 | Excel Spreadsheet:
| |
A |
| 1 |
| Modify Correlation Matrix |
False Bitmap
|
Use Downside Risk Only |
False Bitmap
|
Data in |
Prices |
Returns |
| |
Risk free Rate: |
0.36% |
|
Maintain Return Level |
|
|
Target Return |
2.00% |
| Min Constraint: |
10.00% |
30.00% |
0.00% |
0.00% |
10.00% |
0.00% |
0.00% |
| |
Max Constraint: |
70.00% |
90.00% |
100.00% |
80.00% |
100.00% |
100.00% |
100.00% |
| Current Units: |
1.00 |
1.00 |
1.00 |
1.00 |
1.00 |
1.00 |
1.00 |
| |
Product Name: |
MSFT |
IBM |
INTC |
GOOG |
AMZN |
|
|
| |
qqq |
0.84 |
1.757 |
0 |
0 |
0 |
|
|
| |
qqq |
0 |
4.3 |
4.42 |
4.56 |
4.7 |
|
|
| |
qqq |
5.684 |
0 |
0 |
0 |
0 |
|
|
| |
qqq |
0 |
6.652 |
3.326 |
3.326 |
3.326 |
|
|
| |
qqq |
1.33 |
0 |
0 |
0 |
0 |
|
|
| |
qqq |
0 |
0 |
0 |
10.52 |
10.52 |
|
|
| |
qqq |
0 |
0 |
1.172 |
0 |
0 |
|
|
| |
qqq |
0 |
0 |
3.326 |
3.326 |
3.326 |
|
|
| |
qqq |
0 |
0 |
1.33 |
0 |
0 |
|
|
| |
qqq |
0 |
0 |
0 |
0 |
0 |
|
|
| |
qqq |
19.8 |
1 |
0.6 |
0.1 |
0.1 |
|
|
|
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