PORTFOLIO OPTIMIZATION

ONE PLUS INPUTS EXPECTED STANDARD EXP RATE

RETURN DEVIATION {1+E®} ONESRiskless Rate ® 5.00% 0.00% 105.00%Risky Asset 1 8.00% 20.00% 108.00% 100.00%Risky Asset 2 9.00% 20.00% 109.00% 100.00%Risky Asset 3 10.00% 20.00% 110.00% 100.00%Risky Asset 4 11.00% 20.00% 111.00% 100.00%Risky Asset 5 12.00% 20.00% 112.00% 100.00%Risky Asset 6 13.00% 20.00% 113.00% 100.00%

CORRELATIONS1 2 3 4 5 6

1 100.00% 0.00% 0.00% 0.00% 0.00% 0.00%2 0.00% 100.00% 0.00% 0.00% 0.00% 0.00%3 0.00% 0.00% 100.00% 0.00% 0.00% 0.00%4 0.00% 0.00% 0.00% 100.00% 0.00% 0.00%5 0.00% 0.00% 0.00% 0.00% 100.00% 0.00%6 0.00% 0.00% 0.00% 0.00% 0.00% 100.00%

STANDARD DEVIATIONRISKY ASSETS 1 2 3 4 5 6

20.00% 20.00% 20.00% 20.00% 20.00% 20.00%

VARIANCES&COVARIANCES1 2 3 4 5 6

1 4.00% 0.00% 0.00% 0.00% 0.00% 0.00%2 0.00% 4.00% 0.00% 0.00% 0.00% 0.00%3 0.00% 0.00% 4.00% 0.00% 0.00% 0.00%4 0.00% 0.00% 0.00% 4.00% 0.00% 0.00%5 0.00% 0.00% 0.00% 0.00% 4.00% 0.00%6 0.00% 0.00% 0.00% 0.00% 0.00% 4.00%

A 150B 165.75C 183.1975DELTA 6.5625GAMMA 0.121212121

Input data in Blue cells only.

EFFICIENT FRONTIER

CURVE

EFFICIENT TRADE OFF

LINE

INDIVIDUA

L ASSET

INDEX

RISKY ASSET 1 20.00% 8.00%RISKY ASSET 2 20.00% 9.00%RISKY ASSET 3 20.00% 10.00%RISKY ASSET 4 20.00% 11.00%RISKY ASSET 5 20.00% 12.00%RISKY ASSET 6 20.00% 13.00%

0 25.00% 5.56%1 22.78% 6.05%2 20.59% 6.55%3 18.45% 7.04%4 16.36% 7.53%5 14.36% 8.03%6 12.49% 8.52%7 10.81% 9.02%8 9.43% 9.51%9 8.50% 10.01%

10 8.16% 10.50%11 8.50% 10.99%12 9.43% 11.49%13 10.81% 11.98%14 12.49% 12.48%15 14.36% 12.97%16 16.36% 13.47%17 18.45% 13.96%18 20.59% 14.45%19 22.78% 14.95%20 25.00% 15.44%

OPTIMAL COMBINATION 8.55% 11.03%EFFICIENT TRADE 0.00% 0.00% 5.00%

100.00% 8.55% 11.03%200.00% 17.10% 17.06%

STANDARD DEVIATION

EXPECTED RETURN

EXPECTED RETURN

0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 30.00%0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

18.00%

EFFICIENT TRADE OFF LINE & EFFICIENT FRONTIER CURVE

Column EColumn FColumn G

STANDARD DEVIATION

EX

PE

CT

ED

RE

TU

RN

1 2 3 4 5 60.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

PORTFOLIO WEIGHTS IN AN OPTIMAL (TANGENT) PORTFOLIO

Column I

ASSET NUMBER

PO

RT

FO

LIO

WE

IGH

TS

9.09%12.12%15.15%18.18%21.21%24.24%

OPTIMAL

COMBINATION OF

RISKY ASSETS IN

TANGENT PORTFOLIO

0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 30.00%0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%

18.00%

EFFICIENT TRADE OFF LINE & EFFICIENT FRONTIER CURVE

Column EColumn FColumn G

STANDARD DEVIATION

EX

PE

CT

ED

RE

TU

RN

1 2 3 4 5 60.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

PORTFOLIO WEIGHTS IN AN OPTIMAL (TANGENT) PORTFOLIO

Column I

ASSET NUMBER

PO

RT

FO

LIO

WE

IGH

TS