| INVEST.XLS | Investment Non-Linear Program: Equal Probability Scenarios | |||||||||
| Avg. Portfolio | Portfolio | Portfolio Weights x(j) | Sum of Portfolio | |||||||
| Return | Stnd. Dev. | 1 | 2 | 3 | Weights | |||||
| 1.00 | 1.24 | 23.2% | 26.4% | 50.4% | 100% | |||||
| Min Return | 1.00 | 100% | ||||||||
| Portfolio | ||||||||||
| Return | Security returns by scenario | |||||||||
| Scenario | by Scenario | 1 | 2 | 3 | ||||||
| 1 | 3.08 | 5.51 | 1.95 | 2.56 | ||||||
| 2 | 0.39 | -1.24 | 2.26 | 0.16 | ||||||
| 3 | -0.13 | 5.46 | -4.07 | -0.64 | ||||||
| 4 | 0.66 | -1.90 | 3.59 | 0.30 | ||||||
| Average | ||||||||||
| StdDev | ||||||||||
| Correlations | ||||||||||
| Sec1 vs. Sec2 | ||||||||||
| Sec1 vs. Sec3 | ||||||||||
| Sec2 vs. Sec3 | ||||||||||