Session 1 for modern portfolio theory

8/10/2019 Session 1 for modern portfolio theory

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Table 4-2 Return on Various Assets


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Table 4-3 Returns on Various Investmentsa


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Table 4-4 Dollars at Period 2 Given Alternative Investments


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Table 4-5 Monthly Returns on IBM, Alcoa, and GM (in percen


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FIGURE 4-1 Securities and predetermined portfolios.


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Table 4-6 Calculating Covariances


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Table 4-7 Covariance and Correlation Coefficients (in BracketBetween Assets


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(Table continues on next slide)

Table 4-8 Effect of Diversification


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Table 4-8 (continued)


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Table 4-9 Percentage of the Risk on an Individual Security that Be Eliminated by Holding a Random Portfolio of Stocks with

Selected National Markets and among National Markets [13]


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FIGURE 4-2 The effect of number of securities on risk of thportfolio in the United States[13].


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FIGURE 4-3 The effect of securities on risk in the U. K.


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Table 5-1 The expected Return and Standard Deviation of a

Portfolio of Colonel Motors and Separated Edison When r= +


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FIGURE 5-1 Relationship between expected return and standadeviation when r= +1.


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FIGURE 5-2 Relationship between expected return and standadeviation when r=1


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FIGURE 5-3 Relationship between expected return and standadeviation for various correlation coefficients.


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Figure 5-4 Relationship between expected return and standardeviation when r= 0.


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Table 5-4 The expected Return and Standard Deviation of a Port

of Colonel Motors and Separated Edison When r= 0.5


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FIGURE 5-5 Relationship between expected return and standadeviation of return for various correlation coefficients.


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(Figure continues on next slide)

FIGURE 5-6 Various possible relationships for expected returnstandard deviation when the minimum variance portfolio and Co

Motors are combined.


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FIGURE 5-6 (continued)


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(Figure continues on next slide)

FIGURE 5-7 Various possible relationships between expected reand standard deviation of return when the minimum variance

portfolio is combined with portfolio S.


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FIGURE 5-7 (continued)

Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition Wiley & Sons, Inc.


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FIGURE 5-8 Risk and return possibilities for various assets aportfolios.


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FIGURE 5-9 The efficient frontier.


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Table 5-5 The Expected Return and Standard Deviation When S

Sales Are Allowed

Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition Wiley & Sons, Inc.


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FIGURE 5-11 Expected return standard deviation combinationColonel Motors and Separated Edison when short sales are allow


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FIGURE 5-12 The efficient set when short sales are allowed


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FIGURE 5-13 Expected return and risk when the risk-free ratemixed with portfolio A.


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FIGURE 5-14 Combinations of the riskless asset and various riportfolios.


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FIGURE 5-15 The efficient frontier with lending but not borrowat the riskless rate.


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FIGURE 6-1 Combinations of the riskless asset in a risky portfo


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FIGURE 6-3 Tangency portfolios for different riskless rates

Session 1 for modern portfolio theory

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