ASSIGNMENT

Based on the following monthly market price of anonymous companies, find out the optimum portfolio assuming no short s
identify the portfolio use "The Constant Correlation Model"]

Security A Security B Security C Security D Security E Security F

1638.25 925.25 677.00 60.30 136.50 80.70
1270.25 825.75 588.25 51.20 119.70 68.40
1398.75 934.75 665.50 52.00 127.50 75.10
1360.25 976.75 612.25 51.00 125.20 74.00
1298.50 973.50 583.75 50.00 126.40 72.00
1300.00 991.50 544.25 47.50 114.60 71.10
1244.50 1007.25 505.75 49.80 109.30 69.60
1248.50 1037.25 479.25 47.00 102.70 67.60
1170.00 984.50 452.25 46.10 94.20 66.60
1230.50 790.25 553.25 45.30 102.20 69.40
1132.00 740.00 416.75 42.90 96.30 67.80
1206.50 752.25 442.25 46.10 96.20 62.20
1249.50 750.00 437.75 45.50 99.20 65.20
995.50 801.75 559.75 48.80 108.60 67.40
1250.25 850.75 717.25 47.50 122.80 70.10
1187.50 800.50 700.50 43.70 114.60 68.30
1206.00 797.00 649.00 44.00 113.10 68.60
1157.75 790.25 658.00 42.10 118.10 70.00
1176.75 784.25 647.25 45.00 119.10 70.20
1320.25 835.00 693.00 49.50 120.60 82.60
1410.25 792.50 750.25 45.00 135.80 77.30
1317.00 629.00 741.50 44.50 126.00 78.40
1399.50 611.75 684.50 46.00 122.10 78.70
1433.75 644.75 967.00 47.10 121.70 79.10
2127.00 837.25 1147.00 44.70 128.40 85.30
1901.50 956.50 1120.00 55.20 167.60 100.00
2441.00 975.25 1190.75 53.00 177.00 123.00
2410.00 1282.50 1248.25 51.10 205.90 160.50
2632.00 1269.00 1253.50 54.40 215.70 162.70
2575.75 1460.75 1165.00 55.34 301.00 181.50
2545.00 1519.00 1204.75 53.70 321.00 181.70
3385.25 1553.75 1186.75 53.00 275.10 168.60
3530.50 1510.00 1207.00 52.10 267.00 181.40
4559.75 1432.00 1375.75 134.80 241.00 232.10
4796.75 1657.75 1314.50 129.90 251.90 244.30
5396.75 2676.25 1591.25 136.80 277.90 318.90
5802.00 2641.75 1406.75 127.10 246.20 306.20
4104.75 2307.50 1335.75 129.50 336.50 507.70
4066.50 2321.75 1314.00 122.30 289.20 506.60
4373.50 2342.75 1234.00 143.40 312.30 586.80
4135.25 2337.00 1219.50 138.40 269.40 603.50
3576.50 2050.00 1058.50 103.40 236.50 406.10
3991.00 2289.75 1214.00 129.20 265.80 521.30
 3626.50 2323.50 1180.00 139.90 262.80 508.70
3481.25 1972.25 1209.00 164.10 279.50 463.70
4171.75 1575.00 1198.25 208.80 262.60 440.10
3875.00 1565.25 1181.75 185.80 243.60 466.40
4264.00 1891.25 1276.25 186.90 249.40 394.20
4527.50 1860.25 1429.25 199.30 294.50 456.30
3031.00 2135.75 1512.75 217.70 339.10 440.60
3107.25 2138.50 1568.75 235.90 369.90 440.00
3047.50 2367.50 1699.50 264.70 391.30 439.70
3084.50 2408.75 1749.50 273.60 431.10 442.70
3505.00 3114.75 2010.75 237.80 418.20 432.50
3708.00 3703.00 2152.50 209.40 486.90 446.90
4213.00 4418.25 2657.00 277.90 572.50 511.50
4192.50 4368.25 2410.75 246.00 585.40 509.70
4381.50 2383.00 2440.25 263.80 517.50 503.00
6770.00 2669.50 2549.50 280.40 540.70 439.90
6705.00 3282.00 2799.25 242.60 604.00 426.20
7958.00 3610.75 3133.50 234.20 647.00 396.00

