Full-Scale Real DataOne plus

Inputs Expected Standard Exp RetReturn Deviation Ones

Riskless Rate (r) 0.3% 0.0% 100.3%Risky Asset 1 2.5% 20.2% 102.5% 100.0%Risky Asset 2 1.2% 10.6% 101.2% 100.0%Risky Asset 3 1.0% 10.5% 101.0% 100.0%Risky Asset 4 0.4% 9.3% 100.4% 100.0%Risky Asset 5 1.9% 10.3% 101.9% 100.0%Risky Asset 6 1.5% 6.0% 101.5% 100.0%Risky Asset 7 5.0% 18.0% 105.0% 100.0%Risky Asset 8 4.0% 15.3% 104.0% 100.0%Risky Asset 9 -0.3% 11.2% 99.7% 100.0%Risky Asset 10 1.0% 6.6% 101.0% 100.0%Risky Asset 11 0.9% 17.6% 100.9% 100.0%Risky Asset 12 -0.4% 11.4% 99.6% 100.0%Risky Asset 13 -6.7% 20.6% 93.3% 100.0%Risky Asset 14 -0.2% 9.7% 99.8% 100.0%Risky Asset 15 7.3% 27.3% 107.3% 100.0%Risky Asset 16 -0.2% 10.0% 99.8% 100.0%Risky Asset 17 1.8% 7.3% 101.8% 100.0%Risky Asset 18 1.3% 14.1% 101.3% 100.0%Risky Asset 19 1.6% 14.3% 101.6% 100.0%Risky Asset 20 1.7% 17.1% 101.7% 100.0%

Correlations1 2 3 4 5 6 7 8 9

1 100.0% 15.6% 39.3% 3.3% 29.2% -13.2% 34.0% 40.5% -5.9%2 15.6% 100.0% 20.5% 15.1% 14.2% 13.2% -4.0% 6.7% 28.5%3 39.3% 20.5% 100.0% 44.4% 23.6% 7.2% 30.6% 16.6% 20.4%4 3.3% 15.1% 44.4% 100.0% 21.8% -11.5% -4.9% 6.0% 23.5%5 29.2% 14.2% 23.6% 21.8% 100.0% -15.0% 32.5% 14.4% 21.4%6 -13.2% 13.2% 7.2% -11.5% -15.0% 100.0% -20.6% 8.4% 32.8%7 34.0% -4.0% 30.6% -4.9% 32.5% -20.6% 100.0% 30.7% -1.8%8 40.5% 6.7% 16.6% 6.0% 14.4% 8.4% 30.7% 100.0% 18.5%9 -5.9% 28.5% 20.4% 23.5% 21.4% 32.8% -1.8% 18.5% 100.0%

10 15.6% 31.1% 18.1% 19.3% 15.7% -11.8% 14.9% 2.7% 9.4%11 21.6% 21.8% -1.3% -8.9% 31.1% -2.0% 5.9% 31.0% 22.0%12 21.6% 17.6% 19.5% 7.4% 10.7% 10.5% 5.1% -23.7% 6.5%13 10.0% 5.8% 4.8% -1.6% -1.7% -5.2% 35.4% 5.7% 9.4%14 31.3% 42.9% 38.9% 14.3% 30.0% -0.9% 37.2% 17.3% 10.9%15 38.6% 30.6% 32.3% 29.6% 21.4% -28.4% 22.8% 18.3% -0.4%16 -1.9% 0.9% 16.7% 16.2% 4.6% 17.1% -9.5% 17.8% 16.1%17 11.4% 1.6% 16.3% -8.0% 24.4% 9.6% 3.7% 5.6% 6.2%18 36.5% 42.7% 19.0% 1.5% 25.8% -13.9% 6.5% 9.4% 0.8%19 38.5% 27.4% 55.0% 30.0% 20.8% -2.8% 40.7% 35.6% 21.3%20 -4.6% 17.5% 16.3% -5.6% 2.3% 21.4% 1.6% 5.0% 20.1%

