|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
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|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.00273300 | 0.00208300 | 0.00159300 | 0.00048800 | 0.00117200 | 0.00231200 | 0.00071000 ||
| EWJ | 0.00208300 | 0.00276800 | 0.00130200 | 0.00045700 | 0.00110500 | 0.00164700 | 0.00056300 ||
| HYG | 0.00159300 | 0.00130200 | 0.00146300 | 0.00063900 | 0.00105000 | 0.00111000 | 0.00051900 ||
| LQD | 0.00048800 | 0.00045700 | 0.00063900 | 0.00060800 | 0.00066300 | 0.00004200 | 0.00037000 ||
| EMD | 0.00117200 | 0.00110500 | 0.00105000 | 0.00066300 | 0.00138900 | 0.00082500 | 0.00066100 ||
| GSG | 0.00231200 | 0.00164700 | 0.00111000 | 0.00004200 | 0.00082500 | 0.00521100 | 0.00074900 ||
| BWX | 0.00071000 | 0.00056300 | 0.00051900 | 0.00037000 | 0.00066100 | 0.00074900 | 0.00070300 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 05% | 40% ||
| EWJ | 05% | 40% ||
| HYG | 05% | 30% ||
| LQD | 10% | 60% ||
| EMD | 05% | 35% ||
| GSG | 05% | 15% ||
| BWX | 03% | 50% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.139 | 00.139 | 00.139 | 00.189 | 00.139 | 00.139 | 00.119 | 00.000 | 00.000 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 | 0.00 | 1.00 | }
[ 00.120 | 00.127 | 00.119 | 00.217 | 00.138 | 00.128 | 00.151 | 28841.318 | 8512888.984 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.155 | 00.157 | 00.140 | 00.226 | 00.151 | 00.050 | 00.149 | 60306.719 |-2926625.424 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 1.00 | }
[ 00.136 | 00.139 | 00.128 | 00.221 | 00.141 | 00.083 | 00.151 | 49414.144 | 2617050.372 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 46212.883 | 4143414.240 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 46095.798 | 4204525.746 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 23047.679 | 2102358.491 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 11523.877 | 1051170.064 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 5761.933 | 525586.569 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 2880.966 | 262793.293 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 1440.483 | 131396.673 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 720.241 | 65698.237 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 360.120 | 32849.056 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 180.060 | 16424.459 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 90.030 | 8212.159 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 45.015 | 4106.010 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 22.507 | 2052.935 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 11.254 | 1026.398 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 05.627 | 513.129 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 02.813 | 256.495 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 01.406 | 128.178 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 00.703 | 64.019 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 00.351 | 31.940 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 00.176 | 15.900 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 00.088 | 07.880 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.126 | 00.220 | 00.139 | 00.091 | 00.152 | 00.044 | 03.871 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.127 | 00.220 | 00.139 | 00.091 | 00.152 | 00.022 | 01.866 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.127 | 00.221 | 00.139 | 00.091 | 00.152 | 00.011 | 00.863 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.127 | 00.221 | 00.139 | 00.091 | 00.151 | 00.005 | 00.362 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.127 | 00.222 | 00.138 | 00.091 | 00.151 | 00.002 | 00.111 |] 1.000 || {-0.00 |-0.00 | 0.01 | 0.01 |-0.00 |-0.00 |-0.01 |-0.01 |-1.00 | }
[ 00.134 | 00.137 | 00.128 | 00.224 | 00.138 | 00.091 | 00.149 | 00.001 |-00.014 |] 1.000 || {-0.00 |-0.01 | 0.02 | 0.06 |-0.02 |-0.01 |-0.04 |-0.01 |-1.00 | }
[ 00.134 | 00.136 | 00.129 | 00.227 | 00.137 | 00.090 | 00.147 | 00.000 |-00.077 |] 1.000 || {-0.00 |-0.04 | 0.08 | 0.22 |-0.07 |-0.02 |-0.16 |-0.01 |-0.96 | }
[ 00.134 | 00.135 | 00.131 | 00.235 | 00.135 | 00.089 | 00.142 | 00.000 |-00.108 |] 1.000 || {-0.01 |-0.10 | 0.19 | 0.56 |-0.19 |-0.06 |-0.41 |-0.01 |-0.66 | }
[ 00.133 | 00.132 | 00.136 | 00.248 | 00.130 | 00.088 | 00.132 |-00.000 |-00.124 |] 1.000 || {-0.01 |-0.13 | 0.26 | 0.75 |-0.28 |-0.07 |-0.52 | 0.00 |-0.01 | }
[ 00.133 | 00.130 | 00.140 | 00.260 | 00.126 | 00.087 | 00.123 |-00.000 |-00.125 |] 1.000 || { 0.02 | 0.04 |-0.08 |-0.78 | 0.25 |-0.01 | 0.55 |-0.00 | 0.15 | }
[ 00.133 | 00.130 | 00.140 | 00.260 | 00.126 | 00.087 | 00.123 |-00.000 |-00.125 |] 1.000 || {-0.01 |-0.13 | 0.25 | 0.70 |-0.26 |-0.07 |-0.49 |-0.00 |-0.33 | }
[ 00.133 | 00.127 | 00.147 | 00.278 | 00.119 | 00.085 | 00.111 |-00.000 |-00.133 |] 1.000 || {-0.01 |-0.14 | 0.31 | 0.73 |-0.33 |-0.06 |-0.49 | 0.00 |-0.00 | }
[ 00.133 | 00.125 | 00.152 | 00.289 | 00.114 | 00.084 | 00.103 |-00.000 |-00.133 |] 1.000 || { 0.04 | 0.05 |-0.16 |-0.76 | 0.35 |-0.01 | 0.50 |-0.00 | 0.11 | }
[ 00.133 | 00.125 | 00.152 | 00.289 | 00.114 | 00.084 | 00.104 |-00.000 |-00.133 |] 1.000 || {-0.01 |-0.14 | 0.31 | 0.72 |-0.32 |-0.07 |-0.49 |-0.00 |-0.12 | }
[ 00.133 | 00.120 | 00.162 | 00.312 | 00.104 | 00.082 | 00.088 |-00.000 |-00.137 |] 1.000 || {-0.03 |-0.19 | 0.45 | 0.66 |-0.39 |-0.08 |-0.42 | 0.00 | 0.02 | }
[ 00.132 | 00.117 | 00.168 | 00.322 | 00.098 | 00.081 | 00.081 |-00.000 |-00.136 |] 1.000 || { 0.31 | 0.04 |-0.66 |-0.38 | 0.52 |-0.04 | 0.22 |-0.00 | 0.03 | }
[ 00.132 | 00.117 | 00.168 | 00.322 | 00.098 | 00.081 | 00.081 |-00.000 |-00.136 |] 1.000 || {-0.02 |-0.17 | 0.40 | 0.68 |-0.36 |-0.08 |-0.45 |-0.00 |-0.04 | }
[ 00.131 | 00.111 | 00.182 | 00.345 | 00.085 | 00.078 | 00.066 |-00.000 |-00.138 |] 1.000 || {-0.08 |-0.24 | 0.64 | 0.51 |-0.39 |-0.10 |-0.33 |-0.00 | 0.05 | }
[ 00.131 | 00.109 | 00.189 | 00.351 | 00.081 | 00.077 | 00.063 |-00.000 |-00.137 |] 1.000 || { 0.51 |-0.14 |-0.67 | 0.41 | 0.21 |-0.08 |-0.24 |-0.00 |-0.03 | }
[ 00.131 | 00.109 | 00.188 | 00.351 | 00.081 | 00.077 | 00.063 |-00.000 |-00.137 |] 1.000 || {-0.05 |-0.21 | 0.52 | 0.61 |-0.38 |-0.09 |-0.40 |-0.00 |-0.00 | }
[ 00.129 | 00.103 | 00.204 | 00.368 | 00.071 | 00.075 | 00.051 |-00.000 |-00.137 |] 1.000 || {-0.13 |-0.29 | 0.78 | 0.34 |-0.31 |-0.12 |-0.26 |-0.00 | 0.07 | }
[ 00.128 | 00.101 | 00.209 | 00.370 | 00.069 | 00.074 | 00.049 |-00.000 |-00.137 |] 1.000 || {-0.08 |-0.25 | 0.63 | 0.52 |-0.35 |-0.11 |-0.36 |-0.00 | 0.02 | }
[ 00.127 | 00.096 | 00.222 | 00.381 | 00.061 | 00.072 | 00.042 |-00.000 |-00.136 |] 1.000 || {-0.16 |-0.33 | 0.85 | 0.19 |-0.20 |-0.15 |-0.20 |-0.00 | 0.08 | }
[ 00.126 | 00.094 | 00.225 | 00.382 | 00.060 | 00.071 | 00.041 |-00.000 |-00.136 |] 1.000 || {-0.11 |-0.28 | 0.72 | 0.42 |-0.31 |-0.12 |-0.32 |-0.00 | 0.04 | }
[ 00.124 | 00.090 | 00.236 | 00.388 | 00.056 | 00.069 | 00.036 |-00.000 |-00.136 |] 1.000 || {-0.19 |-0.34 | 0.88 | 0.06 |-0.12 |-0.15 |-0.15 |-0.00 | 0.08 | }
[ 00.124 | 00.090 | 00.238 | 00.388 | 00.055 | 00.069 | 00.036 |-00.000 |-00.135 |] 1.000 || {-0.14 |-0.30 | 0.78 | 0.34 |-0.27 |-0.13 |-0.28 |-0.00 | 0.05 | }
[ 00.123 | 00.087 | 00.245 | 00.392 | 00.053 | 00.068 | 00.033 |-00.000 |-00.135 |] 1.000 || {-0.24 |-0.32 | 0.89 |-0.03 |-0.06 |-0.14 |-0.11 |-0.00 | 0.08 | }
[ 00.122 | 00.086 | 00.246 | 00.392 | 00.053 | 00.067 | 00.033 |-00.000 |-00.135 |] 1.000 || {-0.16 |-0.31 | 0.82 | 0.26 |-0.23 |-0.13 |-0.25 |-0.00 | 0.06 | }
[ 00.121 | 00.084 | 00.251 | 00.393 | 00.051 | 00.067 | 00.032 |-00.000 |-00.134 |] 1.000 || {-0.20 |-0.31 | 0.86 | 0.16 |-0.18 |-0.13 |-0.21 |-0.00 | 0.07 | }
[ 00.121 | 00.083 | 00.255 | 00.394 | 00.051 | 00.066 | 00.031 |-00.000 |-00.134 |] 1.000 || {-0.23 |-0.30 | 0.87 | 0.12 |-0.16 |-0.12 |-0.19 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.257 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.258 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.258 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.258 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
[ 00.120 | 00.082 | 00.259 | 00.394 | 00.050 | 00.066 | 00.030 |-00.000 |-00.134 |] 1.000 || {-0.25 |-0.29 | 0.88 | 0.10 |-0.15 |-0.11 |-0.18 |-0.00 | 0.07 | }
|------------------------------||
| OPTIMAL ASSET WEIGHTS ||
|------------------------------||
| ASSET | DROP | EXCEL ||
|------------------------------||
| TOK | 11.9510% | 11.9291% ||
| EWJ | 08.1797% | 08.1994% ||
| HYG | 25.8687% | 25.8774% ||
| LQD | 39.4377% | 39.4306% ||
| EMD | 05.0000% | 05.0000% ||
| GSG | 06.5629% | 06.5636% ||
| BWX | 03.0000% | 03.0000% ||
|------------------------------||
|-------------------------------------------------------------||
| Optimal Portfolio Normalize : 1.0000 ||
| Optimal Portfolio Input Return : 0.5000% ||
| Optimal Portfolio Expected Return : 0.5000% ||
| Optimal Portfolio Standard Deviation : 2.9697% ||
| Excel Portfolio Standard Deviation (Calculated) : 2.9698% ||
| Excel Portfolio Standard Deviation (Input) : 2.9698% ||
|-------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Finish Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
| Run Duration => 18 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.00273300 | 0.00208300 | 0.00159300 | 0.00048800 | 0.00117200 | 0.00231200 | 0.00071000 ||
| EWJ | 0.00208300 | 0.00276800 | 0.00130200 | 0.00045700 | 0.00110500 | 0.00164700 | 0.00056300 ||
| HYG | 0.00159300 | 0.00130200 | 0.00146300 | 0.00063900 | 0.00105000 | 0.00111000 | 0.00051900 ||
| LQD | 0.00048800 | 0.00045700 | 0.00063900 | 0.00060800 | 0.00066300 | 0.00004200 | 0.00037000 ||
| EMD | 0.00117200 | 0.00110500 | 0.00105000 | 0.00066300 | 0.00138900 | 0.00082500 | 0.00066100 ||
| GSG | 0.00231200 | 0.00164700 | 0.00111000 | 0.00004200 | 0.00082500 | 0.00521100 | 0.00074900 ||
| BWX | 0.00071000 | 0.00056300 | 0.00051900 | 0.00037000 | 0.00066100 | 0.00074900 | 0.00070300 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 05% | 40% ||
| EWJ | 05% | 40% ||
| HYG | 05% | 30% ||
| LQD | 10% | 60% ||
| EMD | 05% | 35% ||
| GSG | 05% | 15% ||
| BWX | 03% | 50% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.139 | 00.139 | 00.139 | 00.189 | 00.139 | 00.139 | 00.119 | 00.000 | 00.000 |] 1.000 || { 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.01 |-1.00 | }
[ 00.166 | 00.157 | 00.135 | 00.181 | 00.130 | 00.128 | 00.103 | 126123.389 |-10735725.655 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.197 | 00.177 | 00.143 | 00.185 | 00.137 | 00.054 | 00.107 | 126327.463 |-12976561.865 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 1.00 | }
[ 00.183 | 00.167 | 00.138 | 00.183 | 00.133 | 00.091 | 00.106 | 126407.266 |-11640170.888 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 126199.841 |-11414508.923 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 63097.429 |-5704955.296 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 31548.801 |-2852489.095 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 15774.400 |-1426244.036 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 7887.206 |-713122.881 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 3943.603 |-356561.537 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 1971.801 |-178280.822 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 985.901 |-89140.494 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 492.950 |-44570.329 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 246.475 |-22285.249 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 123.237 |-11142.708 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 61.619 |-5571.438 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 30.809 |-2785.802 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 15.405 |-1392.985 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 07.702 |-696.576 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 03.851 |-348.372 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 01.925 |-174.269 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 00.963 |-87.218 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 00.481 |-43.693 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 00.241 |-21.930 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 00.120 |-11.048 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 00.060 |-05.608 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.166 | 00.138 | 00.183 | 00.133 | 00.094 | 00.105 | 00.030 |-02.887 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.165 | 00.138 | 00.183 | 00.132 | 00.094 | 00.105 | 00.015 |-01.527 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.165 | 00.139 | 00.184 | 00.132 | 00.094 | 00.105 | 00.007 |-00.847 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.182 | 00.164 | 00.140 | 00.185 | 00.132 | 00.094 | 00.104 | 00.004 |-00.507 |] 1.000 || { 0.00 |-0.01 | 0.01 | 0.01 |-0.00 |-0.00 |-0.01 |-0.01 | 1.00 | }
[ 00.182 | 00.163 | 00.142 | 00.186 | 00.131 | 00.093 | 00.103 | 00.002 |-00.337 |] 1.000 || { 0.00 |-0.03 | 0.05 | 0.04 |-0.02 |-0.01 |-0.03 |-0.01 | 1.00 | }
[ 00.182 | 00.160 | 00.146 | 00.190 | 00.130 | 00.092 | 00.100 | 00.001 |-00.252 |] 1.000 || { 0.00 |-0.11 | 0.17 | 0.16 |-0.07 |-0.04 |-0.12 |-0.01 | 0.95 | }