No. Of Security Expected Ret Std. Dev. Excess Return ER/Std. Dev. Rank
Security A 0.448736507 1.81587972467041 0.39873650741 0.219583104539 6
Security B 0.407252167 1.79536889876478 0.35725216704 0.198985382493 9
Security C 0.383897634 1.37532443521808 0.33389763419 0.242777359028 3
Security D 0.461056054 2.72176247525006 0.41105605393 0.151025689296 10
Security E 0.387751572 1.3727046612541 0.33775157183 0.24604824429 2
Security F 0.423880785 1.66041054477664 0.37388078477 0.225173699326 5
Security G 0.617864531 2.68145799060105 0.56786453108 0.211774539475 8
Security H 0.521894392 1.78377290101897 0.47189439207 0.264548470158 1
Security I 0.494415684 1.92782247964574 0.4444156837 0.230527285783 4
Security J 0.387964777 1.59065619442569 0.33796477677 0.212468777325 7

No. Of Security(i)ER/Std. Dev. ρ/(1-ρ+i*ρ) Σ(ER/Std. Dev.) Ci

1 0.26454847 0.215154019 0.26454847016 0.056918666575 Accept
2 0.246048244 0.177059052297798 0.51059671445 0.090405770367 Accept
3 0.242777359 0.150424952726162 0.75337407348 0.113326259388 Accept
4 0.230527286 0.130755989227894 0.98390135926 0.128650995533 Accept
5 0.225173699 0.115635902417087 1.20907505858 0.139812485489 Accept
6 0.219583105 0.103650216138218 1.42865816312 0.148080727395 Accept
7 0.212468777 0.093915820993449 1.64112694045 0.154127783967 Accept
8 0.211774539 0.085852877516808 1.85290147992 0.159076923807 Accept
9 0.198985382 0.079064926100432 2.05188686242 0.162232283143 Accept (C*)
10 0.151025689 0.07327170422095 2.20291255171 0.161411156914 Reject
 Z Calculation X Calculation
Z1 0.07308367 X1 0.162754985654 16.27549857
Z2 0.077797418 X2 0.173252351254 17.32523513
Z3 0.074618995 X3 0.166174106386 16.61741064
Z4 0.045137494 X4 0.100519750573 10.05197506
Z5 0.048298828 X5 0.107559938156 10.75599382
Z6 0.040240941 X6 0.089615282726 8.961528273
Z7 0.040240055 X7 0.089613310116 8.961331012
Z8 0.023540753 X8 0.052424500498 5.24245005
Z9 0.026082897 X9 0.058085774964 5.808577496
ΣZ 0.449041051

Portfolio of The Securities

Name of Securities Investment (%)

Security A 8.96152827258
Security B 5.80857749637
Security C 16.6174106386
Security E 17.3252351254
Security F 10.7559938156
Security G 5.24245004976
Security H 16.2754985654
Security I 10.0519750573
Security J 8.9613310116
 TANVIR AHMED
ENT ID # 101600042
m portfolio assuming no short sales if risk free rate is 5%. [ Hints: In order to
nt Correlation Model"]