Standard Deviations1 2 3 4 5 6 7 8 920.2% 10.6% 10.5% 9.3% 10.3% 6.0% 18.0% 15.3% 11.2%

PORTFOLIO OPTIMIZATION

[1 + E(r)]

0% 5% 10% 15% 20% 25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%Eff. Trade-Off Line & Eff. Frontier Curve

Standard Deviation (s)E

xpec

ted

Ret

urn

Variances and Covariances1 2 3 4 5 6 7 8 9

1 4.09% 0.33% 0.84% 0.06% 0.61% -0.16% 1.24% 1.26% -0.13%2 0.33% 1.13% 0.23% 0.15% 0.16% 0.08% -0.08% 0.11% 0.34%3 0.84% 0.23% 1.11% 0.43% 0.26% 0.05% 0.58% 0.27% 0.24%4 0.06% 0.15% 0.43% 0.86% 0.21% -0.06% -0.08% 0.09% 0.24%5 0.61% 0.16% 0.26% 0.21% 1.07% -0.09% 0.60% 0.23% 0.25%6 -0.16% 0.08% 0.05% -0.06% -0.09% 0.36% -0.22% 0.08% 0.22%7 1.24% -0.08% 0.58% -0.08% 0.60% -0.22% 3.23% 0.84% -0.04%8 1.26% 0.11% 0.27% 0.09% 0.23% 0.08% 0.84% 2.35% 0.32%9 -0.13% 0.34% 0.24% 0.24% 0.25% 0.22% -0.04% 0.32% 1.26%

10 0.21% 0.22% 0.13% 0.12% 0.11% -0.05% 0.18% 0.03% 0.07%11 0.77% 0.41% -0.02% -0.15% 0.57% -0.02% 0.19% 0.84% 0.44%12 0.50% 0.21% 0.23% 0.08% 0.13% 0.07% 0.10% -0.41% 0.08%13 0.42% 0.13% 0.10% -0.03% -0.04% -0.06% 1.31% 0.18% 0.22%14 0.61% 0.44% 0.40% 0.13% 0.30% -0.01% 0.65% 0.26% 0.12%15 2.14% 0.89% 0.93% 0.75% 0.60% -0.47% 1.12% 0.77% -0.01%16 -0.04% 0.01% 0.18% 0.15% 0.05% 0.10% -0.17% 0.27% 0.18%17 0.17% 0.01% 0.13% -0.05% 0.18% 0.04% 0.05% 0.06% 0.05%18 1.04% 0.64% 0.28% 0.02% 0.38% -0.12% 0.16% 0.20% 0.01%19 1.11% 0.42% 0.83% 0.40% 0.31% -0.02% 1.05% 0.78% 0.34%20 -0.16% 0.32% 0.29% -0.09% 0.04% 0.22% 0.05% 0.13% 0.38%

OutputsA 1076.957B 1090.494

C. 1104.797 Efficient EfficientDelta 6.4E+02 Frontier Trade-off Individual

Gamma 0.097032 Curve Line Asset Optimal CombinationStandard Expected Expected Expected of Risky Assets

Index Deviation Return Return Return (Tangent Portfolio)Risky Asset 1 20.2% 2.5% 1 -1.0%Risky Asset 2 10.6% 1.2% 2 10.4%Risky Asset 3 10.5% 1.0% 3 -35.0%Risky Asset 4 9.3% 0.4% 4 10.3%Risky Asset 5 10.3% 1.9% 5 1.0%Risky Asset 6 6.0% 1.5% 6 80.9%Risky Asset 7 18.0% 5.0% 7 35.4%Risky Asset 8 15.3% 4.0% 8 -6.1%Risky Asset 9 11.2% -0.3% 9 -15.7%Risky Asset 10 6.6% 1.0% 10 13.9%Risky Asset 11 17.6% 0.9% 11 -1.4%Risky Asset 12 11.4% -0.4% 12 -15.4%Risky Asset 13 20.6% -6.7% 13 -28.3%Risky Asset 14 9.7% -0.2% 14 -44.5%Risky Asset 15 27.3% 7.3% 15 18.0%Risky Asset 16 10.0% -0.2% 16 15.5%Risky Asset 17 7.3% 1.8% 17 32.1%Risky Asset 18 14.1% 1.3% 18 3.5%Risky Asset 19 14.3% 1.6% 19 21.1%

