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Table III XA return XB return STDEV Mean -0.4 1.4 0.126138 0.036000 -0.3 1.3 0.116847 0.042000 -0.2 1.2 0.109729 0.048000 -0.1 1.1 0.105228 0.054000 0
Table III | |||
XA return | XB return | STDEV | Mean |
-0.4 | 1.4 | 0.126138 | 0.036000 |
-0.3 | 1.3 | 0.116847 | 0.042000 |
-0.2 | 1.2 | 0.109729 | 0.048000 |
-0.1 | 1.1 | 0.105228 | 0.054000 |
0 | 1 | 0.103685 | 0.060000 |
0.1 | 0.9 | 0.105228 | 0.066000 |
0.2857 | 0.7143 | 0.115686 | 0.077143 |
0.3 | 0.7 | 0.116847 | 0.078000 |
0.4 | 0.6 | 0.126138 | 0.084000 |
0.5 | 0.5 | 0.137162 | 0.090000 |
0.6 | 0.4 | 0.149536 | 0.096000 |
The asset allocation that achieves the lowest risk is:
XA | XB | |
1. | 0.5 | 0.5 |
2. | -1 | 2 |
3. | 0.333 | 0.667 |
4. | 0.2867 | 0.7133 |
5. | 0.7133 | 0.2867 |
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