Microsoft Excel 12.

0 Answer Report
Worksheet: [class portfolio.xlsx]Sheet1
Report Created: 9/14/2010 5:42:12 PM

Target Cell (Min)

Cell Name Original Value Final Value
$E$11 portfolio risk risk2 0.10533666855 0.1053366685

Adjustable Cells
Cell Name Original Value Final Value
$J$3 weight 1 0.63427732956 0.6342773296
$J$4 weight 2 0.36572267044 0.3657226704

Constraints
Cell Name Cell Value Formula Status Slack
$C$19 portfolio risk 1 $C$19=$E$19 Not Binding 0
Microsoft Excel 12.0 Answer Report
Worksheet: [class portfolio.xlsx]Sheet1
Report Created: 9/14/2010 5:42:40 PM

Target Cell (Min)

Cell Name Original Value Final Value
$E$11 portfolio risk risk2 0.10533666855 0.1053366685

Adjustable Cells
Cell Name Original Value Final Value
$J$3 weight 1 0.63427732956 0.6342773296
$J$4 weight 2 0.36572267044 0.3657226704

Constraints
Cell Name Cell Value Formula Status Slack
$C$19 portfolio risk 1 $C$19=$E$19 Not Binding 0
Microsoft Excel 12.0 Sensitivity Report
Worksheet: [class portfolio.xlsx]Sheet1
Report Created: 9/14/2010 5:42:40 PM

Adjustable Cells
Final Reduced
Cell Name Value Gradient
$J$3 weight 1 0.63427733 0
$J$4 weight 2 0.36572267 0

Constraints
Final Lagrange
Cell Name Value Multiplier
$C$19 portfolio risk 1 0.2106734514
Microsoft Excel 12.0 Limits Report
Worksheet: [class portfolio.xlsx]Limits Report 1
Report Created: 9/14/2010 5:42:40 PM

Target
Cell Name Value
$E$11 portfolio risk risk2 0.1053366685

Adjustable Lower Target Upper Target

Cell Name Value Limit Result Limit Result
$J$3 weight 1 0.6342773296 0.63427733 0.1053366685 0.63427733 0.1053366685
$J$4 weight 2 0.3657226704 0.36572267 0.1053366685 0.36572267 0.1053366685
 Rf 6.40%
R1 20% risk1 41.56% weight 1 0.710452
R2 12% risk2 55.50% weight 2 0.289548

correlation -0.05

0.18 Portfolio return 17.68% sharpe ratio 1.042269

0.170742
portfolio risk 10.83% 0.112084 1.034942

min risk 0.105337 1.013343

Constraints

1 1 1
0.710452
0.289548
 ret risks weight transpose weight
Asset 1 12% 19% 0.23 0.23 0.34
Asset2 13% 21% 0.34
Asset3 16% 22% 0.43
VAR-COVAR
correlation
Asset 1 Asset2 Asset3 Asset 1 Asset2
Asset 1 1 -0.5 -0.23 Asset 1 0.0361 -0.01995
Asset2 -0.5 1 -0.007 Asset2 -0.01995 0.0441
Asset3 -0.23 -0.007 1 Asset3 -0.009614 -0.000323

portfolio risk step 1 -0.002614 0.010266 0.018491

portfolio vr 0.01084
portfolio risk 0.104117
portfolio return 0.1406 18%

constraints
1 1
 0.43

Asset3
-0.009614
-0.000323
0.0484
 ret risks weight transpose weight
Asset 1 12% 19% 0.23 0.23 0.34
Asset2 13% 21% 0.34
Asset3 16% 22% 0.43
VAR-COVAR
correlation
Asset 1 Asset2 Asset3 Asset 1 Asset2
Asset 1 1 -0.5 -0.23 Asset 1 0.0361 -0.01995
Asset2 -0.5 1 -0.007 Asset2 -0.01995 0.0441
Asset3 -0.23 -0.007 1 Asset3 -0.009614 -0.000323

portfolio risk step 1 -0.002614 0.010266 0.018491 MATRIX A

0.0722 -0.0399
portfolio vr 0.01084 -0.0399 0.0882
portfolio risk 0.104117 -0.019228 -0.000647
portfolio return 0.1406 18% 1 1
0.12 0.13

constraints
1 1
Inverse MATRIX A

2.994803 -3.99307
-3.99307 5.324094
0.998268 -1.331023
2.699479 1.734029
-17.13193 -10.49075
 0.43

Asset3
-0.009614
-0.000323
0.0484

2.994803 -3.99307 0.998268

-0.019228 1 0.12 var1 0 -3.99307 5.324094 -1.331023
-0.000647 1 0.13 var2 0 0.998268 -1.331023 0.332756
0.0968 1 0.16 var3 0 2.699479 1.734029 -3.433507
1 0 0.00 lamda 1 -17.13193 -10.49075 27.62269
0.16 0 0.00 mu 0.18

0.998268 2.699479 -17.13193 var1 -0.38427

-1.331023 1.734029 -10.49075 var2 -0.154307
0.332756 -3.433507 27.62269 var3 1.538577
-3.433507 -1.923108 14.42812 lamda 0.673953
27.62269 14.42812 -108.9887 mu -5.189849
 2.699479 -17.13193
1.734029 -10.49075
-3.433507 27.62269
-1.923108 14.42812
14.42812 -108.9887