Mean-variance Portfolio Analysis


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Parameters

\rho_{12}:
\rho_{13}:
\rho_{23}:
Max Leverage:
Risk-Free:

Correlation Matrix (click to {{ params.showCorrelationMatrix ? 'hide' : 'show' }})


1 \rho_{12} \rho_{13}
\rho_{12} 1 \rho_{23}
\rho_{13} \rho_{23} 1

=

{{c | number:1}}

Covariance Matrix (click to {{ params.showCovarianceMatrix ? 'hide' : 'show' }})


\sigma_1^2 \rho_{12}\sigma_1\sigma_2 \rho_{13}\sigma_1\sigma_3
\rho_{12}\sigma_1\sigma_2 \sigma_2^2 \rho_{23}\sigma_2\sigma_3
\rho_{13}\sigma_1\sigma_3 \rho_{23}\sigma_2\sigma_3 \sigma_3^2

=

{{c | number:3}}

Optimal Portfolio (click to {{ params.showOptimalPortfolio ? 'hide' : 'show' }})
Weight Mean (\mu_i) Std Dev. (\sigma_i)
Asset 1: {{model.optimalPortfolioWeightArray[0]*100 | number:0}}% {{params.mean1 | number:3}} {{params.stDev1 | number:3}}
Asset 2: {{model.optimalPortfolioWeightArray[1]*100 | number:0}}% {{params.mean2 | number:3}} {{params.stDev2 | number:3}}
Asset 3: {{model.optimalPortfolioWeightArray[2]*100 | number:0}}% {{params.mean3 | number:3}} {{params.stDev3 | number:3}}
Portfolio(P): {{model.optimalPortfolioMean | number:2}} {{model.optimalPortfolioStDev | number:2}}