[ 00.182 | 00.156 | 00.153 | 00.197 | 00.126 | 00.090 | 00.094 | 00.000 |-00.210 |] 1.000 || {-0.01 |-0.32 | 0.59 | 0.54 |-0.29 |-0.12 |-0.39 | 0.00 |-0.01 | }
[ 00.182 | 00.152 | 00.160 | 00.204 | 00.123 | 00.089 | 00.090 | 00.000 |-00.210 |] 1.000 || { 0.20 | 0.12 |-0.57 |-0.55 | 0.38 | 0.02 | 0.39 |-0.00 | 0.17 | }
[ 00.182 | 00.152 | 00.160 | 00.204 | 00.123 | 00.089 | 00.090 | 00.000 |-00.210 |] 1.000 || {-0.01 |-0.20 | 0.38 | 0.35 |-0.19 |-0.08 |-0.25 |-0.01 | 0.77 | }
[ 00.182 | 00.146 | 00.171 | 00.213 | 00.118 | 00.087 | 00.083 | 00.000 |-00.189 |] 1.000 || {-0.04 |-0.28 | 0.61 | 0.53 |-0.36 |-0.11 |-0.35 | 0.00 |-0.01 | }
[ 00.182 | 00.143 | 00.179 | 00.220 | 00.113 | 00.085 | 00.078 | 00.000 |-00.189 |] 1.000 || { 0.22 | 0.09 |-0.59 |-0.52 | 0.45 | 0.01 | 0.34 |-0.00 | 0.12 | }
[ 00.182 | 00.143 | 00.179 | 00.220 | 00.113 | 00.085 | 00.078 | 00.000 |-00.189 |] 1.000 || {-0.02 |-0.27 | 0.57 | 0.50 |-0.32 |-0.11 |-0.33 |-0.00 | 0.37 | }
[ 00.181 | 00.135 | 00.195 | 00.234 | 00.104 | 00.082 | 00.069 |-00.000 |-00.179 |] 1.000 || {-0.04 |-0.26 | 0.64 | 0.49 |-0.41 |-0.12 |-0.31 | 0.00 | 0.01 | }
[ 00.180 | 00.131 | 00.204 | 00.241 | 00.098 | 00.080 | 00.064 |-00.000 |-00.179 |] 1.000 || { 0.31 |-0.02 |-0.60 |-0.43 | 0.53 |-0.04 | 0.25 |-0.00 | 0.11 | }
[ 00.180 | 00.131 | 00.204 | 00.241 | 00.098 | 00.080 | 00.064 |-00.000 |-00.179 |] 1.000 || {-0.03 |-0.27 | 0.62 | 0.50 |-0.38 |-0.12 |-0.32 |-0.00 | 0.17 | }
[ 00.179 | 00.123 | 00.223 | 00.257 | 00.087 | 00.076 | 00.055 |-00.000 |-00.173 |] 1.000 || {-0.03 |-0.28 | 0.69 | 0.43 |-0.42 |-0.15 |-0.25 | 0.00 | 0.03 | }
[ 00.179 | 00.120 | 00.230 | 00.261 | 00.082 | 00.075 | 00.052 |-00.000 |-00.173 |] 1.000 || { 0.47 |-0.55 | 0.02 |-0.21 | 0.54 |-0.31 | 0.03 |-0.00 | 0.21 | }
[ 00.179 | 00.120 | 00.230 | 00.261 | 00.082 | 00.075 | 00.052 |-00.000 |-00.173 |] 1.000 || {-0.03 |-0.28 | 0.66 | 0.46 |-0.39 |-0.14 |-0.29 |-0.00 | 0.11 | }
[ 00.178 | 00.112 | 00.248 | 00.274 | 00.072 | 00.071 | 00.044 |-00.000 |-00.170 |] 1.000 || { 0.00 |-0.33 | 0.75 | 0.34 |-0.36 |-0.21 |-0.20 |-0.00 | 0.06 | }
[ 00.178 | 00.110 | 00.253 | 00.276 | 00.070 | 00.070 | 00.043 |-00.000 |-00.169 |] 1.000 || {-0.01 |-0.30 | 0.70 | 0.42 |-0.38 |-0.17 |-0.25 |-0.00 | 0.10 | }
[ 00.178 | 00.104 | 00.267 | 00.285 | 00.062 | 00.066 | 00.038 |-00.000 |-00.167 |] 1.000 || { 0.03 |-0.37 | 0.80 | 0.22 |-0.26 |-0.28 |-0.14 |-0.00 | 0.08 | }
[ 00.178 | 00.103 | 00.270 | 00.286 | 00.061 | 00.065 | 00.037 |-00.000 |-00.167 |] 1.000 || { 0.00 |-0.33 | 0.74 | 0.36 |-0.34 |-0.21 |-0.22 |-0.00 | 0.10 | }
[ 00.178 | 00.098 | 00.280 | 00.291 | 00.056 | 00.062 | 00.034 |-00.000 |-00.166 |] 1.000 || { 0.07 |-0.37 | 0.81 | 0.12 |-0.16 |-0.37 |-0.10 |-0.00 | 0.10 | }
[ 00.178 | 00.097 | 00.282 | 00.291 | 00.056 | 00.062 | 00.034 |-00.000 |-00.166 |] 1.000 || { 0.02 |-0.34 | 0.77 | 0.31 |-0.30 |-0.26 |-0.20 |-0.00 | 0.10 | }
[ 00.179 | 00.094 | 00.289 | 00.294 | 00.053 | 00.059 | 00.032 |-00.000 |-00.165 |] 1.000 || { 0.14 |-0.33 | 0.77 | 0.08 |-0.09 |-0.50 |-0.07 |-0.00 | 0.12 | }
[ 00.179 | 00.094 | 00.290 | 00.294 | 00.053 | 00.059 | 00.032 |-00.000 |-00.165 |] 1.000 || { 0.05 |-0.34 | 0.77 | 0.27 |-0.26 |-0.32 |-0.17 |-0.00 | 0.11 | }
[ 00.179 | 00.092 | 00.294 | 00.295 | 00.052 | 00.057 | 00.031 |-00.000 |-00.164 |] 1.000 || { 0.12 |-0.33 | 0.76 | 0.22 |-0.20 |-0.43 |-0.14 |-0.00 | 0.11 | }
[ 00.180 | 00.091 | 00.297 | 00.296 | 00.051 | 00.056 | 00.031 |-00.000 |-00.164 |] 1.000 || { 0.21 |-0.29 | 0.68 | 0.22 |-0.17 |-0.54 |-0.12 |-0.00 | 0.12 | }
[ 00.180 | 00.090 | 00.298 | 00.297 | 00.050 | 00.054 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.32 |-0.25 | 0.57 | 0.23 |-0.14 |-0.64 |-0.10 |-0.00 | 0.12 | }
[ 00.180 | 00.090 | 00.299 | 00.297 | 00.050 | 00.053 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.40 |-0.20 | 0.45 | 0.24 |-0.11 |-0.71 |-0.08 |-0.00 | 0.12 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.053 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.46 |-0.17 | 0.36 | 0.24 |-0.08 |-0.74 |-0.06 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.49 |-0.14 | 0.29 | 0.24 |-0.07 |-0.76 |-0.05 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.51 |-0.13 | 0.25 | 0.24 |-0.06 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
[ 00.181 | 00.089 | 00.300 | 00.297 | 00.050 | 00.052 | 00.030 |-00.000 |-00.163 |] 1.000 || { 0.52 |-0.12 | 0.23 | 0.24 |-0.05 |-0.77 |-0.04 |-0.00 | 0.11 | }
|------------------------------||
| OPTIMAL ASSET WEIGHTS ||
|------------------------------||
| ASSET | DROP | EXCEL ||
|------------------------------||
| TOK | 18.1449% | 18.1258% ||
| EWJ | 08.9300% | 08.9530% ||
| HYG | 30.0000% | 30.0000% ||
| LQD | 29.7484% | 29.7434% ||
| EMD | 05.0000% | 05.0000% ||
| GSG | 05.1767% | 05.1778% ||
| BWX | 03.0000% | 03.0000% ||
|------------------------------||
|-------------------------------------------------------------||
| Optimal Portfolio Normalize : 1.0000 ||
| Optimal Portfolio Input Return : 0.5500% ||
| Optimal Portfolio Expected Return : 0.5500% ||
| Optimal Portfolio Standard Deviation : 3.2084% ||
| Excel Portfolio Standard Deviation (Calculated) : 3.2084% ||
| Excel Portfolio Standard Deviation (Input) : 3.2085% ||
|-------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Finish Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
| Run Duration => 12 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.00273300 | 0.00208300 | 0.00159300 | 0.00048800 | 0.00117200 | 0.00231200 | 0.00071000 ||
| EWJ | 0.00208300 | 0.00276800 | 0.00130200 | 0.00045700 | 0.00110500 | 0.00164700 | 0.00056300 ||
| HYG | 0.00159300 | 0.00130200 | 0.00146300 | 0.00063900 | 0.00105000 | 0.00111000 | 0.00051900 ||
| LQD | 0.00048800 | 0.00045700 | 0.00063900 | 0.00060800 | 0.00066300 | 0.00004200 | 0.00037000 ||
| EMD | 0.00117200 | 0.00110500 | 0.00105000 | 0.00066300 | 0.00138900 | 0.00082500 | 0.00066100 ||
| GSG | 0.00231200 | 0.00164700 | 0.00111000 | 0.00004200 | 0.00082500 | 0.00521100 | 0.00074900 ||
| BWX | 0.00071000 | 0.00056300 | 0.00051900 | 0.00037000 | 0.00066100 | 0.00074900 | 0.00070300 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 05% | 40% ||
| EWJ | 05% | 40% ||
| HYG | -10% | 30% ||
| LQD | 10% | 60% ||
| EMD | -10% | 35% ||
| GSG | -10% | 15% ||
| BWX | -10% | 50% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.239 | 00.221 | 00.071 | 00.271 | 00.071 | 00.071 | 00.071 | 00.000 | 00.000 |] 1.000 || { 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.01 |-1.00 | }
[ 00.268 | 00.243 | 00.063 | 00.236 | 00.094 | 00.038 | 00.057 | 93332.213 |-13638540.060 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.01 |-1.00 | }
[ 00.271 | 00.247 | 00.064 | 00.238 | 00.097 | 00.028 | 00.055 | 98147.241 |-14553126.694 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 98049.191 |-14523907.116 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 49024.605 |-7261951.967 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 24512.295 |-3630975.072 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 12256.154 |-1815488.576 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 6128.076 |-907744.226 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 3064.038 |-453872.248 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 1532.019 |-226936.249 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 766.010 |-113468.243 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 383.005 |-56734.240 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 191.503 |-28367.238 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 95.751 |-14183.737 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 47.876 |-7091.986 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 23.938 |-3546.111 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 11.969 |-1773.173 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 05.985 |-886.705 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 02.993 |-443.470 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 01.496 |-221.853 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 00.748 |-111.044 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 00.374 |-55.640 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 00.187 |-27.938 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.055 | 00.094 |-14.087 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.270 | 00.246 | 00.063 | 00.238 | 00.097 | 00.029 | 00.056 | 00.047 |-07.161 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.271 | 00.246 | 00.063 | 00.238 | 00.098 | 00.029 | 00.056 | 00.024 |-03.698 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.271 | 00.246 | 00.062 | 00.238 | 00.098 | 00.029 | 00.056 | 00.012 |-01.967 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.272 | 00.245 | 00.060 | 00.239 | 00.100 | 00.029 | 00.056 | 00.006 |-01.101 |] 1.000 || { 0.00 |-0.00 |-0.01 | 0.00 | 0.01 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.273 | 00.243 | 00.056 | 00.239 | 00.102 | 00.029 | 00.057 | 00.003 |-00.668 |] 1.000 || { 0.30 |-0.35 |-0.70 | 0.15 | 0.50 |-0.02 | 0.12 |-0.00 | 0.07 | }
[ 00.275 | 00.241 | 00.053 | 00.240 | 00.104 | 00.029 | 00.057 | 00.003 |-00.668 |] 1.000 || {-0.13 | 0.17 | 0.78 |-0.09 |-0.55 |-0.03 |-0.15 | 0.00 | 0.08 | }
[ 00.275 | 00.241 | 00.053 | 00.240 | 00.104 | 00.029 | 00.057 | 00.003 |-00.668 |] 1.000 || { 0.01 |-0.01 |-0.02 | 0.01 | 0.02 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.277 | 00.239 | 00.048 | 00.241 | 00.108 | 00.029 | 00.058 | 00.002 |-00.451 |] 1.000 || { 0.31 |-0.36 |-0.70 | 0.16 | 0.50 |-0.02 | 0.11 |-0.00 | 0.07 | }
[ 00.279 | 00.236 | 00.043 | 00.242 | 00.111 | 00.029 | 00.059 | 00.002 |-00.450 |] 1.000 || {-0.13 | 0.19 | 0.77 |-0.10 |-0.56 |-0.03 |-0.13 | 0.00 | 0.03 | }
[ 00.279 | 00.236 | 00.043 | 00.242 | 00.111 | 00.029 | 00.059 | 00.002 |-00.450 |] 1.000 || { 0.04 |-0.04 |-0.08 | 0.02 | 0.06 |-0.00 | 0.01 |-0.01 | 0.99 | }
[ 00.283 | 00.232 | 00.034 | 00.244 | 00.118 | 00.029 | 00.060 | 00.001 |-00.341 |] 1.000 || { 0.32 |-0.38 |-0.68 | 0.19 | 0.50 |-0.03 | 0.08 |-0.00 | 0.07 | }
[ 00.286 | 00.228 | 00.027 | 00.247 | 00.123 | 00.028 | 00.061 | 00.001 |-00.340 |] 1.000 || {-0.14 | 0.21 | 0.76 |-0.13 |-0.57 |-0.04 |-0.10 | 0.00 | 0.02 | }
[ 00.286 | 00.228 | 00.027 | 00.247 | 00.123 | 00.028 | 00.061 | 00.001 |-00.340 |] 1.000 || { 0.12 |-0.14 |-0.25 | 0.07 | 0.18 |-0.01 | 0.03 |-0.01 | 0.93 | }
[ 00.293 | 00.219 | 00.012 | 00.251 | 00.134 | 00.028 | 00.063 | 00.001 |-00.285 |] 1.000 || { 0.35 |-0.42 |-0.64 | 0.23 | 0.49 |-0.03 | 0.02 |-0.00 | 0.07 | }
[ 00.299 | 00.213 | 00.002 | 00.254 | 00.142 | 00.027 | 00.063 | 00.001 |-00.284 |] 1.000 || {-0.16 | 0.22 | 0.77 |-0.23 |-0.53 |-0.05 |-0.01 |-0.00 | 0.03 | }
[ 00.299 | 00.213 | 00.002 | 00.254 | 00.141 | 00.027 | 00.063 | 00.001 |-00.284 |] 1.000 || { 0.25 |-0.30 |-0.47 | 0.17 | 0.36 |-0.02 | 0.02 |-0.00 | 0.68 | }
[ 00.309 | 00.200 |-00.018 | 00.261 | 00.157 | 00.026 | 00.065 | 00.000 |-00.254 |] 1.000 || { 0.39 |-0.46 |-0.57 | 0.33 | 0.44 |-0.04 |-0.09 |-0.00 | 0.08 | }
[ 00.316 | 00.192 |-00.028 | 00.267 | 00.164 | 00.026 | 00.063 | 00.000 |-00.253 |] 1.000 || {-0.10 | 0.02 | 0.75 |-0.54 |-0.26 |-0.11 | 0.23 |-0.00 | 0.10 | }
[ 00.316 | 00.192 |-00.028 | 00.267 | 00.164 | 00.026 | 00.063 | 00.000 |-00.253 |] 1.000 || { 0.34 |-0.41 |-0.54 | 0.28 | 0.41 |-0.03 |-0.05 |-0.00 | 0.41 | }
[ 00.330 | 00.176 |-00.049 | 00.278 | 00.181 | 00.024 | 00.061 | 00.000 |-00.237 |] 1.000 || { 0.41 |-0.50 |-0.42 | 0.47 | 0.33 |-0.03 |-0.26 |-0.00 | 0.07 | }
[ 00.336 | 00.168 |-00.055 | 00.285 | 00.185 | 00.024 | 00.057 | 00.000 |-00.236 |] 1.000 || { 0.18 |-0.38 | 0.46 |-0.62 | 0.09 |-0.14 | 0.42 |-0.00 | 0.15 | }
[ 00.336 | 00.168 |-00.055 | 00.285 | 00.185 | 00.024 | 00.057 | 00.000 |-00.235 |] 1.000 || { 0.39 |-0.47 |-0.48 | 0.39 | 0.37 |-0.03 |-0.17 |-0.00 | 0.26 | }
[ 00.350 | 00.151 |-00.073 | 00.299 | 00.199 | 00.023 | 00.051 | 00.000 |-00.226 |] 1.000 || { 0.42 |-0.51 |-0.23 | 0.56 | 0.19 |-0.02 |-0.40 |-0.00 | 0.07 | }
[ 00.354 | 00.146 |-00.075 | 00.305 | 00.201 | 00.022 | 00.047 | 00.000 |-00.225 |] 1.000 || { 0.50 |-0.69 | 0.22 |-0.29 | 0.08 |-0.14 | 0.31 |-0.00 | 0.15 | }
[ 00.354 | 00.146 |-00.075 | 00.305 | 00.201 | 00.022 | 00.047 | 00.000 |-00.225 |] 1.000 || { 0.42 |-0.51 |-0.38 | 0.47 | 0.30 |-0.03 |-0.28 |-0.00 | 0.19 | }
[ 00.367 | 00.131 |-00.086 | 00.319 | 00.210 | 00.022 | 00.039 | 00.000 |-00.220 |] 1.000 || { 0.44 |-0.53 |-0.10 | 0.57 | 0.07 |-0.01 |-0.43 |-0.00 | 0.07 | }
[ 00.370 | 00.127 |-00.087 | 00.323 | 00.210 | 00.022 | 00.036 | 00.000 |-00.219 |] 1.000 || { 0.63 |-0.75 | 0.05 | 0.15 |-0.03 |-0.08 | 0.03 |-0.00 | 0.10 | }
[ 00.370 | 00.127 |-00.087 | 00.323 | 00.210 | 00.022 | 00.036 | 00.000 |-00.219 |] 1.000 || { 0.44 |-0.53 |-0.28 | 0.51 | 0.22 |-0.02 |-0.33 |-0.00 | 0.15 | }
[ 00.379 | 00.115 |-00.093 | 00.334 | 00.215 | 00.021 | 00.029 | 00.000 |-00.216 |] 1.000 || { 0.48 |-0.57 |-0.03 | 0.54 |-0.02 |-0.02 |-0.39 |-0.00 | 0.06 | }
[ 00.381 | 00.113 |-00.093 | 00.336 | 00.215 | 00.021 | 00.027 | 00.000 |-00.216 |] 1.000 || { 0.61 |-0.75 | 0.01 | 0.24 |-0.00 |-0.04 |-0.06 |-0.00 | 0.06 | }
[ 00.381 | 00.113 |-00.093 | 00.336 | 00.215 | 00.021 | 00.027 | 00.000 |-00.216 |] 1.000 || { 0.46 |-0.55 |-0.22 | 0.52 | 0.15 |-0.02 |-0.35 |-0.00 | 0.13 | }