Risky Asset 20 17.1% 1.7% 20 5.0%Trade-off Curve 0 25.00% -17.91%Trade-off Curve 1 22.54% -15.99%Trade-off Curve 2 20.08% -14.07%Trade-off Curve 3 17.63% -12.16%Trade-off Curve 4 15.20% -10.24%Trade-off Curve 5 12.78% -8.32%Trade-off Curve 6 10.38% -6.41%Trade-off Curve 7 8.04% -4.49%Trade-off Curve 8 5.82% -2.58%Trade-off Curve 9 3.93% -0.66%Trade-off Curve 10 3.05% 1.26%Trade-off Curve 11 3.93% 3.17%Trade-off Curve 12 5.82% 5.09%Trade-off Curve 13 8.04% 7.01%Trade-off Curve 14 10.38% 8.92%Trade-off Curve 15 12.78% 10.84%Trade-off Curve 16 15.20% 12.75%Trade-off Curve 17 17.63% 14.67%Trade-off Curve 18 20.08% 16.59%Trade-off Curve 19 22.54% 18.50%Trade-off Curve 20 25.00% 20.42%Optimal Comb. 8.1% 7.0%Eff Trade-off Line 0.0% 0.0% 0.3%Eff Trade-off Line 100.0% 8.1% 7.0%Eff Trade-off Line 500.0% 40.4% 34.0%

10 11 12 13 14 15 16 17 1815.6% 21.6% 21.6% 10.0% 31.3% 38.6% -1.9% 11.4% 36.5%31.1% 21.8% 17.6% 5.8% 42.9% 30.6% 0.9% 1.6% 42.7%18.1% -1.3% 19.5% 4.8% 38.9% 32.3% 16.7% 16.3% 19.0%19.3% -8.9% 7.4% -1.6% 14.3% 29.6% 16.2% -8.0% 1.5%15.7% 31.1% 10.7% -1.7% 30.0% 21.4% 4.6% 24.4% 25.8%

-11.8% -2.0% 10.5% -5.2% -0.9% -28.4% 17.1% 9.6% -13.9%14.9% 5.9% 5.1% 35.4% 37.2% 22.8% -9.5% 3.7% 6.5%

2.7% 31.0% -23.7% 5.7% 17.3% 18.3% 17.8% 5.6% 9.4%9.4% 22.0% 6.5% 9.4% 10.9% -0.4% 16.1% 6.2% 0.8%

100.0% 7.0% 11.0% 13.0% 20.0% 21.7% 16.0% -4.0% 27.1%7.0% 100.0% 26.1% -10.8% 23.0% 15.3% -1.1% 0.3% 22.7%

11.0% 26.1% 100.0% -4.1% 15.3% 4.3% -5.3% 19.7% 12.0%13.0% -10.8% -4.1% 100.0% 8.9% 13.6% 4.9% -28.7% 16.0%20.0% 23.0% 15.3% 8.9% 100.0% 29.4% 13.9% 24.2% 25.6%21.7% 15.3% 4.3% 13.6% 29.4% 100.0% -25.1% -5.4% 41.3%16.0% -1.1% -5.3% 4.9% 13.9% -25.1% 100.0% 7.4% 15.8%-4.0% 0.3% 19.7% -28.7% 24.2% -5.4% 7.4% 100.0% -3.5%27.1% 22.7% 12.0% 16.0% 25.6% 41.3% 15.8% -3.5% 100.0%13.1% 16.7% 11.7% 25.3% 37.8% 16.5% 9.1% -8.1% 20.2%11.9% 17.4% 3.4% 20.6% -13.3% 9.4% -5.5% -4.8% 6.8%

