Data

Portfolio Optimization
Earnings History
Stock A Stock B Stock C
Jan 48.5% 22.4% 14.8%
Feb 10.3% 29.0% 26.0%
Mar 23.5% 21.5% 41.9%
Apr -5.5% -27.2% -6.9%
May -8.5% 14.5% 17.0%
Jun 5.6% 10.7% -3.5%
Jul 3.8% 32.1% 13.3%
Aug 8.9% 30.5% 73.2%
Sep 9.0% 19.5% 2.1%
Oct 8.2% 39.0% 3.0%
Nov 3.5% -7.2% 0.6%
Dec 17.6% 71.5% 90.8%

Mean 10.41% 21.36% 22.69%

S.D. 14.17% 23.13% 29.74%
correlations
Stock A Stock B Stock C
Stock A 100% 36% 27%
Stock B 36% 100% 71%
Stock C 27% 71% 100%
Products of Standard Deviations
0.1417 0.2313 0.2974
Stock A Stock B Stock C
0.1417 Stock A 0.0201 0.0328 0.0421
0.2313 Stock B 0.0328 0.0535 0.0688
0.2974 Stock C 0.0421 0.0688 0.0885
Covariance = Correlation * Product of S.D.s
Stock A Stock B Stock C
Stock A 0.0201 0.0119 0.0113
Stock B 0.0119 0.0535 0.0489
Stock C 0.0113 0.0489 0.0885
Covariances by Direct Formula
Stock A Stock B Stock C
Stock A 0.0201 0.0119 0.0113
Stock B 0.0119 0.0535 0.0489
Stock C 0.0113 0.0489 0.0885

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Portfolio Optimization Stock A Stock B Stock C Portfolio
Proportions in Portfolio 10.00% 15.00% 75.00% 100.00%
Maximum Proportion 75% 75% 75%
Minimum Proportion 10% 10% 10%
Average Return 10.41% 21.36% 22.69% 21.26%
Variance 0.0201 0.0535 0.0885 0.0642
Stanfard Deviation 14.17% 23.13% 29.74% 25.34%
Covariances Stock A Stock B Stock C Maximize portfolio return subj.
Stock A 0.0201 0.0119 0.0113 only to max & min of each stock
Stock B 0.0119 0.0535 0.0489
Stock C 0.0113 0.0489 0.0885
Products of Proportions Stock A Stock B Stock C
10.00% 15.00% 75.00%
10.00% Stock A 0.0100 0.0150 0.0750
15.00% Stock B 0.0150 0.0225 0.1125
75.00% Stock C 0.0750 0.1125 0.5625
Portfolio Optimization Stock A Stock B Stock C Portfolio
Proportions in Portfolio 75.00% 15.00% 10.00% 100.00%
Maximum Proportion 75% 75% 75%
Minimum Proportion 10% 10% 10%
Average Return 10.41% 21.36% 22.69% 13.28%
Variance 0.0201 0.0535 0.0885 0.0192
Stanfard Deviation 14.17% 23.13% 29.74% 13.86%
Stock A Stock B Stock C Minimize portfolio variance subj
Stock A 0.0201 0.0119 0.0113 only to max & min of each stock
Stock B 0.0119 0.0535 0.0489
Stock C 0.0113 0.0489 0.0885
Stock A Stock B Stock C
75.00% 15.00% 10.00%
75.00% Stock A 0.5625 0.1125 0.0750
15.00% Stock B 0.1125 0.0225 0.0150
10.00% Stock C 0.0750 0.0150 0.0100
Portfolio Optimization Stock A Stock B Stock C Portfolio
Proportions in Portfolio 67.62% 22.38% 10.00% 100.00%
Maximum Proportion 75% 75% 75%
Minimum Proportion 10% 10% 10% Required
Average Return 10.41% 21.36% 22.69% 14.09%
Variance 0.0201 0.0535 0.0885 0.0201 0.0201
Stanfard Deviation 14.17% 23.13% 29.74% 14.17%
Maximize portfolio return subject
Stock A Stock B Stock C to maximum tolerable variance
Stock A 0.0201 0.0119 0.0113 variance
Stock B 0.0119 0.0535 0.0489
Stock C 0.0113 0.0489 0.0885
Stock A Stock B Stock C
67.62% 22.38% 10.00%
67.62% Stock A 0.4572 0.1514 0.0676
22.38% Stock B 0.1514 0.0501 0.0224
10.00% Stock C 0.0676 0.0224 0.0100
Portfolio Optimization Stock A Stock B Stock C Portfolio
Proportions in Portfolio 59.28% 30.72% 10.00% 100.00%
Maximum Proportion 75% 75% 75%
Minimum Proportion 10% 10% 10% Required
Average Return 10.41% 21.36% 22.69% 15.00% 15.0%
Variance 0.0201 0.0535 0.0885 0.0217
Stanfard Deviation 14.17% 23.13% 29.74% 14.72%
Stock A Stock B Stock C Minimize portfolio variance subj
Stock A 0.0201 0.0119 0.0113 to minimum tolerable return
Stock B 0.0119 0.0535 0.0489
Stock C 0.0113 0.0489 0.0885
Stock A Stock B Stock C
59.28% 30.72% 10.00%
59.28% Stock A 0.3515 0.1821 0.0593
30.72% Stock B 0.1821 0.0943 0.0307
10.00% Stock C 0.0593 0.0307 0.0100