[ 00.388 | 00.105 |-00.097 | 00.344 | 00.217 | 00.021 | 00.022 | 00.000 |-00.214 |] 1.000 || { 0.53 |-0.62 |-0.01 | 0.48 |-0.04 |-0.02 |-0.32 |-0.00 | 0.06 | }
[ 00.389 | 00.104 |-00.097 | 00.345 | 00.217 | 00.021 | 00.021 | 00.000 |-00.213 |] 1.000 || { 0.48 |-0.57 |-0.17 | 0.52 | 0.11 |-0.02 |-0.34 |-0.00 | 0.11 | }
[ 00.394 | 00.098 |-00.098 | 00.350 | 00.218 | 00.021 | 00.018 | 00.000 |-00.212 |] 1.000 || { 0.55 |-0.67 |-0.00 | 0.42 |-0.01 |-0.02 |-0.26 |-0.00 | 0.05 | }
[ 00.394 | 00.098 |-00.098 | 00.350 | 00.218 | 00.021 | 00.018 | 00.000 |-00.212 |] 1.000 || { 0.49 |-0.59 |-0.15 | 0.50 | 0.10 |-0.02 |-0.33 |-0.00 | 0.10 | }
[ 00.397 | 00.095 |-00.099 | 00.353 | 00.219 | 00.020 | 00.016 | 00.000 |-00.212 |] 1.000 || { 0.54 |-0.71 | 0.00 | 0.37 | 0.05 |-0.00 |-0.24 |-0.00 | 0.03 | }
[ 00.397 | 00.094 |-00.099 | 00.353 | 00.219 | 00.020 | 00.016 | 00.000 |-00.212 |] 1.000 || { 0.50 |-0.61 |-0.14 | 0.49 | 0.09 |-0.02 |-0.32 |-0.00 | 0.10 | }
[ 00.398 | 00.093 |-00.100 | 00.354 | 00.219 | 00.020 | 00.015 | 00.000 |-00.211 |] 1.000 || { 0.52 |-0.74 | 0.00 | 0.33 | 0.12 | 0.01 |-0.23 |-0.00 | 0.02 | }
[ 00.398 | 00.093 |-00.100 | 00.354 | 00.219 | 00.020 | 00.015 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.61 |-0.13 | 0.48 | 0.10 |-0.02 |-0.32 |-0.00 | 0.09 | }
[ 00.399 | 00.092 |-00.100 | 00.355 | 00.219 | 00.020 | 00.015 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.62 |-0.12 | 0.48 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.355 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.62 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.62 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.63 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.62 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
[ 00.400 | 00.091 |-00.100 | 00.356 | 00.219 | 00.020 | 00.014 | 00.000 |-00.211 |] 1.000 || { 0.50 |-0.62 |-0.12 | 0.47 | 0.10 |-0.01 |-0.32 |-0.00 | 0.09 | }
|------------------------------||
| OPTIMAL ASSET WEIGHTS ||
|------------------------------||
| ASSET | DROP | EXCEL ||
|------------------------------||
| TOK | 40.0000% | 40.0000% ||
| EWJ | 09.0550% | 09.0368% ||
| HYG |-10.0000% | -10.0000% ||
| LQD | 35.5790% | 35.6280% ||
| EMD | 21.9260% | 21.9465% ||
| GSG | 02.0353% | 02.0467% ||
| BWX | 01.4047% | 01.3420% ||
|------------------------------||
|-------------------------------------------------------------||
| Optimal Portfolio Normalize : 1.0000 ||
| Optimal Portfolio Input Return : 0.6540% ||
| Optimal Portfolio Expected Return : 0.6540% ||
| Optimal Portfolio Standard Deviation : 3.3370% ||
| Excel Portfolio Standard Deviation (Calculated) : 3.3370% ||
| Excel Portfolio Standard Deviation (Input) : 3.3370% ||
|-------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Finish Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
| Run Duration => 23 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.00273300 | 0.00208300 | 0.00159300 | 0.00048800 | 0.00117200 | 0.00231200 | 0.00071000 ||
| EWJ | 0.00208300 | 0.00276800 | 0.00130200 | 0.00045700 | 0.00110500 | 0.00164700 | 0.00056300 ||
| HYG | 0.00159300 | 0.00130200 | 0.00146300 | 0.00063900 | 0.00105000 | 0.00111000 | 0.00051900 ||
| LQD | 0.00048800 | 0.00045700 | 0.00063900 | 0.00060800 | 0.00066300 | 0.00004200 | 0.00037000 ||
| EMD | 0.00117200 | 0.00110500 | 0.00105000 | 0.00066300 | 0.00138900 | 0.00082500 | 0.00066100 ||
| GSG | 0.00231200 | 0.00164700 | 0.00111000 | 0.00004200 | 0.00082500 | 0.00521100 | 0.00074900 ||
| BWX | 0.00071000 | 0.00056300 | 0.00051900 | 0.00037000 | 0.00066100 | 0.00074900 | 0.00070300 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 00% | 30% ||
| EWJ | 00% | 30% ||
| HYG | 00% | 30% ||
| LQD | 00% | 50% ||
| EMD | 00% | 30% ||
| GSG | 00% | 30% ||
| BWX | 00% | 50% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.157 | 00.143 | 00.143 | 00.143 | 00.143 | 00.143 | 00.143 | 00.000 | 00.000 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.031 | 00.071 | 00.113 | 00.305 | 00.096 | 00.090 | 00.294 |-158451.183 | 29649143.928 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 | 0.03 | 1.00 | }
[ 00.070 | 00.068 | 00.086 | 00.323 | 00.076 | 00.074 | 00.301 |-133506.083 | 30392901.769 |] 1.000 || {-0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.058 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-131165.684 | 29573155.453 |] 1.000 || {-0.00 | 0.00 |-0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 | 1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-131227.809 | 29585607.883 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-65613.937 | 14792801.569 |] 1.000 || {-0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-32806.935 | 7396397.892 |] 1.000 || {-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-16403.466 | 3698198.536 |] 1.000 || {-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-8201.733 | 1849099.089 |] 1.000 || {-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-4100.866 | 924549.435 |] 1.000 || {-0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-2050.433 | 462274.624 |] 1.000 || {-0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-1025.217 | 231137.252 |] 1.000 || {-0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-512.608 | 115568.567 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-256.304 | 57784.223 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-128.152 | 28892.052 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-64.076 | 14445.966 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-32.038 | 7222.923 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-16.019 | 3611.402 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-08.010 | 1805.641 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-04.005 | 902.760 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-02.002 | 451.320 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-01.001 | 225.600 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-00.501 | 112.740 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.082 | 00.080 | 00.300 |-00.250 | 56.310 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.083 | 00.080 | 00.300 |-00.125 | 28.095 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.083 | 00.080 | 00.300 |-00.063 | 13.988 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.083 | 00.080 | 00.300 |-00.031 | 06.934 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.057 | 00.071 | 00.093 | 00.317 | 00.083 | 00.079 | 00.300 |-00.016 | 03.407 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.058 | 00.071 | 00.093 | 00.318 | 00.083 | 00.079 | 00.299 |-00.008 | 01.644 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.058 | 00.071 | 00.093 | 00.319 | 00.084 | 00.078 | 00.298 |-00.004 | 00.763 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.058 | 00.071 | 00.093 | 00.320 | 00.085 | 00.077 | 00.297 |-00.002 | 00.323 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.02 | 0.01 |-0.01 |-0.01 | 0.00 |-1.00 | }
[ 00.059 | 00.072 | 00.092 | 00.324 | 00.086 | 00.074 | 00.293 |-00.001 | 00.103 |] 1.000 || { 0.01 | 0.01 |-0.01 | 0.05 | 0.03 |-0.04 |-0.05 | 0.00 |-1.00 | }
[ 00.059 | 00.072 | 00.091 | 00.329 | 00.090 | 00.070 | 00.288 |-00.001 |-00.005 |] 1.000 || { 0.10 | 0.02 |-0.21 | 0.60 | 0.38 |-0.33 |-0.55 |-0.00 | 0.17 | }
[ 00.060 | 00.073 | 00.089 | 00.334 | 00.093 | 00.067 | 00.284 |-00.001 |-00.003 |] 1.000 || { 0.02 | 0.01 |-0.04 | 0.12 | 0.08 |-0.07 |-0.11 | 0.00 |-0.98 | }
[ 00.061 | 00.073 | 00.087 | 00.341 | 00.097 | 00.063 | 00.278 |-00.000 |-00.057 |] 1.000 || { 0.12 |-0.02 |-0.36 | 0.59 | 0.41 |-0.22 |-0.52 |-0.00 | 0.13 | }
[ 00.062 | 00.073 | 00.084 | 00.345 | 00.100 | 00.062 | 00.274 |-00.000 |-00.056 |] 1.000 || { 0.06 |-0.01 |-0.17 | 0.32 | 0.21 |-0.13 |-0.28 | 0.00 |-0.85 | }
[ 00.064 | 00.072 | 00.079 | 00.355 | 00.107 | 00.058 | 00.265 |-00.000 |-00.081 |] 1.000 || { 0.17 |-0.07 |-0.49 | 0.58 | 0.40 |-0.13 |-0.45 |-0.00 | 0.10 | }
[ 00.066 | 00.072 | 00.075 | 00.360 | 00.110 | 00.057 | 00.261 |-00.000 |-00.080 |] 1.000 || { 0.14 | 0.20 | 0.55 | 0.07 |-0.72 |-0.20 |-0.04 | 0.00 |-0.26 | }
[ 00.066 | 00.072 | 00.075 | 00.360 | 00.110 | 00.057 | 00.261 |-00.000 |-00.080 |] 1.000 || { 0.14 |-0.05 |-0.39 | 0.52 | 0.34 |-0.15 |-0.42 | 0.00 |-0.50 | }
[ 00.069 | 00.071 | 00.066 | 00.372 | 00.118 | 00.053 | 00.251 |-00.000 |-00.092 |] 1.000 || { 0.26 |-0.11 |-0.58 | 0.58 | 0.30 |-0.06 |-0.39 |-0.00 | 0.07 | }
[ 00.072 | 00.070 | 00.060 | 00.378 | 00.121 | 00.053 | 00.247 |-00.000 |-00.091 |] 1.000 || {-0.09 | 0.20 | 0.62 | 0.24 |-0.55 |-0.05 |-0.38 | 0.00 |-0.23 | }
[ 00.072 | 00.070 | 00.060 | 00.378 | 00.121 | 00.053 | 00.247 |-00.000 |-00.091 |] 1.000 || { 0.23 |-0.09 |-0.52 | 0.58 | 0.32 |-0.10 |-0.42 | 0.00 |-0.21 | }
[ 00.077 | 00.067 | 00.047 | 00.392 | 00.129 | 00.050 | 00.237 |-00.000 |-00.096 |] 1.000 || { 0.37 |-0.15 |-0.58 | 0.60 | 0.14 |-0.04 |-0.35 |-0.00 | 0.04 | }
[ 00.080 | 00.066 | 00.042 | 00.397 | 00.130 | 00.050 | 00.234 |-00.000 |-00.096 |] 1.000 || {-0.47 | 0.18 | 0.46 | 0.29 | 0.06 | 0.12 |-0.64 | 0.00 |-0.15 | }
[ 00.080 | 00.066 | 00.042 | 00.397 | 00.130 | 00.050 | 00.234 |-00.000 |-00.096 |] 1.000 || { 0.31 |-0.13 |-0.55 | 0.61 | 0.22 |-0.07 |-0.39 | 0.00 |-0.09 | }
[ 00.088 | 00.063 | 00.029 | 00.411 | 00.135 | 00.048 | 00.225 |-00.000 |-00.098 |] 1.000 || { 0.43 |-0.18 |-0.51 | 0.63 | 0.03 |-0.03 |-0.36 |-0.00 | 0.02 | }
[ 00.090 | 00.062 | 00.026 | 00.415 | 00.135 | 00.048 | 00.223 |-00.000 |-00.097 |] 1.000 || {-0.34 | 0.07 | 0.31 | 0.46 | 0.09 | 0.15 |-0.73 | 0.00 |-0.10 | }
[ 00.090 | 00.062 | 00.026 | 00.415 | 00.135 | 00.048 | 00.223 |-00.000 |-00.097 |] 1.000 || { 0.36 |-0.15 |-0.53 | 0.62 | 0.14 |-0.05 |-0.39 | 0.00 |-0.05 | }
[ 00.097 | 00.059 | 00.016 | 00.427 | 00.138 | 00.047 | 00.216 |-00.000 |-00.098 |] 1.000 || { 0.40 |-0.19 |-0.40 | 0.67 |-0.04 |-0.00 |-0.44 | 0.00 | 0.01 | }
[ 00.099 | 00.058 | 00.015 | 00.430 | 00.138 | 00.047 | 00.214 |-00.000 |-00.098 |] 1.000 || {-0.07 |-0.04 | 0.20 | 0.62 |-0.07 | 0.11 |-0.74 | 0.00 |-0.07 | }
[ 00.099 | 00.058 | 00.015 | 00.430 | 00.138 | 00.047 | 00.214 |-00.000 |-00.098 |] 1.000 || { 0.37 |-0.16 |-0.49 | 0.64 | 0.09 |-0.04 |-0.41 | 0.00 |-0.03 | }
[ 00.103 | 00.056 | 00.008 | 00.438 | 00.139 | 00.046 | 00.208 |-00.000 |-00.099 |] 1.000 || { 0.34 |-0.18 |-0.26 | 0.70 |-0.08 | 0.02 |-0.54 | 0.00 |-0.01 | }
[ 00.104 | 00.056 | 00.008 | 00.439 | 00.139 | 00.047 | 00.208 |-00.000 |-00.099 |] 1.000 || { 0.04 |-0.07 | 0.11 | 0.67 |-0.12 | 0.09 |-0.72 | 0.00 |-0.06 | }
[ 00.104 | 00.056 | 00.008 | 00.439 | 00.139 | 00.047 | 00.208 |-00.000 |-00.099 |] 1.000 || { 0.36 |-0.17 |-0.44 | 0.66 | 0.05 |-0.02 |-0.45 | 0.00 |-0.03 | }
[ 00.107 | 00.055 | 00.004 | 00.445 | 00.139 | 00.046 | 00.204 |-00.000 |-00.099 |] 1.000 || { 0.26 |-0.16 |-0.14 | 0.71 |-0.11 | 0.05 |-0.60 | 0.00 |-0.03 | }
[ 00.107 | 00.055 | 00.004 | 00.445 | 00.139 | 00.046 | 00.203 |-00.000 |-00.099 |] 1.000 || { 0.35 |-0.17 |-0.40 | 0.68 | 0.02 |-0.01 |-0.48 | 0.00 |-0.03 | }
[ 00.109 | 00.054 | 00.002 | 00.449 | 00.139 | 00.046 | 00.201 |-00.000 |-00.099 |] 1.000 || { 0.22 |-0.14 |-0.07 | 0.71 |-0.13 | 0.06 |-0.64 | 0.00 |-0.03 | }
[ 00.109 | 00.054 | 00.002 | 00.449 | 00.139 | 00.046 | 00.201 |-00.000 |-00.099 |] 1.000 || { 0.34 |-0.17 |-0.37 | 0.69 | 0.01 |-0.00 |-0.50 | 0.00 |-0.03 | }
[ 00.110 | 00.053 | 00.001 | 00.451 | 00.139 | 00.046 | 00.200 |-00.000 |-00.099 |] 1.000 || { 0.19 |-0.13 |-0.04 | 0.70 |-0.14 | 0.06 |-0.65 | 0.00 |-0.04 | }
[ 00.110 | 00.053 | 00.001 | 00.451 | 00.139 | 00.046 | 00.200 |-00.000 |-00.099 |] 1.000 || { 0.33 |-0.16 |-0.35 | 0.69 | 0.00 |-0.00 |-0.51 | 0.00 |-0.03 | }
[ 00.110 | 00.053 | 00.000 | 00.452 | 00.139 | 00.046 | 00.199 |-00.000 |-00.099 |] 1.000 || { 0.18 |-0.12 |-0.02 | 0.70 |-0.14 | 0.07 |-0.66 | 0.00 |-0.04 | }
[ 00.110 | 00.053 | 00.000 | 00.452 | 00.139 | 00.046 | 00.199 |-00.000 |-00.099 |] 1.000 || { 0.33 |-0.16 |-0.34 | 0.69 |-0.00 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.452 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.17 |-0.12 |-0.01 | 0.70 |-0.14 | 0.07 |-0.66 | 0.00 |-0.04 | }
[ 00.111 | 00.053 | 00.000 | 00.452 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.33 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.17 |-0.12 |-0.01 | 0.70 |-0.14 | 0.07 |-0.67 | 0.00 |-0.04 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.33 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.16 |-0.12 |-0.01 | 0.70 |-0.14 | 0.07 |-0.67 | 0.00 |-0.04 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.16 |-0.12 |-0.00 | 0.70 |-0.14 | 0.07 |-0.67 | 0.00 |-0.04 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.16 |-0.12 |-0.00 | 0.70 |-0.14 | 0.07 |-0.67 | 0.00 |-0.04 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.16 |-0.12 |-0.00 | 0.70 |-0.14 | 0.07 |-0.67 | 0.00 |-0.04 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.16 |-0.12 |-0.00 | 0.70 |-0.14 | 0.07 |-0.67 | 0.00 |-0.04 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.16 |-0.12 |-0.00 | 0.70 |-0.14 | 0.07 |-0.67 | 0.00 |-0.04 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
[ 00.111 | 00.053 | 00.000 | 00.453 | 00.139 | 00.046 | 00.198 |-00.000 |-00.099 |] 1.000 || { 0.32 |-0.16 |-0.33 | 0.70 |-0.01 | 0.00 |-0.52 | 0.00 |-0.03 | }
