Year Small Stocks Large Stocks Int. Term...

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Year Small Stocks Large Stocks Int. Term Bonds (SmllS-Smllbar)^2 (SmllS-SmllSbar) (Bond-Bondbar) Product Weight 1970 -16.54 4.1 12.69 1 M,V,SD 2 each 1971 18.44 14.17 17.47 2 Var 5 1972 -0.62 19.14...

Year	Small Stocks	Large Stocks	Int. Term Bonds		(SmllS-Smllbar)^2		(SmllS-SmllSbar)	(Bond-Bondbar)	Product		Weight
1970	-16.54	4.1	12.69	1							M,V,SD	2 each
1971	18.44	14.17	17.47	2							Var	5
1972	-0.62	19.14	5.55	3							Cov	5
1973	-40.54	-14.75	1.40	4							Corr	5
1974	-29.74	-26.4	5.53	5							Beta SL	5
1975	69.54	37.26	8.50	6							Beta BL	5
1976	54.81	23.98	11.07	7							ER(SB)	7
1977	22.02	-7.26	0.90	8							SD(SB)	7
1978	22.29	6.5	-4.16	9							Chart	5
1979	43.99	18.77	9.02	10							ER(LB)	7
1980	35.34	32.48	13.17	11							SD((LB)	7
1981	7.79	-4.98	3.61	12							Chart	5
1982	27.44	22.09	6.52	13							SB mix	3
1983	34.49	22.37	-0.53	14							LB mix	3
1984	-14.02	6.46	15.29	15							7% borrow	3
1985	28.21	32	32.68	16							.5 t-bill,.5L
1986	3.4	18.4	23.96	17							ER	3
1987	-13.95	5.34	-2.65	18							SD	3
1988	21.72	16.86	8.40	19							Beta	3
1989	8.37	31.34	19.49	20							TOTAL	99
1990	-27.08	-3.2	7.13	21
1991	30.1	20.2	18.00	22
1992	27.84	7.71	7.79	23
1993	20.3	9.87	15.48	24
1994	-3.34	1.29	-7.18	25
1995	33.21	37.71	31.67	26
1996	16.5	23.07	-0.81	27
1997	22.36	33.17	15.08	28
1998	-2.55	28.58	13.52	29
1999	21.26	21.04	-8.74	30
2000	-3.02	-9.1	20.27	31
2001	-1.03	-11.89	4.21	32
2002	-21.58	-22.1	16.79	33
2003	74.57	28.69	2.38	34
2004	14.34	10.88	8.40	35
2005	3.20	4.91	7.29	36
2006	16.17	15.79	3.14	37
2007	-5.22	5.49	10.05	38
2008	-36.72	-37	13.11	39
2009	28.09	26.46	-2.4	40
2010	31.26	15.06	7.12	41
2011	-3.26	2.11	8.81	42
2012	18.24	16	1.66	43
2013	45.07	32.39	-3.68	44
2014	2.92	13.69	3	45
2015	-3.6	1.38	1.79	46
2016	15.97	11.98	1.76	47

				(SmllS-Smllbar)^2				Sum Product		Cov=(Sum Product/(N-1))=			Cov=(Sum/46)
				Var						*Corr=Sum/(N-1)/(sigSsigB)=**			*Sum/46/(sigSsigB)**
	SMALL	LARGE	BOND
Mean						Corr(Small,Bond)			Beta(Small, Large)
Var.						Corr(Large,Bond)
SD						Corr(Large,Small)			Beta(Bond,Large)

Weight	Weight		Small Stock and Bond Portfolio			Large Stock and Bond Portfolio
Stock	Bond		SD (Ret)	Expected Ret.		SD (Ret)	Expected Ret.		Small Stock and Bond Mix
1	0
0.9	0.1
0.8	0.2								Large Stock and Bond Mix
0.7	0.3
0.6	0.4
0.5	0.5								Change to 5% Borrowing Rate
0.4	0.6
0.3	0.7
0.2	0.8
0.1	0.9								.4 T-bill and .6 Large Stock and Bond Mix at the Optimal Large Stock and Bond Mix that you Found
0	1								E(R)=
									SD(R)=
									Beta=

Answered Same DayMar 14, 2021

Prabhash · Accepted Answer

Small Stock and Bond
25.021909833041864	22.519718849737679	20.017527866433493	17.515336883129304	15.013145899825117	12.510954916520932	10.008763933216747	7.5065729499125586	5.0043819666083733	2.5021909833041867	0	0	0.81606027289910144	1.6321205457982029	2.448180818697304	3.2642410915964057	4.0803013644955071	4.8963616373946079	5.7124219102937097	6.5284821831928115	7.3445424560919133	8.1606027289910141	SD(Return)
Expected Return
Large Stock and Bond
16.947388398895434	15.25264955900589	13.557910719116348	11.863171879226803	10.168433039337261	8.4736941994477171	6.7789553595581742	5.0842165196686304	3.3894776797790871	1.6947388398895435	0	0	0.81606027289910144	1.6321205457982029	2.448180818697304	3.2642410915964057	4.0803013644955071	4.8963616373946079	5.7124219102937097	6.5284821831928115	7.3445424560919133	8.1606027289910141	SD(Return)
Expected Return
DataSheet
	Year	Small Stocks	Large Stocks	Int. Term Bonds			(SmllS-Smllbar)^2		(SmllS-SmllSbar)	(Bond-Bondbar)	Product		Weight
	1970	-16.54	4.1	12.69	1		854.41		-29.23	4.53	-132.40		M,V,SD	2 each
	1971	18.44	14.17	17.47	2		33.06		5.75	9.31	53.53		Var	5
	1972	-0.62	19.14	5.55	3		177.16		-13.31	-2.61	34.75		Cov	5
	1973	-40.54	-14.75	1.40	4		2833.46		-53.23	-6.76	359.87		Corr	5
	1974	-29.74	-26.4	5.53	5		1800.32		-42.43	-2.63	111.62		Beta SL	5
	1975	69.54	37.26	8.50	6		3231.90		56.85	0.34	19.29		Beta BL	5
	1976	54.81	23.98	11.07	7		1774.08		42.12	2.91	122.54		ER(SB)	7
	1977	22.02	-7.26	0.90	8		87.04		9.33	-7.26	-67.74		SD(SB)	7
	1978	22.

Year Small Stocks Large Stocks Int. Term Bonds (SmllS-Smllbar)^2 (SmllS-SmllSbar) (Bond-Bondbar) Product Weight 1970 -16.54 4.1 12.69 1 M,V,SD 2 each 1971 18.44 14.17 17.47 2 Var 5 1972 -0.62 19.14...

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