Optimset A Better Way to Better Investments

Portfolio Optimization Combined Portfolio Problem Description Initial Data Computational Results Divided Portfolio Problem Description Initial Data Computational Results 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) Top In-Stream Hydrokinetic Technology www.optimpower.com