|------------------------------||
| OPTIMAL ASSET WEIGHTS ||
|------------------------------||
| ASSET | DROP | EXCEL ||
|------------------------------||
| TOK | 11.0868% | 11.0713% ||
| EWJ | 05.2718% | 05.2794% ||
| HYG | 00.0000% | 00.0000% ||
| LQD | 45.2780% | 45.3221% ||
| EMD | 13.9256% | 13.9349% ||
| GSG | 04.6335% | 04.6425% ||
| BWX | 19.8043% | 19.7498% ||
|------------------------------||
|-------------------------------------------------------------||
| Optimal Portfolio Normalize : 1.0000 ||
| Optimal Portfolio Input Return : 0.5124% ||
| Optimal Portfolio Expected Return : 0.5124% ||
| Optimal Portfolio Standard Deviation : 2.5817% ||
| Excel Portfolio Standard Deviation (Calculated) : 2.5817% ||
| Excel Portfolio Standard Deviation (Input) : 2.5817% ||
|-------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Finish Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
| Run Duration => 27 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.00273300 | 0.00208300 | 0.00159300 | 0.00048800 | 0.00117200 | 0.00231200 | 0.00071000 ||
| EWJ | 0.00208300 | 0.00276800 | 0.00130200 | 0.00045700 | 0.00110500 | 0.00164700 | 0.00056300 ||
| HYG | 0.00159300 | 0.00130200 | 0.00146300 | 0.00063900 | 0.00105000 | 0.00111000 | 0.00051900 ||
| LQD | 0.00048800 | 0.00045700 | 0.00063900 | 0.00060800 | 0.00066300 | 0.00004200 | 0.00037000 ||
| EMD | 0.00117200 | 0.00110500 | 0.00105000 | 0.00066300 | 0.00138900 | 0.00082500 | 0.00066100 ||
| GSG | 0.00231200 | 0.00164700 | 0.00111000 | 0.00004200 | 0.00082500 | 0.00521100 | 0.00074900 ||
| BWX | 0.00071000 | 0.00056300 | 0.00051900 | 0.00037000 | 0.00066100 | 0.00074900 | 0.00070300 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 00% | 30% ||
| EWJ | 00% | 30% ||
| HYG | 00% | 30% ||
| LQD | 00% | 50% ||
| EMD | 00% | 30% ||
| GSG | 00% | 30% ||
| BWX | 00% | 50% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.157 | 00.143 | 00.143 | 00.143 | 00.143 | 00.143 | 00.143 | 00.000 | 00.000 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.048 | 00.081 | 00.103 | 00.289 | 00.102 | 00.098 | 00.279 |-132966.118 | 25161887.290 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 | 0.02 |-1.00 | }
[ 00.074 | 00.079 | 00.089 | 00.301 | 00.088 | 00.086 | 00.282 |-100524.492 | 23379597.390 |] 1.000 || {-0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-99828.848 | 23052723.339 |] 1.000 || {-0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.01 | 1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-99865.088 | 23059818.202 |] 1.000 || { 0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-49932.219 | 11529861.648 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-24966.282 | 5764957.039 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-12483.141 | 2882478.297 |] 1.000 || {-0.00 | 0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-6241.568 | 1441238.513 |] 1.000 || {-0.00 | 0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-3120.784 | 720619.183 |] 1.000 || {-0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-1560.392 | 360309.527 |] 1.000 || {-0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-780.196 | 180154.696 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-390.098 | 90077.284 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-195.049 | 45038.577 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-97.525 | 22519.224 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-48.762 | 11259.548 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-24.381 | 5629.709 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-12.191 | 2814.790 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-06.095 | 1407.331 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-03.048 | 703.601 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-01.524 | 351.736 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-00.762 | 175.804 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-00.381 | 87.837 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-00.191 | 43.854 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.283 |-00.095 | 21.863 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.282 |-00.048 | 10.867 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.089 | 00.282 |-00.024 | 05.369 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.092 | 00.297 | 00.092 | 00.088 | 00.282 |-00.012 | 02.620 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.093 | 00.298 | 00.092 | 00.088 | 00.281 |-00.006 | 01.246 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.067 | 00.081 | 00.093 | 00.299 | 00.093 | 00.086 | 00.280 |-00.003 | 00.560 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.01 | 0.00 |-0.01 |-0.01 | 0.00 |-1.00 | }
[ 00.068 | 00.081 | 00.094 | 00.301 | 00.094 | 00.084 | 00.278 |-00.002 | 00.217 |] 1.000 || { 0.00 |-0.00 | 0.01 | 0.02 | 0.01 |-0.02 |-0.02 | 0.00 |-1.00 | }
[ 00.068 | 00.081 | 00.095 | 00.305 | 00.097 | 00.080 | 00.274 |-00.001 | 00.047 |] 1.000 || { 0.05 |-0.04 | 0.17 | 0.50 | 0.35 |-0.49 |-0.54 |-0.00 | 0.22 | }
[ 00.068 | 00.081 | 00.096 | 00.307 | 00.099 | 00.077 | 00.271 |-00.001 | 00.048 |] 1.000 || { 0.00 |-0.00 | 0.02 | 0.05 | 0.04 |-0.05 |-0.06 | 0.00 |-1.00 | }
[ 00.069 | 00.080 | 00.098 | 00.312 | 00.102 | 00.073 | 00.267 |-00.000 |-00.036 |] 1.000 || { 0.03 |-0.10 | 0.14 | 0.52 | 0.41 |-0.41 |-0.58 |-0.00 | 0.19 | }
[ 00.069 | 00.080 | 00.099 | 00.315 | 00.104 | 00.070 | 00.263 |-00.000 |-00.035 |] 1.000 || { 0.01 |-0.03 | 0.04 | 0.15 | 0.11 |-0.12 |-0.16 | 0.00 |-0.96 | }
[ 00.069 | 00.079 | 00.100 | 00.321 | 00.109 | 00.065 | 00.256 |-00.000 |-00.075 |] 1.000 || { 0.03 |-0.18 | 0.06 | 0.51 | 0.48 |-0.31 |-0.59 |-0.00 | 0.15 | }
[ 00.070 | 00.077 | 00.101 | 00.324 | 00.112 | 00.063 | 00.252 |-00.000 |-00.074 |] 1.000 || { 0.02 |-0.09 | 0.05 | 0.32 | 0.28 |-0.22 |-0.36 | 0.00 |-0.80 | }
[ 00.070 | 00.075 | 00.102 | 00.332 | 00.119 | 00.058 | 00.244 |-00.000 |-00.093 |] 1.000 || { 0.07 |-0.24 |-0.08 | 0.50 | 0.54 |-0.22 |-0.56 |-0.00 | 0.12 | }
[ 00.071 | 00.074 | 00.101 | 00.335 | 00.123 | 00.056 | 00.240 |-00.000 |-00.092 |] 1.000 || { 0.06 |-0.18 |-0.02 | 0.45 | 0.45 |-0.25 |-0.51 | 0.00 |-0.49 | }
[ 00.072 | 00.070 | 00.101 | 00.343 | 00.130 | 00.052 | 00.231 |-00.000 |-00.101 |] 1.000 || { 0.19 |-0.27 |-0.32 | 0.50 | 0.52 |-0.14 |-0.49 |-0.00 | 0.08 | }
[ 00.073 | 00.069 | 00.099 | 00.346 | 00.133 | 00.051 | 00.228 |-00.000 |-00.101 |] 1.000 || { 0.14 |-0.24 |-0.19 | 0.51 | 0.50 |-0.20 |-0.52 | 0.00 |-0.25 | }
[ 00.075 | 00.065 | 00.096 | 00.354 | 00.141 | 00.048 | 00.220 |-00.000 |-00.104 |] 1.000 || { 0.35 |-0.25 |-0.52 | 0.51 | 0.37 |-0.08 |-0.38 |-0.00 | 0.04 | }
[ 00.077 | 00.064 | 00.093 | 00.357 | 00.143 | 00.048 | 00.218 |-00.000 |-00.104 |] 1.000 || { 0.27 |-0.25 |-0.38 | 0.53 | 0.44 |-0.14 |-0.46 | 0.00 |-0.12 | }
[ 00.081 | 00.060 | 00.088 | 00.364 | 00.149 | 00.046 | 00.212 |-00.000 |-00.106 |] 1.000 || { 0.44 |-0.20 |-0.61 | 0.50 | 0.22 |-0.04 |-0.30 |-0.00 | 0.02 | }
[ 00.083 | 00.059 | 00.085 | 00.366 | 00.150 | 00.046 | 00.210 |-00.000 |-00.106 |] 1.000 || { 0.36 |-0.23 |-0.50 | 0.53 | 0.34 |-0.10 |-0.40 | 0.00 |-0.06 | }
[ 00.087 | 00.056 | 00.079 | 00.373 | 00.154 | 00.044 | 00.205 |-00.000 |-00.106 |] 1.000 || { 0.45 |-0.17 |-0.64 | 0.50 | 0.16 |-0.02 |-0.28 |-0.00 | 0.01 | }
[ 00.089 | 00.056 | 00.077 | 00.375 | 00.155 | 00.044 | 00.204 |-00.000 |-00.106 |] 1.000 || { 0.40 |-0.20 |-0.56 | 0.52 | 0.27 |-0.07 |-0.36 | 0.00 |-0.03 | }
[ 00.093 | 00.054 | 00.071 | 00.380 | 00.158 | 00.044 | 00.201 |-00.000 |-00.107 |] 1.000 || { 0.44 |-0.14 |-0.66 | 0.50 | 0.15 |-0.01 |-0.28 | 0.00 | 0.00 | }
[ 00.094 | 00.053 | 00.070 | 00.381 | 00.158 | 00.044 | 00.200 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.18 |-0.60 | 0.52 | 0.24 |-0.05 |-0.34 | 0.00 |-0.02 | }
[ 00.097 | 00.052 | 00.065 | 00.385 | 00.160 | 00.043 | 00.198 |-00.000 |-00.107 |] 1.000 || { 0.42 |-0.11 |-0.68 | 0.50 | 0.16 |-0.00 |-0.29 | 0.00 |-0.00 | }
[ 00.097 | 00.052 | 00.065 | 00.385 | 00.160 | 00.043 | 00.198 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.17 |-0.62 | 0.51 | 0.22 |-0.04 |-0.33 | 0.00 |-0.02 | }
[ 00.099 | 00.051 | 00.062 | 00.388 | 00.161 | 00.043 | 00.196 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.63 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.100 | 00.051 | 00.060 | 00.389 | 00.162 | 00.043 | 00.195 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.051 | 00.059 | 00.390 | 00.162 | 00.043 | 00.195 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
[ 00.101 | 00.050 | 00.058 | 00.391 | 00.162 | 00.043 | 00.194 |-00.000 |-00.107 |] 1.000 || { 0.41 |-0.15 |-0.64 | 0.51 | 0.21 |-0.03 |-0.32 | 0.00 |-0.02 | }
|------------------------------||
| OPTIMAL ASSET WEIGHTS ||
|------------------------------||
| ASSET | DROP | EXCEL ||
|------------------------------||
| TOK | 10.1468% | 10.1541% ||
| EWJ | 05.0298% | 05.0369% ||
| HYG | 05.7945% | 05.7521% ||
| LQD | 39.0970% | 39.1489% ||
| EMD | 16.2348% | 16.2554% ||
| GSG | 04.2860% | 04.2900% ||
| BWX | 19.4111% | 19.3626% ||
|------------------------------||
|-------------------------------------------------------------||
| Optimal Portfolio Normalize : 1.0000 ||
| Optimal Portfolio Input Return : 0.5319% ||
| Optimal Portfolio Expected Return : 0.5319% ||
| Optimal Portfolio Standard Deviation : 2.6571% ||
| Excel Portfolio Standard Deviation (Calculated) : 2.6571% ||
| Excel Portfolio Standard Deviation (Input) : 2.6572% ||
|-------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Finish Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
| Run Duration => 11 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.00273300 | 0.00208300 | 0.00159300 | 0.00048800 | 0.00117200 | 0.00231200 | 0.00071000 ||
| EWJ | 0.00208300 | 0.00276800 | 0.00130200 | 0.00045700 | 0.00110500 | 0.00164700 | 0.00056300 ||
| HYG | 0.00159300 | 0.00130200 | 0.00146300 | 0.00063900 | 0.00105000 | 0.00111000 | 0.00051900 ||
| LQD | 0.00048800 | 0.00045700 | 0.00063900 | 0.00060800 | 0.00066300 | 0.00004200 | 0.00037000 ||
| EMD | 0.00117200 | 0.00110500 | 0.00105000 | 0.00066300 | 0.00138900 | 0.00082500 | 0.00066100 ||
| GSG | 0.00231200 | 0.00164700 | 0.00111000 | 0.00004200 | 0.00082500 | 0.00521100 | 0.00074900 ||
| BWX | 0.00071000 | 0.00056300 | 0.00051900 | 0.00037000 | 0.00066100 | 0.00074900 | 0.00070300 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 00% | 30% ||
| EWJ | 00% | 30% ||
| HYG | 00% | 30% ||
| LQD | 00% | 50% ||
| EMD | 00% | 30% ||
| GSG | 00% | 30% ||
| BWX | 00% | 50% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.157 | 00.143 | 00.143 | 00.143 | 00.143 | 00.143 | 00.143 | 00.000 | 00.000 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 1.00 | }
[ 00.087 | 00.104 | 00.115 | 00.243 | 00.118 | 00.103 | 00.231 |-51560.168 | 11734657.857 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 |-0.00 | 0.01 |-1.00 | }
[ 00.095 | 00.103 | 00.110 | 00.248 | 00.112 | 00.103 | 00.229 |-28498.174 | 9424855.164 |] 1.000 || {-0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.01 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-28594.000 | 9409045.879 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-14297.995 | 4704673.401 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-7149.029 | 2352342.604 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-3574.511 | 1176170.535 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-1787.257 | 588085.266 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-893.628 | 294042.539 |] 1.000 || { 0.00 |-0.00 | 0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-446.814 | 147021.193 |] 1.000 || { 0.00 |-0.00 | 0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-223.407 | 73510.526 |] 1.000 || { 0.00 |-0.00 | 0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-111.704 | 36755.193 |] 1.000 || { 0.00 |-0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-55.852 | 18377.527 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-27.926 | 9188.694 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-13.963 | 4594.278 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-06.982 | 2297.069 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-03.491 | 1148.465 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-01.745 | 574.163 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-00.873 | 287.012 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-00.436 | 143.436 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.110 | 00.247 | 00.112 | 00.103 | 00.230 |-00.218 | 71.649 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.111 | 00.247 | 00.112 | 00.103 | 00.230 |-00.109 | 35.755 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.111 | 00.247 | 00.112 | 00.103 | 00.230 |-00.055 | 17.808 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.111 | 00.247 | 00.112 | 00.103 | 00.230 |-00.027 | 08.834 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.111 | 00.247 | 00.112 | 00.103 | 00.230 |-00.014 | 04.348 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.111 | 00.247 | 00.113 | 00.102 | 00.230 |-00.007 | 02.104 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.111 | 00.247 | 00.113 | 00.102 | 00.230 |-00.003 | 00.983 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.111 | 00.247 | 00.113 | 00.101 | 00.229 |-00.002 | 00.422 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.094 | 00.103 | 00.112 | 00.248 | 00.114 | 00.100 | 00.229 |-00.001 | 00.142 |] 1.000 || { 0.00 |-0.00 | 0.01 | 0.00 | 0.01 |-0.02 |-0.01 | 0.00 |-1.00 | }
