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ĐTTC

The document presents an analysis of expected excess returns and a bordered covariance matrix for various country indices, including the U.S., U.K., France, Germany, Australia, Japan, and Canada. It outlines the efficient frontier with risk premiums, standard deviations, and Sharpe ratios for different portfolios, highlighting optimal and minimum variance portfolios. Key metrics such as risk premium, standard deviation, and Sharpe ratio are provided to assess investment performance across these indices.

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4 views

ĐTTC

The document presents an analysis of expected excess returns and a bordered covariance matrix for various country indices, including the U.S., U.K., France, Germany, Australia, Japan, and Canada. It outlines the efficient frontier with risk premiums, standard deviations, and Sharpe ratios for different portfolios, highlighting optimal and minimum variance portfolios. Key metrics such as risk premium, standard deviation, and Sharpe ratio are provided to assess investment performance across these indices.

Uploaded by

huongnt23401b
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as XLSX, PDF, TXT or read online on Scribd
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Efficient Frontier Spreadsheet

Panel A Expected excess returns (risk premiums) of each country index

U.S. 0.060
U.K. 0.053
France 0.070
Germany 0.080
Australia 0.058
Japan 0.045
Canada 0.059

Panel B Bordered Covariance Matrix

Portfolio weights 0.6112 0.8778 -0.2140 -0.5097 0.0695 0.2055 -0.0402


U.S. U.K. France Germany Australia Japan Canada
0.6112 U.S. 0.0224 0.0184 0.0250 0.0288 0.0195 0.0121 0.0205
0.8778 U.K. 0.0184 0.0223 0.0275 0.0299 0.0204 0.0124 0.0206
-0.2140 France 0.0250 0.0275 0.0403 0.0438 0.0259 0.0177 0.0273
-0.5097 Germany 0.0288 0.0299 0.0438 0.0515 0.0301 0.0183 0.0305
0.0695 Australia 0.0195 0.0204 0.0259 0.0301 0.0261 0.0147 0.0234
0.2055 Japan 0.0121 0.0124 0.0177 0.0183 0.0147 0.0353 0.0158
-0.0402 Canada 0.0205 0.0206 0.0273 0.0305 0.0234 0.0158 0.0298
1.0000 0.0078 0.0113 -0.0027 -0.0065 0.0009 0.0026 -0.0005
Risk Prem 0.038
Std Dev 0.113
Sharpe 0.339

Panel C Various points along the efficient frontier.

Optimal
Min var (tangency
portfolio ) portfolio
Risk Prem: 0.0350 0.0383 0.0400 0.0450 0.0500 0.0550 0.0564 0.0575
Std Dev: 0.1141 0.1132 0.1135 0.1168 0.1238 0.1340 0.1374 0.1401
Sharpe: 0.3066 0.3386 0.3525 0.3853 0.4037 0.4104 0.4107 0.4106
U.S. 0.5944 0.6112 0.6195 0.6446 0.6696 0.6947 0.7018 0.7073
U.K. 1.0175 0.8778 0.8083 0.5992 0.3900 0.1809 0.1214 0.0758
France -0.2365 -0.2140 -0.2029 -0.1693 -0.1357 -0.1021 -0.0926 -0.0852
Germany -0.6077 -0.5097 -0.4610 -0.3144 -0.1679 -0.0213 0.0205 0.0524
Australia 0.0588 0.0695 0.0748 0.0907 0.1067 0.1226 0.1271 0.1306
Japan 0.2192 0.2055 0.1987 0.1781 0.1575 0.1369 0.1311 0.1266
Canada -0.0459 -0.0402 -0.0374 -0.0288 -0.0203 -0.0118 -0.0093 -0.0075
CAL 0.0469 0.0465 0.0466 0.0480 0.0508 0.0550 0.0564 0.0575
0.0600 0.0700 0.0800
0.1466 0.1771 0.2119
0.4092 0.3953 0.3774
0.7198 0.7699 0.8201
-0.0283 -0.4465 -0.8648
-0.0685 -0.0014 0.0658
0.1253 0.4185 0.7117
0.1385 0.1704 0.2023
0.1164 0.0752 0.0341
-0.0032 0.0139 0.0309
0.0602 0.0727 0.0870
Risk Prem: 0.0350 0.0383 0.0400 0.0450 0.0500 0.0550 0.0564 0.0575 0.0600
Std Dev: 0.1141 0.1132 0.1135 0.1168 0.1238 0.1340 0.1374 0.1401 0.1466
CAL 0.0469 0.0465 0.0466 0.048 0.0508 0.055 0.0564 0.0575 0.0602
0.0900

0.0800

0.0700

Risk Premium
0.0600

0.0500

0.0400

0.0300
0.1000 0.1200 0.1400 0.1600 0.1800 0.2000 0.2200
Standard Deviation
0.0700 0.0800
0.1771 0.2119
0.0727 0.087

Efficient Frontier
CAL

0.1800 0.2000 0.2200 0.2400


ation

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