Germany Japan China 0.83 0.83 0.85 0.43 0.16 1 0.92 0.89 0.44 0.28 1 0.96 0.47 0.26 1 0.43 0.29 1 0.14 1 Mean SD Slope 0.079999999 0.193953193 0.412470649 U.S. UK France Germany Japan China Sum Weights 0.9206 -0.6734 -0.2804 0.7254 0.0350 0.2728 10000 9 0.04000 0.10967 0.36474 0.08 Min. Variance 0.04118 0.10956 0.37586 4 0.05050 0.11610 0.43496 6 7 0.052000.05400 0.05600 0.11829 0.12164 0.12545 0.43958 0.44392 0.44641 Optimal 0.05833 0.13039 0.44733 0.06000 0.13425 0.44692 10 0.06400 0.14441 0.44318 11 0.06700 0.15276 0.43860 12 13 0.07000 0.08000 0.16162 0.19395 0.43311 0.41247 B. Efficient frontier - short sales allowed Porfolia: Risk Premium 0.03000 SD 0.11886 Slope (Sharpel 0.25240 Porfolio Weights U.S. 0.57768 U.K. 1.14451 France -0.09070 Germany -0.92509 Japan 0.23492 China 0.05867 0.64626 0.78093 -0.12856 -0.59497 0.19495 0.10149 0.65436 0.71827 0.72855 0.74227 0.75598 0.77196 0.78342 0.81085 0.83142 0.85200 0.92058 0.73804 0.39917 0.34463 0.27191 0.19919 0.11450 0.05376 -0.09168 -0.20075 -0.30983 -0.67342 -0.13314 -0.16850 -0.17419 -0.18178 -0.18937 -0.19821 -0.20455 -0.21972 -0.23111 -0.24249 -0.28043 -0.55604 -0.24836 -0.19884 -0.13282 -0.06680 0.01009 0.06524 0.19728 0.29631 0.39534 0.72545 0.19023 0.15297 0.14698 0.13898 0.13099 0.12167 0.11500 0.09900 0.08701 0.07502 0.03504 0.10654 0.14646 0.15288 0.16145 0.17001 0.17999 0.18714 0.20427 0.21712 0.22996 0.27279 risk premium sd 0.030000.11886 0.04000 0.109668 0.04118 0.10956 0.05050 0.116103 0.05200 0.118294 0.05400 0.121643 0.05600 0.125446 0.05833 0.130393 0.06000 0.134253 0.06400 0.144412 0.06700 0.152758 0.07000 0.16162 0.08000 0.193953 C. Capital Allocation Line (CAL) with Short Sales Risk Premium 0.05316993 (=SDSharpe ratio of Optimal Portfolio) 0.049058112 0.049009868 0.051937 0.052917 0.054415 0.056116 0.058329 0.060056 0.0546 0.068334 0.072298 0.086762 D. Figure for Efficient Frontier and CAL Efficient Frontier and CAL 0.09 OOR 0.07 0.05 0.05 0.04 0.03 0.02 0.01 0.00 0.00 0.05 OTO 0.15 0.20 0.25
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