Security G Security H Security I Security J Market Index Security A Security B

278.25 287.25 245.75 122.70 1713.17
238.75 265.25 210.50 102.50 1510.11 -0.22462994 -0.1075385
283.75 299.00 229.50 103.90 1613.17 0.101161189 0.132001211
358.25 280.00 224.00 102.80 1673.21 -0.02752458 0.0449318
326.25 268.25 215.75 98.10 1694.62 -0.04539607 -0.00332736
349.25 262.00 192.75 91.40 1694.42 0.001155179 0.018489985
364.00 246.00 193.50 93.50 1677.35 -0.04269231 0.015885023
370.25 248.75 206.50 89.00 1656.27 0.003214142 0.029784066
326.25 249.00 202.00 85.40 1531.44 -0.06287545 -0.05085563
324.25 285.00 231.50 90.40 1491.77 0.051709402 -0.19730828
273.25 270.25 220.75 75.00 1361.27 -0.08004876 -0.06358747
351.50 284.75 228.00 67.00 1355.04 0.065812721 0.016554054
364.25 255.00 225.25 70.40 1339.52 0.035640282 -0.00299103
550.25 259.50 244.50 68.50 1406.81 -0.20328131 0.069
797.50 280.50 241.25 69.00 1587.08 0.255901557 0.061116308
927.75 294.00 215.75 66.90 1562.53 -0.05018996 -0.05906553
835.50 279.75 212.00 70.30 1541.65 0.015578947 -0.00437227
788.50 276.25 209.50 73.00 1527.30 -0.04000829 -0.00846926
892.75 276.75 224.00 84.10 1609.51 0.016411142 -0.00759253
863.25 285.00 241.50 84.60 1805.12 0.121946038 0.064711508
739.00 279.75 348.25 83.90 1791.54 0.068168907 -0.0508982
804.25 273.75 303.75 81.80 1760.88 -0.06612303 -0.20630915
771.75 269.75 295.00 74.00 1743.33 0.062642369 -0.02742448
1116.25 290.00 301.50 72.80 2003.58 0.024473026 0.053943604
1468.75 271.00 298.50 75.20 2149.32 0.483522232 0.298565335
2085.50 371.00 483.75 92.80 2384.18 -0.10601787 0.142430576
2170.25 389.50 518.00 108.50 2455.09 0.283723376 0.019602718
2379.25 330.00 547.00 111.00 2548.19 -0.01269971 0.315047424
2842.75 340.75 516.75 119.70 2850.81 0.092116183 -0.01052632
2711.00 352.25 509.25 154.70 2971.11 -0.02137158 0.151103231
2561.25 352.25 483.75 148.60 3017.21 -0.01193827 0.039876776
2681.00 337.75 432.75 132.60 2907.17 0.330157171 0.022876893
3169.50 347.00 437.25 132.20 2931.38 0.042906728 -0.02815768
3477.50 401.25 700.25 140.20 3016.49 0.291530945 -0.05165563
3993.25 618.75 887.75 161.90 3072.85 0.051976534 0.157646648
3433.00 689.00 1319.75 161.50 3167.99 0.125084693 0.61438697
1324.25 564.25 1331.25 141.90 3000.50 0.07509149 -0.01289117
940.50 402.75 947.75 233.60 2761.05 -0.29252844 -0.12652598
1000.50 404.75 829.75 214.20 2791.21 -0.00931847 0.006175515
936.75 393.25 852.75 236.00 2966.82 0.075494897 0.009044901
812.25 400.75 950.25 200.40 2748.60 -0.05447582 -0.00245438
795.00 336.25 829.50 171.90 2468.92 -0.1351188 -0.12280702
822.25 386.00 901.75 201.60 2795.34 0.115895428 0.11695122
 694.75 407.50 990.25 212.20 2649.49 -0.09133049 0.0147396
593.75 531.75 1013.25 220.40 2570.96 -0.04005239 -0.1511728
430.75 534.00 1063.00 213.20 2446.92 0.198348294 -0.2014197
748.50 479.25 997.00 250.00 2554.36 -0.07113322 -0.00619048
629.75 599.00 1013.50 195.50 2572.18 0.100387097 0.208273439
1032.50 579.00 1225.00 223.40 3010.26 0.061796435 -0.01639128
973.25 579.00 1300.00 266.80 2914.53 -0.33053562 0.148098374
881.75 818.25 1088.25 276.30 2941.28 0.025156714 0.001287604
835.25 772.00 1137.50 290.60 3083.89 -0.01922922 0.107084405
895.00 833.00 1136.75 328.00 3364.26 0.012141099 0.017423442
1090.50 1104.25 1168.25 348.70 4380.95 0.136326795 0.29309808
1176.50 1304.00 1192.50 409.40 4535.53 0.057917261 0.188859459
1177.50 1344.00 1362.25 486.40 5367.11 0.136192017 0.193154199
1166.00 1177.00 1342.50 521.40 5560.56 -0.00486589 -0.0113167
1094.50 1307.25 1351.50 487.70 5582.33 0.045080501 -0.45447261
1070.25 1307.00 1430.50 467.40 5654.88 0.545132945 0.120226605
1123.50 1796.00 1435.00 515.70 6107.81 -0.00960118 0.229443716
1393.50 2090.75 1482.50 526.00 6153.68 0.186875466 0.100167581

