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    Determining an Efficient Frontier - Portfolio Analysis

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    Seeking to understand the simple techniques for determining the efficient frontier - portfolio analysis.
    To enable me to fully understand the simple techniques for determining the efficient frontier & portfolio analysis kindly arrange a detailed step-by-step solution of the attached problems and questions in a word document giving the supporting formulas first showing what the symbols there in the formulas stand for.

    © BrainMass Inc. brainmass.com June 4, 2020, 3:51 am ad1c9bdddf
    https://brainmass.com/business/finance/determining-efficient-frontier-portfolio-analysis-538736

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    Answer:
    Given that,
    Security Number Expected return Beta σ2ei
    1 15 1.0 30
    2 12 1.5 20
    3 11 2.0 40
    4 8 0.8 10
    5 9 1.0 20
    6 14 1.5 10

    Now,
    Security Excess Return over beta
    ((R_i ) ̅-R_f)/β_i ((〖(R〗_i ) ̅-R_f)*β_i)/(σ_ei^2 ) (β_i^2)/(σ_ei^2 )
    1 (15-5)/1.0=10 ((15-5)*1.0)/30=3.33/10 1^2/30=3.33/100
    2 (12-5)/1.5=4.67 ((12-5)*1.5)/20=5.25/10 〖1.5〗^2/20=11.25/100
    3 (11-5)/2.0=3 ((11-5)*2.0)/40=3/10 2^2/40=10/100
    4 (8-5)/0.8=3.75 ((8-5)*0.8)/10=2.4/10 〖0.8〗^2/10=6.4/100
    5 (9-5)/1.0=4 ((9-5)*1.0)/20=2/10 1^2/20=5/100
    6 (14-5)/1.5=6 ((14-5)*1.5)/10=13.5/10 〖1.5〗^2/10=22.5/100

    And,
    Security ∑_(j=1)^i▒((〖(R〗_i ) ̅-R_f)*β_j)/(σ_ej^2 ) ∑_(j=1)^i▒(β_j^2)/(σ_ej^2 ) C_i=(σ_m^2*∑_(j=1)^i▒((〖(R〗_i ) ̅-R_f)*β_j)/(σ_ej^2 ))/(1+σ_m^2*∑_(j=1)^i▒(β_j^2)/(σ_ej^2 ))
    1 3.33/10 3.33/100 (10*(3.33/10))/(1+(10*(3.33/100)) )=2.45
    2 8.58/10 14.58/100 (10*(8.58/10))/(1+(10*14.58/100) )=3.49
    3 11.58/10 24.58/100 (10*(11.58/10))/(1+(10*24.58/100) )=3.35
    4 13.98/10 30.98/100 (10*(13.98/10))/(1+(10*30.98/100) ...

    Solution Summary

    The expert determines an efficient frontier for portfolio analysis. Simple techniques for determining the efficient frontiers are determined.

    $2.19

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