[ 00.095 | 00.103 | 00.113 | 00.248 | 00.116 | 00.097 | 00.228 |-00.000 | 00.003 |] 1.000 || { 0.01 |-0.01 | 0.04 | 0.01 | 0.05 |-0.06 |-0.03 | 0.00 |-1.00 | }
[ 00.095 | 00.102 | 00.116 | 00.248 | 00.120 | 00.093 | 00.226 |-00.000 |-00.065 |] 1.000 || { 0.01 |-0.06 | 0.12 | 0.01 | 0.19 |-0.19 |-0.08 | 0.00 |-0.95 | }
[ 00.095 | 00.100 | 00.120 | 00.249 | 00.127 | 00.087 | 00.223 |-00.000 |-00.098 |] 1.000 || {-0.03 |-0.28 | 0.38 |-0.06 | 0.67 |-0.49 |-0.20 |-0.00 | 0.20 | }
[ 00.095 | 00.098 | 00.123 | 00.248 | 00.132 | 00.083 | 00.221 |-00.000 |-00.096 |] 1.000 || {-0.01 |-0.16 | 0.23 |-0.04 | 0.39 |-0.30 |-0.12 | 0.00 |-0.82 | }
[ 00.095 | 00.095 | 00.127 | 00.248 | 00.139 | 00.078 | 00.219 |-00.000 |-00.112 |] 1.000 || {-0.11 |-0.36 | 0.39 |-0.21 | 0.71 |-0.35 |-0.06 |-0.00 | 0.17 | }
[ 00.094 | 00.093 | 00.130 | 00.246 | 00.144 | 00.075 | 00.219 |-00.000 |-00.111 |] 1.000 || {-0.08 |-0.31 | 0.37 |-0.16 | 0.65 |-0.37 |-0.09 | 0.00 |-0.40 | }
[ 00.093 | 00.088 | 00.135 | 00.244 | 00.154 | 00.070 | 00.217 |-00.000 |-00.117 |] 1.000 || {-0.20 |-0.37 | 0.41 |-0.37 | 0.66 |-0.23 | 0.10 |-0.00 | 0.13 | }
[ 00.092 | 00.085 | 00.138 | 00.241 | 00.158 | 00.068 | 00.218 |-00.000 |-00.116 |] 1.000 || {-0.16 |-0.36 | 0.42 |-0.31 | 0.68 |-0.30 | 0.04 | 0.00 |-0.12 | }
[ 00.089 | 00.079 | 00.145 | 00.236 | 00.169 | 00.063 | 00.219 |-00.000 |-00.118 |] 1.000 || {-0.27 |-0.32 | 0.47 |-0.50 | 0.51 |-0.15 | 0.26 |-0.00 | 0.10 | }
[ 00.087 | 00.077 | 00.148 | 00.233 | 00.173 | 00.062 | 00.221 |-00.000 |-00.117 |] 1.000 || {-0.23 |-0.34 | 0.46 |-0.43 | 0.59 |-0.22 | 0.17 |-0.00 |-0.01 | }
[ 00.083 | 00.071 | 00.156 | 00.226 | 00.183 | 00.058 | 00.223 |-00.000 |-00.117 |] 1.000 || {-0.32 |-0.23 | 0.54 |-0.56 | 0.33 |-0.09 | 0.34 |-0.00 | 0.07 | }
[ 00.082 | 00.070 | 00.159 | 00.222 | 00.184 | 00.058 | 00.225 |-00.000 |-00.117 |] 1.000 || {-0.28 |-0.29 | 0.52 |-0.51 | 0.47 |-0.16 | 0.26 |-0.00 | 0.02 | }
[ 00.077 | 00.066 | 00.166 | 00.215 | 00.191 | 00.055 | 00.229 |-00.000 |-00.116 |] 1.000 || {-0.37 |-0.15 | 0.59 |-0.56 | 0.18 |-0.05 | 0.36 |-0.00 | 0.05 | }
[ 00.076 | 00.065 | 00.169 | 00.213 | 00.192 | 00.055 | 00.231 |-00.000 |-00.116 |] 1.000 || {-0.33 |-0.23 | 0.56 |-0.54 | 0.36 |-0.12 | 0.30 |-0.00 | 0.03 | }
[ 00.072 | 00.062 | 00.175 | 00.206 | 00.196 | 00.054 | 00.234 |-00.000 |-00.116 |] 1.000 || {-0.41 |-0.08 | 0.63 |-0.54 | 0.09 |-0.03 | 0.34 |-0.00 | 0.03 | }
[ 00.071 | 00.062 | 00.177 | 00.205 | 00.196 | 00.054 | 00.235 |-00.000 |-00.116 |] 1.000 || {-0.36 |-0.19 | 0.59 |-0.55 | 0.27 |-0.09 | 0.32 |-0.00 | 0.03 | }
[ 00.068 | 00.061 | 00.182 | 00.201 | 00.199 | 00.053 | 00.237 |-00.000 |-00.116 |] 1.000 || {-0.39 |-0.13 | 0.62 |-0.54 | 0.19 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.066 | 00.060 | 00.185 | 00.197 | 00.200 | 00.052 | 00.239 |-00.000 |-00.115 |] 1.000 || {-0.41 |-0.11 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.064 | 00.060 | 00.187 | 00.195 | 00.200 | 00.052 | 00.241 |-00.000 |-00.115 |] 1.000 || {-0.41 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.064 | 00.059 | 00.189 | 00.194 | 00.201 | 00.052 | 00.241 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.189 | 00.194 | 00.201 | 00.052 | 00.241 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.189 | 00.194 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.194 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.194 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
[ 00.063 | 00.059 | 00.190 | 00.193 | 00.201 | 00.052 | 00.242 |-00.000 |-00.115 |] 1.000 || {-0.42 |-0.10 | 0.63 |-0.54 | 0.16 |-0.05 | 0.32 |-0.00 | 0.03 | }
|------------------------------||
| OPTIMAL ASSET WEIGHTS ||
|------------------------------||
| ASSET | DROP | EXCEL ||
|------------------------------||
| TOK | 06.2799% | 06.2488% ||
| EWJ | 05.9144% | 05.9355% ||
| HYG | 18.9762% | 18.9894% ||
| LQD | 19.3444% | 19.3201% ||
| EMD | 20.1043% | 20.1137% ||
| GSG | 05.2113% | 05.2097% ||
| BWX | 24.1695% | 24.1828% ||
|------------------------------||
|-------------------------------------------------------------||
| Optimal Portfolio Normalize : 1.0000 ||
| Optimal Portfolio Input Return : 0.5682% ||
| Optimal Portfolio Expected Return : 0.5682% ||
| Optimal Portfolio Standard Deviation : 2.8549% ||
| Excel Portfolio Standard Deviation (Calculated) : 2.8549% ||
| Excel Portfolio Standard Deviation (Input) : 2.8550% ||
|-------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Finish Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
| Run Duration => 11 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.00273300 | 0.00208300 | 0.00159300 | 0.00048800 | 0.00117200 | 0.00231200 | 0.00071000 ||
| EWJ | 0.00208300 | 0.00276800 | 0.00130200 | 0.00045700 | 0.00110500 | 0.00164700 | 0.00056300 ||
| HYG | 0.00159300 | 0.00130200 | 0.00146300 | 0.00063900 | 0.00105000 | 0.00111000 | 0.00051900 ||
| LQD | 0.00048800 | 0.00045700 | 0.00063900 | 0.00060800 | 0.00066300 | 0.00004200 | 0.00037000 ||
| EMD | 0.00117200 | 0.00110500 | 0.00105000 | 0.00066300 | 0.00138900 | 0.00082500 | 0.00066100 ||
| GSG | 0.00231200 | 0.00164700 | 0.00111000 | 0.00004200 | 0.00082500 | 0.00521100 | 0.00074900 ||
| BWX | 0.00071000 | 0.00056300 | 0.00051900 | 0.00037000 | 0.00066100 | 0.00074900 | 0.00070300 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 00% | 30% ||
| EWJ | 00% | 30% ||
| HYG | 00% | 30% ||
| LQD | 00% | 50% ||
| EMD | 00% | 30% ||
| GSG | 00% | 30% ||
| BWX | 00% | 50% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.157 | 00.143 | 00.143 | 00.143 | 00.143 | 00.143 | 00.143 | 00.000 | 00.000 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 1.00 | }
[ 00.080 | 00.099 | 00.113 | 00.254 | 00.116 | 00.099 | 00.239 |-64491.000 | 13850905.662 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 |-0.00 | 0.01 |-1.00 | }
[ 00.090 | 00.098 | 00.106 | 00.261 | 00.108 | 00.098 | 00.237 |-38552.266 | 11397728.060 |] 1.000 || {-0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.01 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-38686.318 | 11371995.398 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-19345.803 | 5686393.473 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-9672.917 | 2843199.778 |] 1.000 || {-0.00 |-0.00 | 0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-4836.464 | 1421600.383 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-2418.230 | 710799.902 |] 1.000 || {-0.00 |-0.00 | 0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-1209.115 | 355399.894 |] 1.000 || {-0.00 |-0.00 | 0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-604.558 | 177699.879 |] 1.000 || {-0.00 |-0.00 | 0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-302.279 | 88849.873 |] 1.000 || { 0.00 |-0.00 | 0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-151.139 | 44424.869 |] 1.000 || { 0.00 |-0.00 | 0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-75.570 | 22212.368 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-37.785 | 11106.118 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-18.892 | 5552.992 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-09.446 | 2776.430 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-04.723 | 1388.148 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-02.362 | 694.008 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-01.181 | 346.937 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-00.590 | 173.402 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-00.295 | 86.635 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-00.148 | 43.251 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-00.074 | 21.559 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-00.037 | 10.713 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-00.019 | 05.290 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.088 | 00.099 | 00.107 | 00.260 | 00.109 | 00.098 | 00.238 |-00.009 | 02.579 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.089 | 00.099 | 00.107 | 00.260 | 00.110 | 00.098 | 00.238 |-00.005 | 01.223 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.089 | 00.099 | 00.108 | 00.260 | 00.110 | 00.097 | 00.238 |-00.002 | 00.545 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.089 | 00.099 | 00.108 | 00.260 | 00.111 | 00.096 | 00.237 |-00.001 | 00.207 |] 1.000 || { 0.00 |-0.00 | 0.01 | 0.00 | 0.01 |-0.01 |-0.01 | 0.00 |-1.00 | }
[ 00.089 | 00.098 | 00.110 | 00.260 | 00.113 | 00.094 | 00.236 |-00.001 | 00.038 |] 1.000 || { 0.00 |-0.01 | 0.03 | 0.01 | 0.04 |-0.04 |-0.02 | 0.00 |-1.00 | }
[ 00.089 | 00.098 | 00.112 | 00.261 | 00.116 | 00.090 | 00.234 |-00.000 |-00.045 |] 1.000 || { 0.01 |-0.04 | 0.09 | 0.01 | 0.14 |-0.14 |-0.07 | 0.00 |-0.97 | }
[ 00.090 | 00.096 | 00.115 | 00.261 | 00.122 | 00.084 | 00.232 |-00.000 |-00.085 |] 1.000 || {-0.03 |-0.27 | 0.39 |-0.03 | 0.66 |-0.50 |-0.23 |-0.00 | 0.20 | }
[ 00.089 | 00.094 | 00.118 | 00.261 | 00.126 | 00.081 | 00.230 |-00.000 |-00.084 |] 1.000 || {-0.01 |-0.12 | 0.18 |-0.01 | 0.30 |-0.23 |-0.10 | 0.00 |-0.89 | }
[ 00.089 | 00.092 | 00.122 | 00.261 | 00.132 | 00.076 | 00.228 |-00.000 |-00.103 |] 1.000 || {-0.11 |-0.36 | 0.40 |-0.19 | 0.70 |-0.36 |-0.09 |-0.00 | 0.17 | }
[ 00.089 | 00.090 | 00.124 | 00.260 | 00.136 | 00.074 | 00.227 |-00.000 |-00.102 |] 1.000 || {-0.07 |-0.28 | 0.35 |-0.13 | 0.58 |-0.35 |-0.10 | 0.00 |-0.56 | }
[ 00.087 | 00.086 | 00.129 | 00.258 | 00.145 | 00.069 | 00.226 |-00.000 |-00.110 |] 1.000 || {-0.19 |-0.38 | 0.42 |-0.35 | 0.66 |-0.24 | 0.08 |-0.00 | 0.13 | }
[ 00.086 | 00.083 | 00.132 | 00.256 | 00.149 | 00.067 | 00.226 |-00.000 |-00.110 |] 1.000 || {-0.16 |-0.36 | 0.43 |-0.29 | 0.67 |-0.31 | 0.02 | 0.00 |-0.21 | }
[ 00.084 | 00.078 | 00.138 | 00.251 | 00.159 | 00.063 | 00.226 |-00.000 |-00.113 |] 1.000 || {-0.27 |-0.32 | 0.48 |-0.49 | 0.51 |-0.15 | 0.25 |-0.00 | 0.10 | }
[ 00.082 | 00.076 | 00.141 | 00.248 | 00.162 | 00.062 | 00.228 |-00.000 |-00.112 |] 1.000 || {-0.23 |-0.34 | 0.48 |-0.42 | 0.58 |-0.23 | 0.15 | 0.00 |-0.06 | }
[ 00.079 | 00.071 | 00.149 | 00.242 | 00.171 | 00.058 | 00.230 |-00.000 |-00.113 |] 1.000 || {-0.33 |-0.23 | 0.56 |-0.55 | 0.31 |-0.09 | 0.34 |-0.00 | 0.06 | }
[ 00.077 | 00.070 | 00.152 | 00.239 | 00.173 | 00.058 | 00.232 |-00.000 |-00.113 |] 1.000 || {-0.29 |-0.29 | 0.54 |-0.50 | 0.45 |-0.16 | 0.25 |-0.00 |-0.00 | }
[ 00.073 | 00.066 | 00.159 | 00.233 | 00.179 | 00.056 | 00.235 |-00.000 |-00.113 |] 1.000 || {-0.38 |-0.14 | 0.62 |-0.55 | 0.15 |-0.05 | 0.35 |-0.00 | 0.04 | }
[ 00.072 | 00.065 | 00.161 | 00.231 | 00.179 | 00.056 | 00.237 |-00.000 |-00.112 |] 1.000 || {-0.33 |-0.23 | 0.59 |-0.53 | 0.33 |-0.12 | 0.29 |-0.00 | 0.01 | }
[ 00.068 | 00.063 | 00.167 | 00.225 | 00.183 | 00.054 | 00.240 |-00.000 |-00.112 |] 1.000 || {-0.42 |-0.06 | 0.65 |-0.53 | 0.05 |-0.02 | 0.33 |-0.00 | 0.03 | }
[ 00.067 | 00.063 | 00.169 | 00.224 | 00.183 | 00.054 | 00.241 |-00.000 |-00.112 |] 1.000 || {-0.37 |-0.17 | 0.62 |-0.54 | 0.24 |-0.09 | 0.31 |-0.00 | 0.02 | }
[ 00.064 | 00.061 | 00.174 | 00.219 | 00.185 | 00.054 | 00.243 |-00.000 |-00.112 |] 1.000 || {-0.40 |-0.12 | 0.64 |-0.54 | 0.16 |-0.06 | 0.31 |-0.00 | 0.02 | }
[ 00.062 | 00.061 | 00.177 | 00.216 | 00.186 | 00.053 | 00.245 |-00.000 |-00.112 |] 1.000 || {-0.42 |-0.09 | 0.65 |-0.53 | 0.13 |-0.05 | 0.31 |-0.00 | 0.02 | }
[ 00.061 | 00.060 | 00.180 | 00.215 | 00.186 | 00.053 | 00.246 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.05 | 0.31 |-0.00 | 0.02 | }
[ 00.060 | 00.060 | 00.181 | 00.214 | 00.186 | 00.053 | 00.246 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.060 | 00.060 | 00.181 | 00.213 | 00.186 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.186 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.30 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.30 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.30 |-0.00 | 0.02 | }
[ 00.059 | 00.060 | 00.182 | 00.213 | 00.187 | 00.053 | 00.247 |-00.000 |-00.112 |] 1.000 || {-0.43 |-0.08 | 0.65 |-0.53 | 0.13 |-0.04 | 0.31 |-0.00 | 0.02 | }
|------------------------------||
| OPTIMAL ASSET WEIGHTS ||
|------------------------------||
| ASSET | DROP | EXCEL ||
|------------------------------||
| TOK | 05.9169% | 05.9817% ||
| EWJ | 05.9925% | 05.9468% ||
| HYG | 18.1797% | 18.1286% ||
| LQD | 21.2726% | 21.3394% ||
| EMD | 18.6550% | 18.6720% ||
| GSG | 05.2951% | 05.2937% ||
| BWX | 24.6882% | 24.6378% ||
|------------------------------||
|-------------------------------------------------------------||
| Optimal Portfolio Normalize : 1.0000 ||
| Optimal Portfolio Input Return : 0.5586% ||
| Optimal Portfolio Expected Return : 0.5586% ||
| Optimal Portfolio Standard Deviation : 2.8164% ||
| Excel Portfolio Standard Deviation (Calculated) : 2.8164% ||
| Excel Portfolio Standard Deviation (Input) : 2.8166% ||
|-------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Finish Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
