| Tickers WMT KO PFE CVS BRK.A # Assets 5 WMT ко PFE CVS BRK.A WMT ΚΟ PFE CVS BRK A Allocation Percentage Name Individual Portfolio Assets 20.00% Walmart Inc 10.00% Coca-Cola Co 5.00% Pfizer Inc. 25.00% CVS Health Corp 40.00% Berkshire Hathaway Inc. Class A Portfolio Calculations (Annualized) Expected Returns Allocation 100.00% WMT 1.000 0.240 0.085 0.348 0.318 Portfolio Coorelation Matrix 7.32% WMT 0.027 0.007 0.004 0.014 0.009 КО 0.240 0.985 0.140 0.350 0.567 StdDev (Volatility o) 13.74% Portfolio Annualized Covariance Matrix KO 0.007 0.028 0.006 0.014 0.016 PFE 0.085 0.140 0.968 0.198 0.168 PFE 0.004 0.006 0.068 0.013 0.007 Allocation (w) 0.20 0.10 0.05 0.25 0.40 Sharpe Ratio CVS 0.348 0.350 0.198 0.999 0.457 CVS 0.014 0.014 0.013 0.059 0.018 0.58 Mean Returns (μ) 6.24% 4.06% 0.33% 7.33% 9.53% BRK.A 0.318 0.567 0.168 0.457 0.994 BRK.A 0.009 0.016 0.007 0.018 0.027 Annualized StdDev (Volatility a) 15.65% 14.89% 15.33% 24.75% 16.05% Sharpe Ratio 0.44 0.31 0.06 0.32 0.63
| Tickers WMT KO PFE CVS BRK.A # Assets 5 WMT ко PFE CVS BRK.A WMT ΚΟ PFE CVS BRK A Allocation Percentage Name Individual Portfolio Assets 20.00% Walmart Inc 10.00% Coca-Cola Co 5.00% Pfizer Inc. 25.00% CVS Health Corp 40.00% Berkshire Hathaway Inc. Class A Portfolio Calculations (Annualized) Expected Returns Allocation 100.00% WMT 1.000 0.240 0.085 0.348 0.318 Portfolio Coorelation Matrix 7.32% WMT 0.027 0.007 0.004 0.014 0.009 КО 0.240 0.985 0.140 0.350 0.567 StdDev (Volatility o) 13.74% Portfolio Annualized Covariance Matrix KO 0.007 0.028 0.006 0.014 0.016 PFE 0.085 0.140 0.968 0.198 0.168 PFE 0.004 0.006 0.068 0.013 0.007 Allocation (w) 0.20 0.10 0.05 0.25 0.40 Sharpe Ratio CVS 0.348 0.350 0.198 0.999 0.457 CVS 0.014 0.014 0.013 0.059 0.018 0.58 Mean Returns (μ) 6.24% 4.06% 0.33% 7.33% 9.53% BRK.A 0.318 0.567 0.168 0.457 0.994 BRK.A 0.009 0.016 0.007 0.018 0.027 Annualized StdDev (Volatility a) 15.65% 14.89% 15.33% 24.75% 16.05% Sharpe Ratio 0.44 0.31 0.06 0.32 0.63
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
Question
I've a set of 5 securities and their individual and portfolio SD/Mean etc. i had to choose random weightings for them but then have a question around minimizing CV.
How do I find the combination of the weights that minimizes CV of the portfolio?
(what i have so far attached for reference - but just wondering what formula/concept i use to do so)
![Individual Portfolio Assets
Annualized
Allocation
Mean Returns
StdDev
Sharpe Ratio
0.44
Tickers
Percentage
Name
Allocation (w)
(Volatility a)
(H)
6.24%
WMT
20.00% Walmart Inc
0.20
15.65%
KO
10.00% Coca-Cola Co
0.10
4.06%
14.89%
0.31
PFE
5.00% Pfizer Inc.