Avg. ER 0.037394709 0.033937681

0.448736507 0.407252167
Std. Dev. 0.15132331 0.149614075
1.815879725 1.795368899
AB 0.238334104
AC 0.346096938
AD 0.243957496
AE -0.0991723
AF -0.00288203
AG 0.104212191
AH 0.160145888
AI 0.222257804
AJ -0.17037511
BC 0.371511043
BD -0.06259975
BE 0.37556156
BF 0.232246595
BG 0.171523459
BH 0.245201468
BI 0.31878365
BJ 0.129642812
Security H CD 0.220608749
Security E CE 0.294842287
Security C CF 0.22247099
Security I CG 0.440564638
Security F CH 0.310025966
Security A CI 0.330250524
Security J CJ 0.124061366
Security G DE 0.022681009
Security B DF 0.345563922
DG 0.005264201
DH 0.168857233
DI 0.53881384
DJ 0.148424274
EF 0.542595509
EG 0.124815576
EH 0.165222956
EI 0.224739516
EJ 0.751701814
FG 0.056348426
FH -0.08842074
FI 0.244346884
FJ 0.695283466
GH 0.16225778
GI 0.141674977
GJ 0.140656954
HI 0.385283713
HJ 0.048189836
IJ 0.090359338

Correlation (ρ) 0.215154019

 Return From The Security & Market
Security C Security D Security E Security F Security G Security H Security I

-0.13109306 -0.15091211 -0.12307692 -0.15241636 -0.14195867 -0.07658834 -0.14343845

