Slide example.xlsx

	B	C	D	E	F	G	H	I	K	L	M	N	O
1
2
3	r_bar		V			mu_p		ones	r_f		V_inv
4	15%		0.0625	0		14%		1	4%		16	0
5	10%		0	0.04				1			0	25
6
7
8	Without the risk-free asset
9	A	4.9
10	B	0.61		w*	0.8		g	-2	h	20		w*	0.8
11	C	41		w*	0.2		g	3	h	-20		w*	0.2
12	D	1
13
14
15	sigma_p	0.204
16	E(r_mvp)	0.1195
17	Var(r_mvp)	0.0244
18
19
20	With the risk-free asset
21
22	H	0.2836		w*	0.6206		w_T	0.5399
23				w*	0.5289		w_T	0.4601
24
25	mu_p	14%
26	sigma_p	0.1878
27
28	mu_T	0.1270
29	E(r_T)	0.1270
30	Var(r_T)	0.0267
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100