0.05
0.33%
15.33%
0.06
cvs
25.00% CVS Health Corp
0.25
7.33%
24.75%
0.32
BRK.A
40.00% Berkshire Hathaway Inc. Class A
0.40
9.53%
16.05%
0.63
Portfolio Calculations (Annualized)
Expected
StdDev
# Assets
Allocation
Sharpe Ratio
Returns
(Volatility o)
100.00%
7.32%
13.74%
0.58
Portfolio Coorelation Matrix
WMT
ко
PFE
CVs
BRK.A
WMT
1.000
0.240
0.085
0,348
0.318
ко
0.240
0.985
0.140
0.350
0.567
PFE
0.085
0.140
0.968
0.198
0.168
CVs
0.348
0.350
0.198
0.999
0.457
BRK.A
0.318
0.567
0.168
0.457
0.994
Portfolio Annualized Covariance Matrix
WMT
ко
PFE
CVs
BRK.A
WMT
0.027
0.007
0.004
0.014
0.009
ко
0.007
0.028
0.006
0.014
0.016
PFE
0.004
0.006
0.068
0.013
0.007
CVs
0.014
0.014
0.013
0.059
0.018
BRK.A
0.009
0.016
0.007
0.018
0.027](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F75495efa-ed8b-48a9-9506-ebe339a84b0d%2Fd2ebd09d-0ce8-4811-b7cf-33a5e0dbd6d7%2Fpo4jkcb_processed.png&w=3840&q=75)
Transcribed Image Text:Individual Portfolio Assets
Annualized
Allocation
Mean Returns
StdDev
Sharpe Ratio
0.44
Tickers
Percentage
Name
Allocation (w)
(Volatility a)
(H)
6.24%
WMT
20.00% Walmart Inc
0.20
15.65%
KO
10.00% Coca-Cola Co
0.10
4.06%
14.89%
0.31
PFE
5.00% Pfizer Inc.
0.05
0.33%
15.33%
0.06
cvs
25.00% CVS Health Corp
0.25
7.33%
24.75%
0.32
BRK.A
40.00% Berkshire Hathaway Inc. Class A
0.40
9.53%
16.05%
0.63
Portfolio Calculations (Annualized)
Expected
StdDev
# Assets
Allocation
Sharpe Ratio
Returns
(Volatility o)
100.00%
7.32%
13.74%
0.58
Portfolio Coorelation Matrix
WMT
ко
PFE
CVs
BRK.A
WMT
1.000
0.240
0.085
0,348
0.318
ко
0.240
0.985
0.140
0.350
0.567
PFE
0.085
0.140
0.968
0.198
0.168
CVs
0.348
0.350
0.198
0.999
0.457
BRK.A
0.318
0.567
0.168
0.457
0.994
Portfolio Annualized Covariance Matrix
WMT
ко
PFE
CVs
BRK.A
WMT
0.027
0.007
0.004
0.014
0.009
ко
0.007
0.028
0.006
0.014
0.016
PFE
0.004
0.006
0.068
0.013
0.007
CVs
0.014
0.014
0.013
0.059
0.018
BRK.A
0.009
0.016
0.007
0.018
0.027
Expert Solution
![](/static/compass_v2/shared-icons/check-mark.png)
This question has been solved!
Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.
Step by step
Solved in 4 steps with 5 images
![Blurred answer](/static/compass_v2/solution-images/blurred-answer.jpg)
Recommended textbooks for you
![Essentials Of Investments](https://compass-isbn-assets.s3.amazonaws.com/isbn_cover_images/9781260013924/9781260013924_smallCoverImage.jpg)
Essentials Of Investments
Finance
ISBN:
9781260013924
Author:
Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:
Mcgraw-hill Education,
![FUNDAMENTALS OF CORPORATE FINANCE](https://www.bartleby.com/isbn_cover_images/9781260013962/9781260013962_smallCoverImage.gif)
![Financial Management: Theory & Practice](https://www.bartleby.com/isbn_cover_images/9781337909730/9781337909730_smallCoverImage.gif)
![Essentials Of Investments](https://compass-isbn-assets.s3.amazonaws.com/isbn_cover_images/9781260013924/9781260013924_smallCoverImage.jpg)
Essentials Of Investments
Finance
ISBN:
9781260013924
Author:
Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:
Mcgraw-hill Education,
![FUNDAMENTALS OF CORPORATE FINANCE](https://www.bartleby.com/isbn_cover_images/9781260013962/9781260013962_smallCoverImage.gif)
![Financial Management: Theory & Practice](https://www.bartleby.com/isbn_cover_images/9781337909730/9781337909730_smallCoverImage.gif)
![Foundations Of Finance](https://www.bartleby.com/isbn_cover_images/9780134897264/9780134897264_smallCoverImage.gif)
Foundations Of Finance
Finance
ISBN:
9780134897264
Author:
KEOWN, Arthur J., Martin, John D., PETTY, J. William
Publisher:
Pearson,
![Fundamentals of Financial Management (MindTap Cou…](https://www.bartleby.com/isbn_cover_images/9781337395250/9781337395250_smallCoverImage.gif)
Fundamentals of Financial Management (MindTap Cou…
Finance
ISBN:
9781337395250
Author:
Eugene F. Brigham, Joel F. Houston
Publisher:
Cengage Learning
![Corporate Finance (The Mcgraw-hill/Irwin Series i…](https://www.bartleby.com/isbn_cover_images/9780077861759/9780077861759_smallCoverImage.gif)
Corporate Finance (The Mcgraw-hill/Irwin Series i…
Finance
ISBN:
9780077861759
Author:
Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor
Publisher:
McGraw-Hill Education