Table 5-1 The expected Return and Standard Deviation of a Portfolio of Colonel Motors and Separated Edison When r = +1 Elton, Gruber, Brown, and Goetzman:

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Presentation transcript:

Table 5-1 The expected Return and Standard Deviation of a Portfolio of Colonel Motors and Separated Edison When r = +1 Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-1 Relationship between expected return and standard deviation when r = +1. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 5-2 The expected Return and Standard Deviation of a Portfolio of Colonel Motors and Separated Edison When r = –1 Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-2 Relationship between expected return and standard deviation when r = –1 Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-3 Relationship between expected return and standard deviation for various correlation coefficients. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 5-3 The Expected Return and Standard Deviation for a Portfolio of Colonel Motors and Separated Edison with r = 0 Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Figure 5-4 Relationship between expected return and standard deviation when r = 0. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 5-4 The expected Return and Standard Deviation of a Portfolio of Colonel Motors and Separated Edison When r = 0.5 Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-5 Relationship between expected return and standard deviation of return for various correlation coefficients. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

(Figure continues on next slide) FIGURE 5-6 Various possible relationships for expected return and standard deviation when the minimum variance portfolio and Colonel Motors are combined. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-6 (continued) Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

(Figure continues on next slide) FIGURE 5-7 Various possible relationships between expected return and standard deviation of return when the minimum variance portfolio is combined with portfolio S. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-7 (continued) Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-8 Risk and return possibilities for various assets and portfolios. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-9 The efficient frontier. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-10 An impossible shape for the efficient frontier. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 5-5 The Expected Return and Standard Deviation When Short Sales Are Allowed Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-11 Expected return standard deviation combinations of Colonel Motors and Separated Edison when short sales are allowed. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-12 The efficient set when short sales are allowed. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-13 Expected return and risk when the risk-free rate is mixed with portfolio A. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-14 Combinations of the riskless asset and various risky portfolios. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-15 The efficient frontier with lending but not borrowing at the riskless rate. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-16 The efficient frontier with riskless lending and borrowing at different rates. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 5-6 Returns with No Inflation Adjustment Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 5-7 Returns After Adjusting for Inflation Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 5-8 Risk and Return Over Different Horizons Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 5-9 Correlation over Different Horizons Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 5-10 The Effect of Time Horizon on Risk Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 5-11 Correlations over Different Time Horizons Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-17 The efficient frontier. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-18 The efficient frontier. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 5-19 Combinations of bonds, domestic stocks, and international stocks. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.