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Portfolio Optimization

Combined Portfolio Divided Portfolio Asset Allocation
 
Conclusions

Combined Portfolio/Computational Results

For our example we selected the subset of portfolios of 15 funds ranged in performance from 20 to 25 % and corresponding standard deviation from 4.45 to 6.20 %.

Selected portfolios are optimal in terms of performance (annual return) and risk (average standard deviation).

They can be selected in any range of minimum and maximum performance and include any number of funds (FIGURE 2.1).

 

TABLE 2.2: The subset of optimal portfolios (15 funds)

 
                                                               return %      std dev %

A85/C66/E64/E65/F02/F07/F41/F42/I14/I24/L18/M06/M14/Q00/Q09/	20.03		4.45
A85/E64/E65/F02/F07/F41/F42/I14/I24/L18/L19/M06/M14/Q00/Q09/	20.06		4.46
A85/E64/E65/F02/F07/F41/F42/I14/I24/L18/L90/M06/M14/Q00/Q09/	20.07		4.48
A72/A85/C66/E64/E65/F02/F07/F41/F42/I14/I24/M06/M14/Q00/Q09/	20.09		4.49
A85/C66/E64/E65/F02/F07/F41/F42/F61/I14/I24/M06/M14/Q00/Q09/	20.15		4.50
A85/C66/E48/E64/E65/F02/F07/F41/F42/I14/I24/J54/M06/Q00/Q09/	20.18		4.51
A85/C20/C66/E64/E65/F02/F07/F41/F42/I24/J32/M06/M14/Q00/Q09/	20.18		4.51
A85/C66/E48/E64/E65/F02/F07/F41/F42/I14/I24/J32/M06/Q00/Q09/	20.21		4.52
A85/C66/D08/E64/E65/F02/F07/F41/F42/I24/J54/M06/M14/Q00/Q09/	20.21		4.52
A85/C66/E48/E64/E65/F02/F07/F41/F42/I14/I24/K05/M06/Q00/Q09/	20.27		4.53
A85/C66/E48/E64/E65/F02/F07/F41/F42/I14/I24/L19/M06/Q00/Q09/	20.31		4.54
A85/E48/E64/E65/F02/F07/F41/F42/I14/I24/J54/M06/M14/Q00/Q09/	20.37		4.55
A85/E48/E64/E65/F02/F07/F41/F42/I14/I24/J32/M06/M14/Q00/Q09/	20.40		4.57
A85/C66/E48/E64/E65/F02/F07/F41/F42/I14/I24/M06/M14/Q00/Q09/	20.47		4.58
A85/E48/E64/E65/F02/F07/F41/F42/I14/I24/L19/M06/M14/Q00/Q09/	20.49		4.59
A85/E48/E64/E65/F02/F07/F41/F42/I14/I24/L18/M06/M14/Q00/Q09/	20.53		4.61
A85/E64/E65/F02/F07/F41/F42/F64/I14/I24/L18/M06/M14/Q00/Q09/	20.55		4.62
A85/C66/D08/E64/E65/F02/F07/F41/F42/I14/I24/J54/M06/Q00/Q09/	20.58		4.63
A85/C66/D08/E64/E65/F02/F07/F41/F42/I14/I24/J32/M06/Q00/Q09/	20.61		4.64
A85/C20/C66/E64/E65/F02/F07/F41/F42/I14/I24/L19/M06/Q00/Q09/	20.64		4.65
A85/C20/E64/E65/F02/F07/F41/F42/I14/I24/J54/M06/M14/Q00/Q09/	20.70		4.66
A85/C20/E64/E65/F02/F07/F41/F42/I14/I24/J32/M06/M14/Q00/Q09/	20.73		4.67
A85/C20/C66/E64/E65/F02/F07/F41/F42/I14/I24/M06/M14/Q00/Q09/	20.80		4.68
A85/C66/D08/E64/E65/F02/F07/F41/F42/I14/I24/M06/M14/Q00/Q09/	20.87		4.70
A85/D08/E64/E65/F02/F07/F41/F42/I14/I24/L19/M06/M14/Q00/Q09/	20.89		4.71
A85/D08/E64/E65/F02/F07/F41/F42/I14/I24/L18/M06/M14/Q00/Q09/	20.93		4.73
A85/E48/E64/E65/F02/F07/F41/F42/F64/I14/I24/M06/M14/Q00/Q09/	20.98		4.75
A85/C20/E48/E64/E65/F02/F07/F41/F42/I14/I24/J54/M06/Q00/Q09/	21.01		4.77
