Session 12 MVP: 0.5143 or 0.51 0.4857 or 0.49
Session 12 MVP: 0.5143 or 0.51 0.4857 or 0.49
Session 12 MVP: 0.5143 or 0.51 0.4857 or 0.49
MVP
Example 1
S1 S2
mean -2.26 1.18
variance 103.16 109.48
SD 10.16 10.46
Covarianc
e -4.40
Correlatio
n -0.04
W1 = (109.48-(-4.40)/(103.16+109.48-(2*-4.40)
= 0.5143 or 0.51
=50.9189
Portfolio SD = 7.135
Example 2
S1 S2
Mean -1.18 0.46
Variance 182.01 46.75
SD 13.49 6.84
Covarianc
e 16.39
Correlatio
n 0.18
W1 = (46.75 – 16.39)/(182.01 + 46.75 –(2x16.39)
= 0.1549 or 15%
W2 = 1-0.1549
= 0.8451 or 85%
= 42.05
SD= 6.48