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WOLFRAM|DEMONSTRATIONS PROJECT

Two-Asset Markowitz Feasible Set

​
two-asset portfolios allowed
yes
no
asset 1
expected return Ε(​
R
1
​)
0.12
standard deviation
of the return
σ
1
0.2
asset 2
expected return Ε(​
R
2
​)
0.08
standard deviation
of the return
σ
2
0.1
portfolio weights
proportion invested
w
1
0.5
relationship between the returns
correlation coefficient
ρ
12
-0.5
aesthetics
plot range
fixed
automatic
Ε(
R
p
)
w
1
Ε(
R
1
)+
w
2
Ε(
R
2
)
σ
p
0.5
2
σ
1
2
w
1
+
2
σ
2
2
w
2
+2
σ
12
w
1
w
2
σ
p
= risk = 0.0866025 Ε(
R
p
) = return = 0.1
Set the "two-asset portfolios allowed" toggle to "yes" to visualize the relationship between risk and expected return for two-asset portfolios, for varying levels of expected return and risk for the two individual assets, and of the correlation between their returns.
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