| Run Duration => 10 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.00273300 | 0.00208300 | 0.00159300 | 0.00048800 | 0.00117200 | 0.00231200 | 0.00071000 ||
| EWJ | 0.00208300 | 0.00276800 | 0.00130200 | 0.00045700 | 0.00110500 | 0.00164700 | 0.00056300 ||
| HYG | 0.00159300 | 0.00130200 | 0.00146300 | 0.00063900 | 0.00105000 | 0.00111000 | 0.00051900 ||
| LQD | 0.00048800 | 0.00045700 | 0.00063900 | 0.00060800 | 0.00066300 | 0.00004200 | 0.00037000 ||
| EMD | 0.00117200 | 0.00110500 | 0.00105000 | 0.00066300 | 0.00138900 | 0.00082500 | 0.00066100 ||
| GSG | 0.00231200 | 0.00164700 | 0.00111000 | 0.00004200 | 0.00082500 | 0.00521100 | 0.00074900 ||
| BWX | 0.00071000 | 0.00056300 | 0.00051900 | 0.00037000 | 0.00066100 | 0.00074900 | 0.00070300 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 00% | 30% ||
| EWJ | 00% | 30% ||
| HYG | 00% | 30% ||
| LQD | 00% | 50% ||
| EMD | 00% | 30% ||
| GSG | 00% | 30% ||
| BWX | 00% | 50% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.157 | 00.143 | 00.143 | 00.143 | 00.143 | 00.143 | 00.143 | 00.000 | 00.000 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 1.00 | }
[ 00.092 | 00.107 | 00.117 | 00.235 | 00.119 | 00.106 | 00.224 |-42266.133 | 10213604.747 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 |-0.00 | 0.01 |-1.00 | }
[ 00.099 | 00.106 | 00.112 | 00.239 | 00.114 | 00.106 | 00.223 |-21418.493 | 8054393.428 |] 1.000 || {-0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.01 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-21490.042 | 8043383.769 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-10745.502 | 4021768.163 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-5372.757 | 2010884.526 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-2686.378 | 1005441.787 |] 1.000 || {-0.00 |-0.00 | 0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-1343.189 | 502720.826 |] 1.000 || {-0.00 |-0.00 | 0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-671.594 | 251360.306 |] 1.000 || {-0.00 |-0.00 | 0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-335.797 | 125680.082 |] 1.000 || { 0.00 |-0.00 | 0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-167.899 | 62839.968 |] 1.000 || { 0.00 |-0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-83.949 | 31419.913 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-41.975 | 15709.885 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-20.987 | 7854.871 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-10.494 | 3927.364 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-05.247 | 1963.610 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-02.623 | 981.733 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-01.312 | 490.795 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-00.656 | 245.326 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-00.328 | 122.591 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-00.164 | 61.224 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-00.082 | 30.540 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-00.041 | 15.198 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.114 | 00.106 | 00.224 |-00.021 | 07.528 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.115 | 00.106 | 00.224 |-00.010 | 03.692 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.238 | 00.115 | 00.106 | 00.224 |-00.005 | 01.774 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.113 | 00.239 | 00.115 | 00.105 | 00.223 |-00.003 | 00.816 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-1.00 | }
[ 00.098 | 00.106 | 00.114 | 00.239 | 00.116 | 00.104 | 00.223 |-00.001 | 00.337 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.01 |-0.00 | 0.00 |-1.00 | }
[ 00.099 | 00.106 | 00.114 | 00.239 | 00.117 | 00.103 | 00.222 |-00.001 | 00.097 |] 1.000 || { 0.00 |-0.00 | 0.01 | 0.00 | 0.02 |-0.02 |-0.01 | 0.00 |-1.00 | }
[ 00.099 | 00.106 | 00.116 | 00.239 | 00.119 | 00.100 | 00.221 |-00.000 |-00.021 |] 1.000 || { 0.01 |-0.02 | 0.04 | 0.01 | 0.07 |-0.08 |-0.03 | 0.00 |-0.99 | }
[ 00.099 | 00.105 | 00.118 | 00.240 | 00.123 | 00.095 | 00.219 |-00.000 |-00.080 |] 1.000 || { 0.01 |-0.07 | 0.15 | 0.01 | 0.24 |-0.24 |-0.10 | 0.00 |-0.92 | }
[ 00.100 | 00.103 | 00.123 | 00.240 | 00.130 | 00.088 | 00.216 |-00.000 |-00.107 |] 1.000 || {-0.03 |-0.29 | 0.38 |-0.08 | 0.68 |-0.48 |-0.18 |-0.00 | 0.20 | }
[ 00.100 | 00.100 | 00.126 | 00.239 | 00.136 | 00.084 | 00.215 |-00.000 |-00.105 |] 1.000 || {-0.02 |-0.19 | 0.27 |-0.05 | 0.47 |-0.35 |-0.12 | 0.00 |-0.73 | }
[ 00.099 | 00.097 | 00.130 | 00.238 | 00.144 | 00.078 | 00.213 |-00.000 |-00.118 |] 1.000 || {-0.12 |-0.37 | 0.38 |-0.22 | 0.71 |-0.34 |-0.05 |-0.00 | 0.17 | }
[ 00.098 | 00.095 | 00.133 | 00.236 | 00.149 | 00.076 | 00.213 |-00.000 |-00.116 |] 1.000 || {-0.09 |-0.33 | 0.38 |-0.18 | 0.68 |-0.38 |-0.08 | 0.00 |-0.30 | }
[ 00.097 | 00.089 | 00.139 | 00.234 | 00.160 | 00.070 | 00.211 |-00.000 |-00.121 |] 1.000 || {-0.20 |-0.37 | 0.40 |-0.38 | 0.66 |-0.23 | 0.11 |-0.00 | 0.13 | }
[ 00.096 | 00.086 | 00.142 | 00.231 | 00.165 | 00.068 | 00.212 |-00.000 |-00.120 |] 1.000 || {-0.16 |-0.37 | 0.41 |-0.32 | 0.68 |-0.30 | 0.05 |-0.00 |-0.07 | }
[ 00.093 | 00.080 | 00.149 | 00.225 | 00.177 | 00.063 | 00.213 |-00.000 |-00.121 |] 1.000 || {-0.27 |-0.32 | 0.45 |-0.51 | 0.51 |-0.15 | 0.27 |-0.00 | 0.10 | }
[ 00.091 | 00.078 | 00.153 | 00.221 | 00.180 | 00.062 | 00.215 |-00.000 |-00.121 |] 1.000 || {-0.23 |-0.34 | 0.45 |-0.44 | 0.59 |-0.22 | 0.18 |-0.00 | 0.02 | }
[ 00.087 | 00.072 | 00.161 | 00.214 | 00.191 | 00.058 | 00.218 |-00.000 |-00.120 |] 1.000 || {-0.32 |-0.23 | 0.52 |-0.56 | 0.34 |-0.09 | 0.35 |-0.00 | 0.07 | }
[ 00.085 | 00.070 | 00.164 | 00.210 | 00.193 | 00.058 | 00.220 |-00.000 |-00.120 |] 1.000 || {-0.28 |-0.29 | 0.50 |-0.51 | 0.48 |-0.16 | 0.27 |-0.00 | 0.04 | }
[ 00.080 | 00.066 | 00.172 | 00.202 | 00.200 | 00.055 | 00.225 |-00.000 |-00.119 |] 1.000 || {-0.37 |-0.15 | 0.58 |-0.57 | 0.21 |-0.06 | 0.36 |-0.00 | 0.05 | }
[ 00.079 | 00.065 | 00.174 | 00.200 | 00.201 | 00.055 | 00.226 |-00.000 |-00.119 |] 1.000 || {-0.32 |-0.24 | 0.54 |-0.54 | 0.38 |-0.12 | 0.31 |-0.00 | 0.04 | }
[ 00.075 | 00.062 | 00.181 | 00.193 | 00.206 | 00.053 | 00.230 |-00.000 |-00.119 |] 1.000 || {-0.41 |-0.09 | 0.62 |-0.55 | 0.12 |-0.03 | 0.35 |-0.00 | 0.04 | }
[ 00.074 | 00.062 | 00.182 | 00.192 | 00.206 | 00.053 | 00.231 |-00.000 |-00.118 |] 1.000 || {-0.36 |-0.19 | 0.57 |-0.55 | 0.30 |-0.09 | 0.32 |-0.00 | 0.04 | }
[ 00.071 | 00.060 | 00.187 | 00.187 | 00.209 | 00.052 | 00.234 |-00.000 |-00.118 |] 1.000 || {-0.39 |-0.14 | 0.60 |-0.55 | 0.22 |-0.07 | 0.33 |-0.00 | 0.04 | }
[ 00.068 | 00.059 | 00.191 | 00.184 | 00.210 | 00.052 | 00.236 |-00.000 |-00.118 |] 1.000 || {-0.40 |-0.12 | 0.61 |-0.55 | 0.19 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.067 | 00.059 | 00.193 | 00.182 | 00.211 | 00.052 | 00.237 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.55 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.066 | 00.059 | 00.194 | 00.181 | 00.211 | 00.052 | 00.237 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.55 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.066 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.066 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.066 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.55 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.55 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.54 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.55 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
[ 00.065 | 00.059 | 00.195 | 00.180 | 00.211 | 00.052 | 00.238 |-00.000 |-00.118 |] 1.000 || {-0.41 |-0.11 | 0.62 |-0.55 | 0.18 |-0.06 | 0.32 |-0.00 | 0.03 | }
|------------------------------||
| OPTIMAL ASSET WEIGHTS ||
|------------------------------||
| ASSET | DROP | EXCEL ||
|------------------------------||
| TOK | 06.5407% | 06.3846% ||
| EWJ | 05.8582% | 05.9524% ||
| HYG | 19.5487% | 19.6390% ||
| LQD | 17.9585% | 17.8838% ||
| EMD | 21.1460% | 21.1827% ||
| GSG | 05.1510% | 05.1509% ||
| BWX | 23.7967% | 23.8067% ||
|------------------------------||
|-------------------------------------------------------------||
| Optimal Portfolio Normalize : 1.0000 ||
| Optimal Portfolio Input Return : 0.5751% ||
| Optimal Portfolio Expected Return : 0.5751% ||
| Optimal Portfolio Standard Deviation : 2.8829% ||
| Excel Portfolio Standard Deviation (Calculated) : 2.8829% ||
| Excel Portfolio Standard Deviation (Input) : 2.8830% ||
|-------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Finish Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
| Run Duration => 15 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.00273300 | 0.00208300 | 0.00159300 | 0.00048800 | 0.00117200 | 0.00231200 | 0.00071000 ||
| EWJ | 0.00208300 | 0.00276800 | 0.00130200 | 0.00045700 | 0.00110500 | 0.00164700 | 0.00056300 ||
| HYG | 0.00159300 | 0.00130200 | 0.00146300 | 0.00063900 | 0.00105000 | 0.00111000 | 0.00051900 ||
| LQD | 0.00048800 | 0.00045700 | 0.00063900 | 0.00060800 | 0.00066300 | 0.00004200 | 0.00037000 ||
| EMD | 0.00117200 | 0.00110500 | 0.00105000 | 0.00066300 | 0.00138900 | 0.00082500 | 0.00066100 ||
| GSG | 0.00231200 | 0.00164700 | 0.00111000 | 0.00004200 | 0.00082500 | 0.00521100 | 0.00074900 ||
| BWX | 0.00071000 | 0.00056300 | 0.00051900 | 0.00037000 | 0.00066100 | 0.00074900 | 0.00070300 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 05% | 40% ||
| EWJ | 05% | 40% ||
| HYG | 05% | 30% ||
| LQD | 10% | 60% ||
| EMD | 05% | 35% ||
| GSG | 05% | 15% ||
| BWX | 03% | 50% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.139 | 00.139 | 00.139 | 00.189 | 00.139 | 00.139 | 00.119 | 00.000 | 00.000 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 | 0.02 |-1.00 | }
[ 00.151 | 00.147 | 00.129 | 00.193 | 00.133 | 00.128 | 00.119 | 93109.834 |-4268642.309 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.181 | 00.171 | 00.142 | 00.198 | 00.142 | 00.050 | 00.120 | 98749.155 |-8836835.298 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 1.00 | }
[ 00.165 | 00.158 | 00.136 | 00.195 | 00.137 | 00.088 | 00.119 | 95768.784 |-6420253.331 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 94940.046 |-5929052.089 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 94917.240 |-5914792.022 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 47458.526 |-2957375.866 |] 1.000 || {-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 23729.305 |-1478694.502 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 11864.646 |-739346.503 |] 1.000 || {-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 5932.326 |-369673.848 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 2966.163 |-184837.005 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 1483.081 |-92418.562 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 741.541 |-46209.369 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 370.770 |-23104.763 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 185.385 |-11552.460 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 92.692 |-5776.309 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 46.346 |-2888.233 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 23.173 |-1444.195 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 11.586 |-722.176 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 05.793 |-361.167 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 02.896 |-180.662 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 01.448 |-90.410 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 00.724 |-45.284 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 00.362 |-22.721 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 00.181 |-11.439 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 00.090 |-05.798 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.195 | 00.137 | 00.093 | 00.119 | 00.045 |-02.978 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.196 | 00.137 | 00.093 | 00.119 | 00.022 |-01.568 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.196 | 00.137 | 00.093 | 00.119 | 00.011 |-00.863 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.02 | 1.00 | }
[ 00.164 | 00.157 | 00.135 | 00.196 | 00.136 | 00.093 | 00.118 | 00.005 |-00.510 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.01 |-0.00 |-0.00 |-0.01 |-0.02 | 1.00 | }
[ 00.164 | 00.156 | 00.136 | 00.198 | 00.136 | 00.093 | 00.117 | 00.003 |-00.334 |] 1.000 || { 0.00 |-0.01 | 0.02 | 0.03 |-0.01 |-0.01 |-0.02 |-0.02 | 1.00 | }
[ 00.164 | 00.155 | 00.138 | 00.200 | 00.135 | 00.092 | 00.116 | 00.001 |-00.246 |] 1.000 || { 0.00 |-0.04 | 0.07 | 0.11 |-0.03 |-0.02 |-0.08 |-0.02 | 0.99 | }
[ 00.164 | 00.153 | 00.141 | 00.205 | 00.134 | 00.092 | 00.112 | 00.000 |-00.202 |] 1.000 || { 0.01 |-0.13 | 0.23 | 0.36 |-0.13 |-0.06 |-0.27 |-0.01 | 0.84 | }
[ 00.164 | 00.150 | 00.147 | 00.214 | 00.130 | 00.090 | 00.105 | 00.000 |-00.181 |] 1.000 || { 0.01 |-0.23 | 0.43 | 0.66 |-0.29 |-0.10 |-0.48 | 0.00 |-0.03 | }
[ 00.164 | 00.147 | 00.152 | 00.222 | 00.127 | 00.089 | 00.099 | 00.000 |-00.181 |] 1.000 || { 0.06 | 0.07 |-0.23 |-0.73 | 0.33 | 0.00 | 0.50 |-0.00 | 0.21 | }
[ 00.164 | 00.147 | 00.152 | 00.222 | 00.127 | 00.089 | 00.099 | 00.000 |-00.181 |] 1.000 || { 0.01 |-0.20 | 0.37 | 0.57 |-0.25 |-0.09 |-0.41 |-0.01 | 0.51 | }