0.131321717 0.015625 0.065162907 0.097953216 0.188481675 0.127238454 0.090261283
-0.08001503 -0.01923077 -0.01803922 -0.01464714 0.262555066 -0.06354515 -0.02396514
-0.04654961 -0.01960784 0.009584665 -0.02702703 -0.0893231 -0.04196429 -0.03683036
-0.06766595 -0.05 -0.09335443 -0.0125 0.070498084 -0.02329916 -0.10660487
-0.07073955 0.048421053 -0.04624782 -0.02109705 0.042233357 -0.0610687 0.003891051
-0.05239743 -0.0562249 -0.06038426 -0.02873563 0.01717033 0.011178862 0.067183463
-0.05633803 -0.01914894 -0.08276534 -0.0147929 -0.11883862 0.001005025 -0.02179177
0.223327805 -0.01735358 0.08492569 0.042042042 -0.00613027 0.144578313 0.146039604
-0.2467239 -0.05298013 -0.05772994 -0.02305476 -0.15728604 -0.05175439 -0.04643629
0.061187762 0.074592075 -0.00103842 -0.08259587 0.286367795 0.053654024 0.032842582
-0.01017524 -0.01301518 0.031185031 0.048231511 0.036273115 -0.10447761 -0.0120614
0.278697887 0.072527473 0.094758065 0.033742331 0.510638298 0.017647059 0.085460599
0.281375614 -0.02663934 0.130755064 0.040059347 0.449341209 0.080924855 -0.01329243
-0.02335308 -0.08 -0.06677524 -0.0256776 0.163322884 0.048128342 -0.10569948
-0.07351892 0.006864989 -0.01308901 0.004392387 -0.09943411 -0.04846939 -0.01738123
0.013867488 -0.04318182 0.044208665 0.020408163 -0.05625374 -0.01251117 -0.01179245
-0.01633739 0.06888361 0.008467401 0.002857143 0.132213063 0.001809955 0.069212411
0.070683662 0.1 0.012594458 0.176638177 -0.03304397 0.029810298 0.078125
0.082611833 -0.09090909 0.126036484 -0.06416465 -0.14393281 -0.01842105 0.442028986
-0.01166278 -0.01111111 -0.07216495 0.014230272 0.088294993 -0.02144772 -0.12778177
-0.07687121 0.033707865 -0.03095238 0.003826531 -0.04041032 -0.01461187 -0.02880658
0.412710007 0.023913043 -0.003276 0.005082592 0.446388079 0.075069509 0.022033898
0.186142709 -0.05095541 0.05505341 0.078381795 0.315789474 -0.06551724 -0.00995025
-0.02353967 0.234899329 0.30529595 0.172332943 0.419914894 0.36900369 0.620603015
0.063169643 -0.03985507 0.056085919 0.23 0.040637737 0.049865229 0.070801034
0.048288894 -0.03584906 0.163276836 0.304878049 0.096302269 -0.15275995 0.055984556
0.004205888 0.064579256 0.04759592 0.013707165 0.194809289 0.032575758 -0.05530165
-0.07060231 0.017279412 0.395456653 0.115550092 -0.04634597 0.033749083 -0.01451379
0.034120172 -0.02963498 0.066445183 0.001101928 -0.05523792 0 -0.05007364
-0.01494086 -0.01303538 -0.14299065 -0.07209686 0.046754514 -0.04116395 -0.10542636
0.017063408 -0.01698113 -0.02944384 0.075919336 0.182208131 0.027387121 0.010398614
0.139809445 1.587332054 -0.09737828 0.279492834 0.097176211 0.156340058 0.601486564
-0.04452117 -0.03635015 0.045228216 0.05256355 0.148310568 0.542056075 0.267761514
0.210536326 0.053117783 0.103215562 0.30536226 -0.14029925 0.113535354 0.486623486
-0.11594658 -0.07090643 -0.11406981 -0.0398244 -0.61425867 -0.18105951 0.008713772
-0.05047094 0.018882769 0.36677498 0.658066623 -0.28978667 -0.28622065 -0.28807512
-0.01628299 -0.05559846 -0.14056464 -0.00216663 0.063795853 0.00496586 -0.12450541
-0.0608828 0.172526574 0.079875519 0.158310304 -0.06371814 -0.0284126 0.027719193
-0.01175041 -0.0348675 -0.13736792 0.028459441 -0.13290633 0.019071837 0.114335972
-0.13202132 -0.25289017 -0.12212324 -0.32709196 -0.0212373 -0.16094822 -0.12707182
0.146905999 0.249516441 0.123890063 0.283673972 0.03427673 0.14795539 0.087100663
-0.02800659 0.082817337 -0.01128668 -0.02417034 -0.15506233 0.055699482 0.098142501
0.024576271 0.172980701 0.063546423 -0.08846078 -0.14537603 0.304907975 0.023226458
-0.00889165 0.272394881 -0.06046512 -0.05089498 -0.27452632 0.004231312 0.049099433
-0.01377008 -0.11015326 -0.07235339 0.059759146 0.73766686 -0.10252809 -0.06208843
0.079966152 0.005920344 0.023809524 -0.15480274 -0.15865063 0.249869588 0.016549649
0.119882468 0.066345639 0.180834002 0.157534247 0.6395395 -0.03338898 0.208682782
0.058422249 0.092323131 0.151443124 -0.03440719 -0.05738499 0 0.06122449
0.037018675 0.083601286 0.090828664 -0.00136178 -0.0940149 0.413212435 -0.16288462
0.083346614 0.12208563 0.057853474 -0.00068182 -0.05273604 -0.05652307 0.045256145
0.029420418 0.033622969 0.101712241 0.006822834 0.071535468 0.079015544 -0.00065934
0.14932838 -0.13084795 -0.02992345 -0.02304043 0.218435754 0.325630252 0.027710578
0.070496084 -0.11942809 0.164275466 0.033294798 0.078862907 0.180892008 0.020757543
0.23437863 0.327125119 0.17580612 0.144551354 0.000849979 0.030674847 0.142348008
-0.09267971 -0.11478949 0.022532751 -0.00351906 -0.00976645 -0.12425595 -0.01449807
0.012236856 0.072357724 -0.11598907 -0.01314499 -0.06132075 0.110662702 0.006703911
0.044770003 0.062926459 0.044830918 -0.12544732 -0.02215624 -0.00019124 0.05845357
0.097960384 -0.13480742 0.117070464 -0.03114344 0.04975473 0.37413925 0.003145753
0.119406984 -0.0346249 0.071192053 -0.07085875 0.240320427 0.164114699 0.033101045