A85/D08/E64/E65/F02/F07/F41/F42/F61/I14/I24/M06/M14/Q00/Q09/	21.05		4.78
A85/C20/C66/E48/E64/E65/F02/F07/F41/F42/I14/I24/M06/Q00/Q09/	21.11		4.79
A85/C20/C66/D08/E64/E65/F02/F07/F41/F42/I24/M06/M14/Q00/Q09/	21.15		4.80
A85/C66/D08/E48/E64/E65/F02/F07/F41/F42/I14/I24/M06/Q00/Q09/	21.18		4.81
A85/D08/E48/E64/E65/F02/F07/F41/F42/I14/I24/L19/M06/Q00/Q09/	21.21		4.82
A85/C20/E48/E64/E65/F02/F07/F41/F42/I14/I24/M06/M14/Q00/Q09/	21.30		4.83
A85/D08/E48/E64/E65/F02/F07/F41/F42/I14/I24/M06/M14/Q00/Q09/	21.37		4.85
A85/E48/E64/E65/F02/F07/F41/F42/F47/I14/I24/M06/M14/Q00/Q09/	21.39		4.87
A85/E64/E65/F02/F07/F41/F42/F47/F64/I14/I24/M06/M14/Q00/Q09/	21.40		4.88
A85/C20/D08/E64/E65/F02/F07/F41/F42/I14/I24/J54/M06/Q00/Q09/	21.41		4.89
A85/C20/D08/E64/E65/F02/F07/F41/F42/I14/I24/J32/M06/Q00/Q09/	21.45		4.90
A85/C20/C66/D08/E64/E65/F02/F07/F41/F42/I14/I24/M06/Q00/Q09/	21.51		4.91
A85/C20/D08/E64/E65/F02/F07/F41/F42/I14/I24/L19/M06/Q00/Q09/	21.54		4.92
A85/C66/D08/E64/E65/F02/F07/F41/F42/F47/I14/I24/M06/Q00/Q09/	21.60		4.94
A85/C20/D08/E64/E65/F02/F07/F41/F42/I14/I24/M06/M14/Q00/Q09/	21.70		4.95
A85/C20/E64/E65/F02/F07/F41/F42/F47/I14/I24/M06/M14/Q00/Q09/	21.72		4.97
A85/D08/E64/E65/F02/F07/F41/F42/F47/I14/I24/M06/M14/Q00/Q09/	21.79		4.99
A85/C20/D08/E64/E65/F02/F07/F41/F42/F47/I24/J32/M06/Q00/Q09/	21.81		5.03
A85/C20/C66/D08/E64/E65/F02/F07/F41/F42/F47/I24/M06/Q00/Q09/	21.88		5.04
A85/C20/D08/E48/E64/E65/F02/F07/F41/F42/I14/I24/M06/Q00/Q09/	22.01		5.05
A85/C20/D08/E64/E65/F02/F07/F41/F42/F64/I14/I24/M06/Q00/Q09/	22.03		5.07
A85/C20/E48/E64/E65/F02/F07/F41/F42/F47/I14/I24/M06/Q00/Q09/	22.03		5.07
A85/C20/D08/E64/E65/F02/F07/F41/F42/F47/I24/M06/M14/Q00/Q09/	22.07		5.08
A85/D08/E48/E64/E65/F02/F07/F41/F42/F47/I14/I24/M06/Q00/Q09/	22.10		5.09
A85/D08/E64/E65/F02/F07/F41/F42/F47/F64/I14/I24/M06/Q00/Q09/	22.11		5.10
A85/C20/C25/E64/E65/F02/F07/F41/F42/I14/I24/L19/M06/Q00/Q09/	22.13		5.13
A85/C25/C66/D08/E64/E65/F02/F07/F41/F42/I14/I24/M06/Q00/Q09/	22.17		5.14
A85/C25/D08/E64/E65/F02/F07/F41/F42/I14/I24/L19/M06/Q00/Q09/	22.20		5.15
A85/C20/C25/E64/E65/F02/F07/F41/F42/I14/I24/M06/M14/Q00/Q09/	22.29		5.16
A85/C20/D08/E64/E65/F02/F07/F41/F42/F47/I14/I24/M06/Q00/Q09/	22.43		5.18
A85/C20/C25/C66/D08/E64/E65/F02/F07/F41/F42/I24/M06/Q00/Q09/	22.45		5.23
A85/C20/C25/D08/E64/E65/F02/F07/F41/F42/I24/L19/M06/Q00/Q09/	22.48		5.24
A85/C20/C25/E48/E64/E65/F02/F07/F41/F42/I14/I24/M06/Q00/Q09/	22.61		5.26
A85/C25/D08/E48/E64/E65/F02/F07/F41/F42/I14/I24/M06/Q00/Q09/	22.67		5.27
A85/C25/D08/E64/E65/F02/F07/F41/F42/F64/I14/I24/M06/Q00/Q09/	22.69		5.29
A85/C25/E48/E64/E65/F02/F07/F41/F42/F47/I14/I24/M06/Q00/Q09/	22.69		5.29
A85/C25/D08/E64/E65/F02/F07/F41/F42/F47/I24/M06/M14/Q00/Q09/	22.73		5.30