[ 00.164 | 00.143 | 00.160 | 00.234 | 00.122 | 00.087 | 00.091 |-00.000 |-00.170 |] 1.000 || { 0.01 |-0.22 | 0.46 | 0.64 |-0.36 |-0.10 |-0.43 | 0.00 |-0.02 | }
[ 00.165 | 00.140 | 00.166 | 00.242 | 00.117 | 00.085 | 00.085 |-00.000 |-00.171 |] 1.000 || { 0.07 | 0.05 |-0.28 |-0.71 | 0.43 |-0.01 | 0.45 |-0.00 | 0.16 | }
[ 00.165 | 00.140 | 00.166 | 00.242 | 00.117 | 00.085 | 00.085 |-00.000 |-00.171 |] 1.000 || { 0.01 |-0.22 | 0.45 | 0.63 |-0.34 |-0.10 |-0.43 |-0.00 | 0.19 | }
[ 00.165 | 00.134 | 00.178 | 00.259 | 00.108 | 00.083 | 00.073 |-00.000 |-00.165 |] 1.000 || { 0.00 |-0.23 | 0.54 | 0.57 |-0.43 |-0.11 |-0.36 | 0.00 | 0.00 | }
[ 00.165 | 00.131 | 00.186 | 00.267 | 00.102 | 00.081 | 00.068 |-00.000 |-00.165 |] 1.000 || { 0.22 |-0.00 |-0.51 |-0.52 | 0.56 |-0.04 | 0.30 |-0.00 | 0.12 | }
[ 00.165 | 00.131 | 00.185 | 00.267 | 00.102 | 00.081 | 00.068 |-00.000 |-00.165 |] 1.000 || { 0.01 |-0.23 | 0.52 | 0.59 |-0.40 |-0.11 |-0.38 |-0.00 | 0.09 | }
[ 00.165 | 00.124 | 00.201 | 00.285 | 00.090 | 00.078 | 00.057 |-00.000 |-00.163 |] 1.000 || {-0.02 |-0.25 | 0.67 | 0.45 |-0.44 |-0.13 |-0.26 | 0.00 | 0.03 | }
[ 00.165 | 00.121 | 00.208 | 00.290 | 00.085 | 00.077 | 00.054 |-00.000 |-00.162 |] 1.000 || { 0.59 |-0.36 |-0.45 | 0.06 | 0.49 |-0.25 |-0.07 |-0.00 | 0.11 | }
[ 00.165 | 00.121 | 00.208 | 00.290 | 00.085 | 00.077 | 00.054 |-00.000 |-00.162 |] 1.000 || {-0.01 |-0.25 | 0.61 | 0.52 |-0.42 |-0.13 |-0.33 |-0.00 | 0.07 | }
[ 00.165 | 00.115 | 00.225 | 00.304 | 00.074 | 00.073 | 00.045 |-00.000 |-00.160 |] 1.000 || {-0.05 |-0.28 | 0.79 | 0.29 |-0.38 |-0.17 |-0.19 |-0.00 | 0.06 | }
[ 00.164 | 00.113 | 00.230 | 00.306 | 00.071 | 00.072 | 00.044 |-00.000 |-00.160 |] 1.000 || {-0.03 |-0.27 | 0.69 | 0.43 |-0.40 |-0.15 |-0.28 |-0.00 | 0.07 | }
[ 00.164 | 00.107 | 00.244 | 00.315 | 00.063 | 00.069 | 00.038 |-00.000 |-00.159 |] 1.000 || {-0.11 |-0.28 | 0.87 | 0.12 |-0.26 |-0.21 |-0.13 |-0.00 | 0.08 | }
[ 00.163 | 00.106 | 00.247 | 00.315 | 00.062 | 00.068 | 00.038 |-00.000 |-00.158 |] 1.000 || {-0.06 |-0.27 | 0.77 | 0.33 |-0.36 |-0.18 |-0.23 |-0.00 | 0.07 | }
[ 00.163 | 00.102 | 00.259 | 00.320 | 00.057 | 00.065 | 00.034 |-00.000 |-00.157 |] 1.000 || {-0.20 |-0.23 | 0.91 |-0.04 |-0.14 |-0.23 |-0.08 |-0.00 | 0.09 | }
[ 00.162 | 00.101 | 00.261 | 00.320 | 00.056 | 00.065 | 00.034 |-00.000 |-00.157 |] 1.000 || {-0.11 |-0.26 | 0.84 | 0.22 |-0.30 |-0.20 |-0.19 |-0.00 | 0.08 | }
[ 00.161 | 00.099 | 00.270 | 00.322 | 00.053 | 00.063 | 00.032 |-00.000 |-00.156 |] 1.000 || {-0.29 |-0.16 | 0.90 |-0.15 |-0.06 |-0.21 |-0.04 |-0.00 | 0.09 | }
[ 00.160 | 00.098 | 00.271 | 00.322 | 00.053 | 00.063 | 00.032 |-00.000 |-00.156 |] 1.000 || {-0.18 |-0.24 | 0.88 | 0.11 |-0.23 |-0.20 |-0.15 |-0.00 | 0.09 | }
[ 00.159 | 00.097 | 00.277 | 00.323 | 00.052 | 00.061 | 00.031 |-00.000 |-00.155 |] 1.000 || {-0.26 |-0.19 | 0.91 |-0.02 |-0.15 |-0.19 |-0.10 |-0.00 | 0.09 | }
[ 00.158 | 00.096 | 00.283 | 00.323 | 00.051 | 00.060 | 00.031 |-00.000 |-00.155 |] 1.000 || {-0.33 |-0.14 | 0.90 |-0.11 |-0.10 |-0.16 |-0.07 |-0.00 | 0.08 | }
[ 00.156 | 00.095 | 00.287 | 00.322 | 00.050 | 00.059 | 00.030 |-00.000 |-00.155 |] 1.000 || {-0.39 |-0.11 | 0.89 |-0.17 |-0.07 |-0.11 |-0.05 |-0.00 | 0.08 | }
[ 00.155 | 00.095 | 00.289 | 00.322 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.43 |-0.09 | 0.87 |-0.20 |-0.05 |-0.07 |-0.03 |-0.00 | 0.07 | }
[ 00.154 | 00.095 | 00.291 | 00.321 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.46 |-0.07 | 0.85 |-0.23 |-0.03 |-0.04 |-0.02 |-0.00 | 0.07 | }
[ 00.153 | 00.094 | 00.293 | 00.321 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.47 |-0.06 | 0.84 |-0.24 |-0.03 |-0.02 |-0.02 |-0.00 | 0.07 | }
[ 00.153 | 00.094 | 00.293 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.84 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.153 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.84 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
[ 00.152 | 00.094 | 00.294 | 00.320 | 00.050 | 00.059 | 00.030 |-00.000 |-00.154 |] 1.000 || {-0.48 |-0.06 | 0.83 |-0.25 |-0.02 |-0.01 |-0.02 |-0.00 | 0.06 | }
|------------------------------||
| OPTIMAL ASSET WEIGHTS ||
|------------------------------||
| ASSET | DROP | EXCEL ||
|------------------------------||
| TOK | 15.2270% | 15.1900% ||
| EWJ | 09.4368% | 09.5400% ||
| HYG | 29.4438% | 29.3900% ||
| LQD | 32.0194% | 32.0300% ||
| EMD | 05.0000% | 05.0000% ||
| GSG | 05.8731% | 05.8600% ||
| BWX | 03.0000% | 03.0000% ||
|------------------------------||
|-------------------------------------------------------------||
| Optimal Portfolio Normalize : 1.0000 ||
| Optimal Portfolio Input Return : 0.5262% ||
| Optimal Portfolio Expected Return : 0.5262% ||
| Optimal Portfolio Standard Deviation : 3.1392% ||
| Excel Portfolio Standard Deviation (Calculated) : 3.1394% ||
| Excel Portfolio Standard Deviation (Input) : 3.1391% ||
|-------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:43 EST 2020
| Setup Time => Mon Jan 27 00:35:43 EST 2020
| Finish Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
| Run Duration => 19 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.00273300 | 0.00208300 | 0.00159300 | 0.00048800 | 0.00117200 | 0.00231200 | 0.00071000 ||
| EWJ | 0.00208300 | 0.00276800 | 0.00130200 | 0.00045700 | 0.00110500 | 0.00164700 | 0.00056300 ||
| HYG | 0.00159300 | 0.00130200 | 0.00146300 | 0.00063900 | 0.00105000 | 0.00111000 | 0.00051900 ||
| LQD | 0.00048800 | 0.00045700 | 0.00063900 | 0.00060800 | 0.00066300 | 0.00004200 | 0.00037000 ||
| EMD | 0.00117200 | 0.00110500 | 0.00105000 | 0.00066300 | 0.00138900 | 0.00082500 | 0.00066100 ||
| GSG | 0.00231200 | 0.00164700 | 0.00111000 | 0.00004200 | 0.00082500 | 0.00521100 | 0.00074900 ||
| BWX | 0.00071000 | 0.00056300 | 0.00051900 | 0.00037000 | 0.00066100 | 0.00074900 | 0.00070300 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 05% | 40% ||
| EWJ | 05% | 40% ||
| HYG | 05% | 30% ||
| LQD | 10% | 60% ||
| EMD | 05% | 35% ||
| GSG | 05% | 15% ||
| BWX | 03% | 50% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.139 | 00.139 | 00.139 | 00.189 | 00.139 | 00.139 | 00.119 | 00.000 | 00.000 |] 1.000 || { 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.01 |-1.00 | }
[ 00.172 | 00.161 | 00.136 | 00.176 | 00.130 | 00.128 | 00.096 | 137864.486 |-13261128.809 |] 1.000 || { 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-1.00 | }
[ 00.204 | 00.180 | 00.142 | 00.180 | 00.135 | 00.058 | 00.101 | 138700.054 |-15000634.085 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 1.00 | }
[ 00.191 | 00.171 | 00.138 | 00.178 | 00.131 | 00.092 | 00.100 | 139555.661 |-13970757.207 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 1.00 | }
[ 00.190 | 00.170 | 00.138 | 00.177 | 00.131 | 00.094 | 00.100 | 139481.230 |-13814716.912 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.137 | 00.177 | 00.131 | 00.094 | 00.100 | 69739.702 |-6906082.232 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.137 | 00.177 | 00.131 | 00.094 | 00.100 | 34869.843 |-3453041.944 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.137 | 00.177 | 00.131 | 00.094 | 00.100 | 17434.931 |-1726522.835 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.137 | 00.177 | 00.131 | 00.094 | 00.100 | 8717.464 |-863261.454 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.137 | 00.177 | 00.131 | 00.094 | 00.100 | 4358.733 |-431631.003 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.137 | 00.177 | 00.131 | 00.094 | 00.100 | 2179.366 |-215815.562 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.137 | 00.177 | 00.131 | 00.094 | 00.100 | 1089.683 |-107907.864 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.137 | 00.177 | 00.131 | 00.094 | 00.100 | 544.841 |-53954.015 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.137 | 00.177 | 00.131 | 00.094 | 00.100 | 272.421 |-26977.094 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.137 | 00.177 | 00.131 | 00.094 | 00.100 | 136.210 |-13488.632 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.137 | 00.177 | 00.131 | 00.094 | 00.100 | 68.105 |-6744.402 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.137 | 00.177 | 00.131 | 00.094 | 00.100 | 34.052 |-3372.286 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.137 | 00.177 | 00.131 | 00.094 | 00.100 | 17.026 |-1686.229 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.137 | 00.177 | 00.131 | 00.094 | 00.100 | 08.513 |-843.200 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.137 | 00.177 | 00.131 | 00.094 | 00.100 | 04.256 |-421.686 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.138 | 00.177 | 00.131 | 00.094 | 00.100 | 02.128 |-210.928 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.138 | 00.177 | 00.131 | 00.094 | 00.100 | 01.064 |-105.550 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.138 | 00.177 | 00.131 | 00.094 | 00.100 | 00.532 |-52.860 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.138 | 00.177 | 00.131 | 00.094 | 00.100 | 00.266 |-26.516 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.138 | 00.178 | 00.131 | 00.094 | 00.100 | 00.133 |-13.343 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.138 | 00.178 | 00.131 | 00.094 | 00.100 | 00.066 |-06.757 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.138 | 00.178 | 00.131 | 00.094 | 00.100 | 00.033 |-03.464 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.170 | 00.138 | 00.178 | 00.131 | 00.094 | 00.100 | 00.016 |-01.818 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.169 | 00.138 | 00.178 | 00.131 | 00.094 | 00.099 | 00.008 |-00.994 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.01 | 1.00 | }
[ 00.190 | 00.169 | 00.139 | 00.179 | 00.131 | 00.094 | 00.099 | 00.004 |-00.583 |] 1.000 || { 0.00 |-0.01 | 0.01 | 0.01 |-0.00 |-0.00 |-0.01 |-0.01 | 1.00 | }
[ 00.190 | 00.167 | 00.141 | 00.181 | 00.130 | 00.093 | 00.097 | 00.002 |-00.377 |] 1.000 || { 0.00 |-0.02 | 0.04 | 0.03 |-0.01 |-0.01 |-0.03 |-0.01 | 1.00 | }
[ 00.190 | 00.165 | 00.145 | 00.184 | 00.129 | 00.092 | 00.095 | 00.001 |-00.274 |] 1.000 || { 0.01 |-0.08 | 0.13 | 0.12 |-0.05 |-0.03 |-0.09 |-0.01 | 0.97 | }
[ 00.191 | 00.161 | 00.152 | 00.190 | 00.126 | 00.091 | 00.090 | 00.000 |-00.223 |] 1.000 || { 0.01 |-0.33 | 0.60 | 0.52 |-0.27 |-0.14 |-0.40 | 0.00 |-0.02 | }
[ 00.191 | 00.157 | 00.158 | 00.196 | 00.124 | 00.089 | 00.085 | 00.000 |-00.223 |] 1.000 || { 0.19 | 0.12 |-0.57 |-0.53 | 0.38 | 0.02 | 0.40 |-0.00 | 0.20 | }
[ 00.191 | 00.157 | 00.158 | 00.196 | 00.124 | 00.089 | 00.085 | 00.000 |-00.223 |] 1.000 || { 0.01 |-0.18 | 0.32 | 0.28 |-0.14 |-0.07 |-0.21 |-0.01 | 0.85 | }
[ 00.191 | 00.152 | 00.168 | 00.204 | 00.119 | 00.087 | 00.079 | 00.000 |-00.198 |] 1.000 || {-0.01 |-0.29 | 0.62 | 0.52 |-0.35 |-0.13 |-0.36 | 0.00 |-0.02 | }
[ 00.191 | 00.148 | 00.175 | 00.210 | 00.115 | 00.086 | 00.075 | 00.000 |-00.198 |] 1.000 || { 0.19 | 0.08 |-0.57 |-0.52 | 0.46 | 0.01 | 0.34 |-0.00 | 0.15 | }
[ 00.191 | 00.148 | 00.175 | 00.210 | 00.115 | 00.086 | 00.075 | 00.000 |-00.198 |] 1.000 || {-0.00 |-0.27 | 0.55 | 0.46 |-0.30 |-0.12 |-0.32 |-0.00 | 0.46 | }
[ 00.191 | 00.141 | 00.190 | 00.223 | 00.107 | 00.082 | 00.066 |-00.000 |-00.186 |] 1.000 || {-0.01 |-0.26 | 0.64 | 0.48 |-0.42 |-0.13 |-0.30 | 0.00 |-0.00 | }
[ 00.190 | 00.137 | 00.199 | 00.229 | 00.102 | 00.081 | 00.062 |-00.000 |-00.186 |] 1.000 || { 0.24 |-0.01 |-0.57 |-0.46 | 0.56 |-0.03 | 0.26 |-0.00 | 0.14 | }
[ 00.191 | 00.137 | 00.199 | 00.229 | 00.102 | 00.081 | 00.062 |-00.000 |-00.186 |] 1.000 || {-0.01 |-0.27 | 0.62 | 0.48 |-0.38 |-0.13 |-0.31 |-0.00 | 0.21 | }
[ 00.190 | 00.129 | 00.217 | 00.243 | 00.090 | 00.077 | 00.053 |-00.000 |-00.180 |] 1.000 || {-0.00 |-0.26 | 0.69 | 0.42 |-0.45 |-0.15 |-0.24 | 0.00 | 0.02 | }
[ 00.190 | 00.127 | 00.224 | 00.247 | 00.086 | 00.075 | 00.050 |-00.000 |-00.179 |] 1.000 || { 0.36 |-0.42 | 0.00 |-0.37 | 0.64 |-0.30 | 0.09 |-0.00 | 0.24 | }
[ 00.190 | 00.127 | 00.224 | 00.247 | 00.086 | 00.075 | 00.050 |-00.000 |-00.179 |] 1.000 || {-0.00 |-0.28 | 0.67 | 0.45 |-0.41 |-0.15 |-0.27 |-0.00 | 0.13 | }
[ 00.190 | 00.119 | 00.242 | 00.259 | 00.075 | 00.071 | 00.043 |-00.000 |-00.176 |] 1.000 || { 0.00 |-0.28 | 0.76 | 0.31 |-0.41 |-0.20 |-0.17 |-0.00 | 0.05 | }
[ 00.190 | 00.117 | 00.247 | 00.261 | 00.072 | 00.070 | 00.042 |-00.000 |-00.176 |] 1.000 || {-0.00 |-0.28 | 0.71 | 0.39 |-0.41 |-0.17 |-0.24 |-0.00 | 0.10 | }
[ 00.190 | 00.112 | 00.262 | 00.269 | 00.064 | 00.066 | 00.037 |-00.000 |-00.174 |] 1.000 || {-0.03 |-0.29 | 0.84 | 0.17 |-0.31 |-0.26 |-0.12 |-0.00 | 0.07 | }
[ 00.190 | 00.111 | 00.265 | 00.270 | 00.063 | 00.065 | 00.037 |-00.000 |-00.173 |] 1.000 || {-0.01 |-0.29 | 0.76 | 0.32 |-0.38 |-0.21 |-0.20 |-0.00 | 0.10 | }
[ 00.190 | 00.106 | 00.276 | 00.275 | 00.057 | 00.063 | 00.034 |-00.000 |-00.172 |] 1.000 || {-0.08 |-0.25 | 0.88 | 0.03 |-0.19 |-0.33 |-0.07 |-0.00 | 0.09 | }
[ 00.190 | 00.106 | 00.278 | 00.275 | 00.057 | 00.062 | 00.034 |-00.000 |-00.172 |] 1.000 || {-0.03 |-0.28 | 0.81 | 0.24 |-0.33 |-0.25 |-0.17 |-0.00 | 0.10 | }
[ 00.189 | 00.103 | 00.285 | 00.277 | 00.054 | 00.059 | 00.032 |-00.000 |-00.171 |] 1.000 || {-0.09 |-0.20 | 0.88 |-0.05 |-0.10 |-0.40 |-0.05 |-0.00 | 0.11 | }
[ 00.189 | 00.103 | 00.286 | 00.277 | 00.054 | 00.059 | 00.032 |-00.000 |-00.171 |] 1.000 || {-0.04 |-0.26 | 0.84 | 0.18 |-0.28 |-0.29 |-0.14 |-0.00 | 0.10 | }