0.03199147 0.038421338 0.032312631 0.035323399 0.051488711 0.043491199 0.041201307

0.383897634 0.461056054 0.387751572 0.423880785 0.617864531 0.521894392 0.494415684
0.11461037 0.22681354 0.114392055 0.138367545 0.223454833 0.148647742 0.160651873
1.375324435 2.721762475 1.372704661 1.660410545 2.681457991 1.783772901 1.92782248
 Security J Market Index

-0.164629176854 -0.11853116
0.0136585365854 0.068249943
-0.010587102984 0.037214647
-0.045719844358 0.012795728
-0.068297655454 -0.00011665
0.0229759299781 -0.01007667
-0.048128342246 -0.01256475
-0.040449438202 -0.07537047
0.0585480093677 -0.02589998
-0.170353982301 -0.0874817
-0.106666666667 -0.00457964
0.0507462686567 -0.01144831
-0.026988636364 0.050231465
0.007299270073 0.128139595
-0.030434782609 -0.01546867
0.050822122571 -0.01335778
0.0384068278805 -0.00931437
0.1520547945205 0.053831184
0.0059453032105 0.121532944
-0.008274231678 -0.00752095
-0.025029797378 -0.01711831
-0.095354523227 -0.00996507
-0.016216216216 0.149287145
0.032967032967 0.072735907
0.2340425531915 0.109273926
0.1691810344828 0.029739671
0.0230414746544 0.037921262
0.0783783783784 0.118761958
0.2923976608187 0.042197556
-0.039431157078 0.015516698
-0.107671601615 -0.03647296
-0.003016591252 0.00833019
0.0605143721634 0.029032697
0.1547788873039 0.018684276
-0.002470660902 0.030962229
-0.121362229102 -0.05287113
0.646229739253 -0.07980293
-0.083047945205 0.010923561
0.1017740429505 0.062914814
-0.150847457627 -0.07355369
-0.142215568862 -0.10175344
0.1727748691099 0.132210604
0.0525793650794 -0.05217313
0.0386427898209 -0.02963968
-0.032667876588 -0.04824721
0.172607879925 0.04390538
-0.218 0.006978285
0.1427109974425 0.170316003
0.1942703670546 -0.03180122
0.0356071964018 0.009178082
0.0517553384003 0.048483075
0.1286992429456 0.090916421
0.0631097560976 0.302201843
0.1740751362202 0.035285445
0.1880801172447 0.183346715
0.0719572368421 0.036044454
-0.064633678558 0.003915655
-0.041623949149 0.012995091
0.1033376123235 0.080096639
0.0199728524336 0.007508986

0.0323303980645 0.024108837
0.3879647767745 0.289306041
0.1325546828688 0.073951638 Market Variance 0.005468845
1.5906561944257 0.887419656