A85/C25/D08/E64/E65/F02/F07/F42/F47/I14/I24/M06/M14/Q00/Q09/	22.77		5.35
A85/C25/D08/E64/E65/F02/F07/F20/F41/F42/F47/I24/M06/Q00/Q09/	22.79		5.36
A85/C20/C25/D08/E64/E65/F02/F07/F41/F42/I14/I24/M06/Q00/Q09/	23.01		5.37
A85/C20/C25/E64/E65/F02/F07/F41/F42/F47/I14/I24/M06/Q00/Q09/	23.03		5.38
A85/C25/D08/E64/E65/F02/F07/F41/F42/F47/I14/I24/M06/Q00/Q09/	23.09		5.40
A85/C25/D08/E64/E65/F02/F07/F42/F47/F64/I14/I24/M06/Q00/Q09/	23.10		5.46
A85/C25/D08/E08/E64/E65/F02/F07/F41/F42/F47/I24/M06/Q00/Q09/	23.14		5.48
A85/C20/C25/D08/E64/E65/F02/F07/F41/F42/F47/I24/M06/Q00/Q09/	23.37		5.49
A85/C20/C25/D08/E64/E65/F02/F07/F42/F47/I14/I24/M06/Q00/Q09/	23.42		5.53
A85/C20/C25/D08/E64/E65/F02/F07/F41/F42/F47/I14/I24/Q00/Q09/	23.60		5.61
A85/C20/C25/D06/D08/E64/E65/F02/F07/F41/F42/I24/M06/Q00/Q09/	23.61		5.62
A85/C20/C25/D06/E64/E65/F02/F07/F41/F42/F47/I24/M06/Q00/Q09/	23.63		5.64
A85/C25/D06/D08/E64/E65/F02/F07/F41/F42/F47/I24/M06/Q00/Q09/	23.69		5.65
A85/C25/D06/D08/E64/E65/F02/F07/F42/F47/I14/I24/M06/Q00/Q09/	23.74		5.70
A85/C20/C25/D06/D08/E64/E65/F07/F41/F42/F47/I24/M06/Q00/Q09/	23.89		5.74
A85/C25/D08/E64/E65/F02/F07/F41/F42/F59/I14/I24/M06/Q00/Q09/	23.89		5.75
A85/C25/D06/D08/E64/E65/F02/F07/F41/F42/F47/I14/I24/Q00/Q09/	23.92		5.77
A85/C20/C25/D06/D08/E64/E65/F02/F07/F42/F47/I24/M06/Q00/Q09/	24.02		5.78
A85/C20/C25/D06/D08/E64/E65/F02/F07/F47/I14/I24/M06/Q00/Q09/	24.04		5.82
A85/C20/C25/D08/E64/E65/F02/F07/F41/F42/F59/I24/M06/Q00/Q09/	24.17		5.84
A85/C20/C25/E64/E65/F02/F07/F41/F42/F47/F59/I24/M06/Q00/Q09/	24.19		5.85
A85/C20/C25/D06/D08/E64/E65/F02/F07/F41/F42/F47/I24/Q00/Q09/	24.20		5.86
A85/C25/D08/E64/E65/F02/F07/F41/F42/F47/F59/I24/M06/Q00/Q09/	24.25		5.87
A85/C25/D08/E64/E65/F02/F07/F42/F47/F59/I14/I24/M06/Q00/Q09/	24.30		5.91
A85/C20/C25/D08/E64/E65/F07/F41/F42/F47/F59/I24/M06/Q00/Q09/	24.45		5.95
A85/C25/D08/E64/E65/F02/F07/F41/F42/F47/F59/I14/I24/Q00/Q09/	24.48		5.98
A85/C20/C25/D08/E64/E65/F02/F07/F42/F47/F59/I24/M06/Q00/Q09/	24.58		5.99
A85/C20/C25/D08/E64/E65/F02/F07/F47/F59/I14/I24/M06/Q00/Q09/	24.60		6.03
A85/C20/C25/D08/E64/E65/F02/F07/F41/F42/F47/F59/I24/Q00/Q09/	24.76		6.06
A85/C20/C25/D08/E64/E65/F02/F07/F42/F47/F59/I14/I24/Q00/Q09/	24.81		6.10
A85/C20/C25/D06/D08/E64/E65/F02/F07/F42/F59/I24/M06/Q00/Q09/	24.81		6.11
A85/C20/C25/D06/E64/E65/F02/F07/F42/F47/F59/I24/M06/Q00/Q09/	24.83		6.13
A85/C25/D06/D08/E64/E65/F02/F07/F42/F47/F59/I24/M06/Q00/Q09/	24.90		6.14
A85/C25/D06/D08/E64/E65/F02/F07/F47/F59/I14/I24/M06/Q00/Q09/	24.92		6.18
A85/C20/C25/D06/D08/E64/E65/F02/F07/F41/F42/F59/I24/Q00/Q09/	24.99		6.19
A85/C20/C25/D06/E64/E65/F02/F07/F41/F42/F47/F59/I24/Q00/Q09/	25.01		6.20



(FIGURE 2.1) Range of minimum and maximum return (%) and
risk (average standard deviation)

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