Risk Retur

Total investment 100,000

Stock: AUCO BANC

Mean 15% 12%
Standard Deviation 20% 15%

Investments Break down

0.54 0.45

Sumproduct Constraints
Mean of Portfolio
0.15 0.15

AUCO
AUCO 1.0
Rrelation Matrix between stocks BANC -0.4
ELEC -0.5
FDIC 0.0

20% 15%
Covar (A, B) = Correl x s
0.04 -0.012
Covariance Array -0.012 0.0225
-0.01 0.009
0 0
{=$D$22:$G$22*$E$17:$H

0.54 0.45
=D11
Portfolio Variance

0.01 =MMULT(D30:G3

Portfolio Standard Deviation 0.11 =SQRT($D$

 Risk Return Relationship (B)

ELEC FDIC
8% 5%
10% 0%

Total Constraints
0.47 -0.47 1.00 1.00

BANC ELEC FDIC

-0.4 -0.5 0.0
1.0 0.6 0.0
0.6 1.0 0.0
0.0 0.0 1.0

10% 0%
Covar (A, B) = Correl x sigma A x sigma B
-0.01 0 20%
0.009 0 15%
0.01 0 10%
0 0 0%
$D$22:$G$22*$E$17:$H$20*$H$24:$H$27}

0.47 -0.47 x 0.04 -0.012 -0.01 0 x

-0.012 0.0225 0.009 0
-0.01 0.009 0.01 0
=MMULT(D30:G30,MMULT(I30:L33,N30:N33)) 0 0 0 0

=SQRT($D$33)
 0.54
0.45
0.47
-0.47
 Risk Retu

Total investment 100,000

Stock: AUCO BANC

Mean 15% 12%
Standard Deviation 20% 15%

Investments Break down

1.00 0.00

Sumproduct Constraints
Mean of Portfolio
0.15 0.15

AUCO
AUCO 1.0
Rrelation Matrix between stocks BANC -0.4
ELEC -0.5
FDIC 0.0

20% 15%
Covar (A, B) = Correl x sigma A
0.04 -0.012
Covariance Array
-0.012 0.0225
-0.01 0.009
0 0

1.00 0.00

Portfolio Variance

0.04

Portfolio Standard Deviation 0.20

 Risk Return Relationship (B)

ELEC FDIC
8% 5%
10% 0%

Total Constraints
0.00 0.00 1.00 1.00

BANC ELEC FDIC

-0.4 -0.5 0.0
1.0 0.6 0.0
0.6 1.0 0.0
0.0 0.0 1.0

10% 0%
Covar (A, B) = Correl x sigma A x sigma B
-0.01 0 20%
0.009 0 15%
0.01 0 10%
0 0 0%

0.00 0.00 x 0.04 -0.012 -0.01

-0.012 0.0225 0.009
-0.01 0.009 0.01
0 0 0
0 x 1.00
0 0.00
0 0.00
0 0.00
 S
Oneway analysis for Solver m

Input (cell $D$11) values along side, o

$B$8

Portfolio return AUCO

0.050 0.000
0.060 0.054
0.070 0.108
0.080 0.162
0.090 0.216
0.100 0.270
0.110 0.324
0.120 0.378
0.130 0.432
0.140 0.486
0.150 0.540

Portfolio composition, risk and return

1.500

1.000

0.500
Composition
0.000
0.050 0.060 0.070 0.080 0.090 0.100 0.110 0.120 0.130 0.140
-0.500

-1.000

Return

AUCO BANC ELEC

FDIC Portfolio risk
 Short Selling
Oneway analysis for Solver model in Short selling Model worksheet

(cell $D$11) values along side, output cell(s) along top

$C$8 $D$8 $E$8 $B$32

BANC ELEC FDIC Portfolio risk Portfolio return

0.000 0.000 1.000 0.000 0.050
0.045 0.047 0.853 0.011 0.060
0.091 0.095 0.706 0.021 0.070
0.136 0.142 0.560 0.032 0.080
0.181 0.190 0.413 0.043 0.090
0.227 0.237 0.266 0.053 0.100
0.272 0.285 0.119 0.064 0.110
0.317 0.332 -0.028 0.075 0.120
0.363 0.380 -0.175 0.085 0.130
0.408 0.427 -0.321 0.096 0.140
0.454 0.475 -0.468 0.107 0.150

ion, risk and return Portfolio return

0.160
0.140
0.120
0.100

Return 0.080
80 0.090 0.100 0.110 0.120 0.130 0.140 0.150
0.060
0.040
0.020
Return
0.000
0.000 0.020 0.040 0.060 0.080 0.100
ANC ELEC
Risk
ortfolio risk
 Data for chart

$B$8
1

5.154357765E-008
0.0540183574
0.1080336568
0.1620505078
0.2160673855
0.2700842231
0.3241010544
0.3781179155
0.4321347338
0.4861516027
0.5401684721

0.080 0.100 0.120

 S
Oneway analysis for Solver mo

Input (cell $C$11) values along side, o

$B$8 $C$8
Portfolio return AUCO BANC
0.050 0.000 0.000
0.060 0.054 0.045
0.070 0.108 0.091
0.080 0.162 0.136
0.090 0.216 0.181
0.100 0.270 0.227
0.110 0.324 0.272
0.120 0.378 0.338
0.130 0.434 0.490
0.140 0.667 0.333
0.150 1.000 0.000

Return and portfolio risk

1.200

1.000

0.800

0.600

0.400

0.200

0.000
0.050 0.060 0.070 0.080 0.090 0.100 0.110 0.120 0.130 0.140 0.

AUCO BANC ELEC

FDIC Portfolio risk
 Short Selling
y analysis for Solver model in Not Short selling Model worksheet

C$11) values along side, output cell(s) along top Data for chart
$D$8 $E$8 $B$32
ELEC FDIC Portfolio risk Portfolio return 1
0.000 1.000 0.000 0.050
0.047 0.853 0.011 0.060
0.095 0.706 0.021 0.070
0.142 0.560 0.032 0.080
0.190 0.413 0.043 0.090
0.237 0.266 0.053 0.100
0.285 0.119 0.064 0.110
0.284 0.000 0.075 0.120
0.076 0.000 0.089 0.130
0.000 0.000 0.122 0.140
0.000 0.000 0.200 0.150

olio risk Portfolio return

0.160
0.140
0.120
0.100

Return 0.080
0.060
0.040
0.020
10 0.120 0.130 0.140 0.150 0.000
0.00 0.05 0.10 0.15 0.20
ELEC
Risk
 Data for chart
$B$8

4.865247E-005
0.0540168268
0.1080337047
0.1620505155
0.2160673936
0.2700842311
0.3241010625
0.3784786464
0.434402324
0.6666666962
1

urn

0.15 0.20 0.25