INPUTS

EffPrt StdDev c:cash c:bonds c:stocks cash 0.10 1.000 1.000 0.400 0.150 bonds 0.30 7.400 0.400 1.000 0.350 stocks 0.60 15.400 0.150 0.350 1.000

Asset Expected Returns:
asset number expected return
asset number expected return

Output format:

Expected Returns
Optimization

OUTPUT

Risk tolerance for which efficient portfolio is optimal

NOTES

Sample data based on monthly real returns, 1980 - 1995 (equally weighted)