10 11 12 13 14 15 16 17 186.6% 17.6% 11.4% 20.6% 9.7% 27.3% 10.0% 7.3% 14.1%

0% 5% 10% 15% 20% 25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%Eff. Trade-Off Line & Eff. Frontier Curve

Standard Deviation (s)

Exp

ecte

d R

etu

rn

10 11 12 13 14 15 16 17 180.21% 0.77% 0.50% 0.42% 0.61% 2.14% -0.04% 0.17% 1.04%0.22% 0.41% 0.21% 0.13% 0.44% 0.89% 0.01% 0.01% 0.64%0.13% -0.02% 0.23% 0.10% 0.40% 0.93% 0.18% 0.13% 0.28%0.12% -0.15% 0.08% -0.03% 0.13% 0.75% 0.15% -0.05% 0.02%0.11% 0.57% 0.13% -0.04% 0.30% 0.60% 0.05% 0.18% 0.38%

-0.05% -0.02% 0.07% -0.06% -0.01% -0.47% 0.10% 0.04% -0.12%0.18% 0.19% 0.10% 1.31% 0.65% 1.12% -0.17% 0.05% 0.16%0.03% 0.84% -0.41% 0.18% 0.26% 0.77% 0.27% 0.06% 0.20%0.07% 0.44% 0.08% 0.22% 0.12% -0.01% 0.18% 0.05% 0.01%0.43% 0.08% 0.08% 0.18% 0.13% 0.39% 0.11% -0.02% 0.25%0.08% 3.11% 0.52% -0.39% 0.40% 0.74% -0.02% 0.00% 0.57%0.08% 0.52% 1.29% -0.10% 0.17% 0.13% -0.06% 0.16% 0.19%0.18% -0.39% -0.10% 4.26% 0.18% 0.77% 0.10% -0.43% 0.47%0.13% 0.40% 0.17% 0.18% 0.94% 0.78% 0.13% 0.17% 0.35%0.39% 0.74% 0.13% 0.77% 0.78% 7.48% -0.68% -0.11% 1.60%0.11% -0.02% -0.06% 0.10% 0.13% -0.68% 0.99% 0.05% 0.22%

-0.02% 0.00% 0.16% -0.43% 0.17% -0.11% 0.05% 0.53% -0.04%0.25% 0.57% 0.19% 0.47% 0.35% 1.60% 0.22% -0.04% 2.00%0.12% 0.42% 0.19% 0.74% 0.52% 0.64% 0.13% -0.08% 0.41%0.13% 0.52% 0.07% 0.73% -0.22% 0.44% -0.09% -0.06% 0.16%

19 2038.5% -4.6%27.4% 17.5%55.0% 16.3%30.0% -5.6%20.8% 2.3%-2.8% 21.4%40.7% 1.6%35.6% 5.0%21.3% 20.1%13.1% 11.9%16.7% 17.4%11.7% 3.4%25.3% 20.6%37.8% -13.3%16.5% 9.4%

9.1% -5.5%-8.1% -4.8%20.2% 6.8%

100.0% -0.7%-0.7% 100.0%

19 2014.3% 17.1%

19 201.11% -0.16%0.42% 0.32%0.83% 0.29%0.40% -0.09%0.31% 0.04%

-0.02% 0.22%1.05% 0.05%0.78% 0.13%0.34% 0.38%0.12% 0.13%0.42% 0.52%0.19% 0.07%0.74% 0.73%0.52% -0.22%0.64% 0.44%0.13% -0.09%

-0.08% -0.06%0.41% 0.16%2.04% -0.02%

-0.02% 2.92%