[ 00.189 | 00.101 | 00.292 | 00.278 | 00.052 | 00.057 | 00.031 |-00.000 |-00.170 |] 1.000 || {-0.04 |-0.23 | 0.86 | 0.10 |-0.21 |-0.37 |-0.11 |-0.00 | 0.11 | }
[ 00.189 | 00.100 | 00.295 | 00.278 | 00.051 | 00.056 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.02 |-0.21 | 0.83 | 0.08 |-0.17 |-0.46 |-0.09 |-0.00 | 0.12 | }
[ 00.189 | 00.100 | 00.298 | 00.279 | 00.050 | 00.054 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.12 |-0.19 | 0.76 | 0.10 |-0.14 |-0.57 |-0.08 |-0.00 | 0.12 | }
[ 00.189 | 00.099 | 00.299 | 00.279 | 00.050 | 00.053 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.24 |-0.16 | 0.65 | 0.13 |-0.12 |-0.67 |-0.06 |-0.00 | 0.12 | }
[ 00.189 | 00.099 | 00.299 | 00.279 | 00.050 | 00.053 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.34 |-0.14 | 0.53 | 0.16 |-0.10 |-0.73 |-0.05 |-0.00 | 0.12 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.40 |-0.12 | 0.44 | 0.17 |-0.08 |-0.76 |-0.04 |-0.00 | 0.12 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.43 |-0.11 | 0.38 | 0.18 |-0.07 |-0.78 |-0.04 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.45 |-0.11 | 0.36 | 0.18 |-0.06 |-0.78 |-0.04 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.45 |-0.11 | 0.35 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.35 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
[ 00.190 | 00.099 | 00.300 | 00.279 | 00.050 | 00.052 | 00.030 |-00.000 |-00.169 |] 1.000 || { 0.46 |-0.11 | 0.34 | 0.18 |-0.06 |-0.78 |-0.03 |-0.00 | 0.11 | }
|------------------------------||
| OPTIMAL ASSET WEIGHTS ||
|------------------------------||
| ASSET | DROP | EXCEL ||
|------------------------------||
| TOK | 18.9885% | 18.9700% ||
| EWJ | 09.9149% | 09.9400% ||
| HYG | 30.0000% | 30.0000% ||
| LQD | 27.9214% | 27.9100% ||
| EMD | 05.0000% | 05.0000% ||
| GSG | 05.1753% | 05.1800% ||
| BWX | 03.0000% | 03.0000% ||
|------------------------------||
|-------------------------------------------------------------||
| Optimal Portfolio Normalize : 1.0000 ||
| Optimal Portfolio Input Return : 0.5497% ||
| Optimal Portfolio Expected Return : 0.5497% ||
| Optimal Portfolio Standard Deviation : 3.2576% ||
| Excel Portfolio Standard Deviation (Calculated) : 3.2577% ||
| Excel Portfolio Standard Deviation (Input) : 3.2578% ||
|-------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Finish Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
| Run Duration => 19 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.03279600 | 0.02499600 | 0.01911600 | 0.00585600 | 0.01406400 | 0.02774400 | 0.00852000 ||
| EWJ | 0.02499600 | 0.03321600 | 0.01562400 | 0.00548400 | 0.01326000 | 0.01976400 | 0.00675600 ||
| HYG | 0.01911600 | 0.01562400 | 0.01755600 | 0.00766800 | 0.01260000 | 0.01332000 | 0.00622800 ||
| LQD | 0.00585600 | 0.00548400 | 0.00766800 | 0.00729600 | 0.00795600 | 0.00050400 | 0.00444000 ||
| EMD | 0.01406400 | 0.01326000 | 0.01260000 | 0.00795600 | 0.01666800 | 0.00990000 | 0.00793200 ||
| GSG | 0.02774400 | 0.01976400 | 0.01332000 | 0.00050400 | 0.00990000 | 0.06253200 | 0.00898800 ||
| BWX | 0.00852000 | 0.00675600 | 0.00622800 | 0.00444000 | 0.00793200 | 0.00898800 | 0.00843600 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 03% | 30% ||
| EWJ | 07% | 35% ||
| HYG | 02% | 28% ||
| LQD | 09% | 38% ||
| EMD | 06% | 28% ||
| GSG | 01% | 16% ||
| BWX | 24% | 43% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.099 | 00.139 | 00.089 | 00.159 | 00.129 | 00.079 | 00.309 | 00.000 | 00.000 |] 1.000 || { 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 0.09 |-1.00 | }
[ 00.132 | 00.161 | 00.097 | 00.146 | 00.120 | 00.088 | 00.255 | 241246.432 |-2802051.916 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 | 0.08 |-1.00 | }
[ 00.151 | 00.160 | 00.085 | 00.132 | 00.109 | 00.091 | 00.272 | 342138.634 |-4049836.060 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.07 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 330758.545 |-3886676.306 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 165202.831 |-1940733.039 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 82601.334 |-970365.390 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 41300.670 |-485182.833 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 20650.333 |-242591.501 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 10325.166 |-121295.854 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 5162.583 |-60648.027 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 2581.291 |-30324.114 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 1290.645 |-15162.158 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 645.322 |-7581.180 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 322.661 |-3790.691 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 161.330 |-1895.447 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 80.664 |-947.824 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 40.332 |-474.013 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 20.165 |-237.108 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 10.082 |-118.655 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 05.041 |-59.428 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 02.520 |-29.815 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.136 | 00.111 | 00.090 | 00.268 | 01.259 |-15.009 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.160 | 00.087 | 00.137 | 00.111 | 00.090 | 00.268 | 00.629 |-07.605 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.159 | 00.087 | 00.137 | 00.111 | 00.091 | 00.268 | 00.314 |-03.904 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.147 | 00.159 | 00.087 | 00.137 | 00.111 | 00.091 | 00.268 | 00.157 |-02.054 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.146 | 00.158 | 00.088 | 00.138 | 00.111 | 00.091 | 00.267 | 00.078 |-01.129 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.08 | 1.00 | }
[ 00.145 | 00.156 | 00.089 | 00.140 | 00.111 | 00.093 | 00.266 | 00.039 |-00.668 |] 1.000 || {-0.01 |-0.02 | 0.01 | 0.02 |-0.00 | 0.01 |-0.01 |-0.08 | 1.00 | }
[ 00.143 | 00.153 | 00.091 | 00.145 | 00.110 | 00.095 | 00.264 | 00.019 |-00.440 |] 1.000 || {-0.04 |-0.06 | 0.02 | 0.08 |-0.02 | 0.04 |-0.03 |-0.08 | 0.99 | }
[ 00.139 | 00.146 | 00.093 | 00.154 | 00.108 | 00.099 | 00.261 | 00.010 |-00.331 |] 1.000 || {-0.19 |-0.34 | 0.02 | 0.68 |-0.23 | 0.27 |-0.21 | 0.04 |-0.46 | }
[ 00.136 | 00.142 | 00.093 | 00.163 | 00.105 | 00.103 | 00.258 | 00.011 |-00.337 |] 1.000 || { 0.00 | 0.08 | 0.21 |-0.70 | 0.27 |-0.07 | 0.20 |-0.05 | 0.58 | }
[ 00.136 | 00.142 | 00.093 | 00.163 | 00.105 | 00.103 | 00.258 | 00.011 |-00.337 |] 1.000 || {-0.07 |-0.13 | 0.01 | 0.25 |-0.09 | 0.10 |-0.08 |-0.08 | 0.94 | }
[ 00.132 | 00.135 | 00.094 | 00.176 | 00.101 | 00.108 | 00.254 | 00.007 |-00.288 |] 1.000 || {-0.06 |-0.28 |-0.18 | 0.72 |-0.32 | 0.27 |-0.15 | 0.04 |-0.41 | }
[ 00.132 | 00.131 | 00.091 | 00.186 | 00.096 | 00.112 | 00.252 | 00.007 |-00.294 |] 1.000 || {-0.09 | 0.04 | 0.38 |-0.69 | 0.32 |-0.09 | 0.13 |-0.04 | 0.49 | }
[ 00.131 | 00.131 | 00.092 | 00.186 | 00.096 | 00.112 | 00.252 | 00.007 |-00.293 |] 1.000 || {-0.09 |-0.28 |-0.12 | 0.64 |-0.26 | 0.25 |-0.14 |-0.05 | 0.58 | }
[ 00.129 | 00.122 | 00.088 | 00.205 | 00.088 | 00.119 | 00.248 | 00.006 |-00.276 |] 1.000 || { 0.08 |-0.28 |-0.40 | 0.70 |-0.31 | 0.28 |-0.07 | 0.03 |-0.29 | }
[ 00.130 | 00.119 | 00.083 | 00.214 | 00.084 | 00.123 | 00.247 | 00.006 |-00.280 |] 1.000 || {-0.17 |-0.08 | 0.54 |-0.62 | 0.32 |-0.05 | 0.07 |-0.03 | 0.42 | }
[ 00.130 | 00.119 | 00.083 | 00.214 | 00.085 | 00.123 | 00.247 | 00.006 |-00.279 |] 1.000 || { 0.02 |-0.33 |-0.31 | 0.75 |-0.31 | 0.30 |-0.12 |-0.01 | 0.18 | }
[ 00.130 | 00.110 | 00.075 | 00.234 | 00.076 | 00.131 | 00.244 | 00.006 |-00.274 |] 1.000 || { 0.25 |-0.31 |-0.58 | 0.62 |-0.19 | 0.24 |-0.02 | 0.01 |-0.15 | }
[ 00.133 | 00.107 | 00.069 | 00.240 | 00.074 | 00.133 | 00.244 | 00.006 |-00.276 |] 1.000 || {-0.27 |-0.51 | 0.57 |-0.31 | 0.23 | 0.26 | 0.03 |-0.02 | 0.35 | }
[ 00.133 | 00.107 | 00.069 | 00.240 | 00.074 | 00.133 | 00.244 | 00.006 |-00.276 |] 1.000 || { 0.14 |-0.34 |-0.46 | 0.71 |-0.26 | 0.28 |-0.07 |-0.00 | 0.05 | }
[ 00.136 | 00.099 | 00.059 | 00.256 | 00.068 | 00.140 | 00.242 | 00.006 |-00.275 |] 1.000 || { 0.34 |-0.35 |-0.65 | 0.54 |-0.09 | 0.21 |-0.01 | 0.01 |-0.06 | }
[ 00.138 | 00.097 | 00.054 | 00.260 | 00.068 | 00.141 | 00.242 | 00.006 |-00.275 |] 1.000 || {-0.13 |-0.76 | 0.01 | 0.29 | 0.05 | 0.55 | 0.00 |-0.00 | 0.09 | }
[ 00.138 | 00.097 | 00.054 | 00.260 | 00.068 | 00.141 | 00.242 | 00.006 |-00.275 |] 1.000 || { 0.22 |-0.36 |-0.54 | 0.65 |-0.19 | 0.26 |-0.05 | 0.00 | 0.01 | }
[ 00.142 | 00.090 | 00.044 | 00.272 | 00.064 | 00.146 | 00.241 | 00.006 |-00.275 |] 1.000 || { 0.35 |-0.40 |-0.64 | 0.51 |-0.04 | 0.22 |-0.00 | 0.00 |-0.02 | }
[ 00.144 | 00.088 | 00.042 | 00.274 | 00.064 | 00.147 | 00.241 | 00.006 |-00.275 |] 1.000 || {-0.03 |-0.72 |-0.18 | 0.40 | 0.01 | 0.53 | 0.00 | 0.00 | 0.05 | }
[ 00.144 | 00.088 | 00.042 | 00.274 | 00.064 | 00.147 | 00.241 | 00.006 |-00.275 |] 1.000 || { 0.26 |-0.38 |-0.57 | 0.61 |-0.14 | 0.26 |-0.03 | 0.00 | 0.00 | }
[ 00.147 | 00.083 | 00.034 | 00.283 | 00.062 | 00.151 | 00.240 | 00.006 |-00.275 |] 1.000 || { 0.29 |-0.50 |-0.57 | 0.50 |-0.02 | 0.30 |-0.00 | 0.00 | 0.00 | }
[ 00.148 | 00.082 | 00.032 | 00.284 | 00.062 | 00.151 | 00.240 | 00.006 |-00.275 |] 1.000 || { 0.27 |-0.42 |-0.57 | 0.58 |-0.11 | 0.27 |-0.02 | 0.00 | 0.00 | }
[ 00.150 | 00.078 | 00.027 | 00.289 | 00.061 | 00.154 | 00.240 | 00.006 |-00.275 |] 1.000 || { 0.17 |-0.62 |-0.44 | 0.48 |-0.01 | 0.41 | 0.00 | 0.00 | 0.03 | }
[ 00.151 | 00.077 | 00.027 | 00.290 | 00.061 | 00.154 | 00.240 | 00.006 |-00.275 |] 1.000 || { 0.24 |-0.47 |-0.54 | 0.57 |-0.09 | 0.31 |-0.02 | 0.00 | 0.01 | }
[ 00.152 | 00.075 | 00.024 | 00.293 | 00.061 | 00.156 | 00.240 | 00.006 |-00.275 |] 1.000 || {-0.03 |-0.66 |-0.28 | 0.44 |-0.00 | 0.53 | 0.00 | 0.00 | 0.06 | }
[ 00.152 | 00.074 | 00.024 | 00.293 | 00.061 | 00.156 | 00.240 | 00.006 |-00.275 |] 1.000 || { 0.19 |-0.51 |-0.50 | 0.56 |-0.08 | 0.36 |-0.02 | 0.00 | 0.02 | }
[ 00.153 | 00.073 | 00.022 | 00.295 | 00.060 | 00.158 | 00.240 | 00.006 |-00.275 |] 1.000 || {-0.26 |-0.60 |-0.15 | 0.38 |-0.00 | 0.63 | 0.00 |-0.00 | 0.09 | }
[ 00.153 | 00.072 | 00.022 | 00.295 | 00.060 | 00.158 | 00.240 | 00.006 |-00.275 |] 1.000 || { 0.11 |-0.54 |-0.46 | 0.55 |-0.07 | 0.42 |-0.01 | 0.00 | 0.03 | }
[ 00.153 | 00.071 | 00.021 | 00.296 | 00.060 | 00.159 | 00.240 | 00.006 |-00.275 |] 1.000 || {-0.02 |-0.55 |-0.39 | 0.52 |-0.05 | 0.51 |-0.01 | 0.00 | 0.05 | }
[ 00.153 | 00.071 | 00.020 | 00.297 | 00.060 | 00.159 | 00.240 | 00.006 |-00.275 |] 1.000 || {-0.14 |-0.53 |-0.35 | 0.50 |-0.05 | 0.57 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.275 |] 1.000 || {-0.20 |-0.50 |-0.33 | 0.49 |-0.05 | 0.60 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
[ 00.153 | 00.070 | 00.020 | 00.297 | 00.060 | 00.160 | 00.240 | 00.006 |-00.274 |] 1.000 || {-0.23 |-0.49 |-0.32 | 0.48 |-0.04 | 0.61 |-0.01 | 0.00 | 0.07 | }
|--------------------------||
| OPTIMAL ASSET WEIGHTS ||
|--------------------------||
| ASSET | DROP | EXCEL ||
|--------------------------||
| TOK | 15.25% | 16.17% ||
| EWJ | 07.00% | 07.00% ||
| HYG | 02.00% | 02.00% ||
| LQD | 29.75% | 28.83% ||
| EMD | 06.00% | 06.00% ||
| GSG | 16.00% | 16.00% ||
| BWX | 24.00% | 24.00% ||
|--------------------------||
|------------------------------------------------||
| Optimal Portfolio Normalize : 1.00 ||
| Optimal Portfolio Input Return : 5.00% ||
| Optimal Portfolio Expected Return : 5.00% ||
| Optimal Portfolio Standard Deviation : 10.26% ||
| Excel Portfolio Standard Deviation : 10.36% ||
|------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Finish Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
| Run Duration => 18 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
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| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
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| CROSS ASSET COVARIANCE MATRIX ||
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| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.03279600 | 0.02499600 | 0.01911600 | 0.00585600 | 0.01406400 | 0.02774400 | 0.00852000 ||
| EWJ | 0.02499600 | 0.03321600 | 0.01562400 | 0.00548400 | 0.01326000 | 0.01976400 | 0.00675600 ||
| HYG | 0.01911600 | 0.01562400 | 0.01755600 | 0.00766800 | 0.01260000 | 0.01332000 | 0.00622800 ||
| LQD | 0.00585600 | 0.00548400 | 0.00766800 | 0.00729600 | 0.00795600 | 0.00050400 | 0.00444000 ||
| EMD | 0.01406400 | 0.01326000 | 0.01260000 | 0.00795600 | 0.01666800 | 0.00990000 | 0.00793200 ||
| GSG | 0.02774400 | 0.01976400 | 0.01332000 | 0.00050400 | 0.00990000 | 0.06253200 | 0.00898800 ||
| BWX | 0.00852000 | 0.00675600 | 0.00622800 | 0.00444000 | 0.00793200 | 0.00898800 | 0.00843600 ||
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|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 05% | 40% ||
| EWJ | 05% | 40% ||
| HYG | 05% | 30% ||
| LQD | 10% | 30% ||
| EMD | 05% | 35% ||
| GSG | 05% | 15% ||
| BWX | 15% | 50% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.129 | 00.121 | 00.121 | 00.171 | 00.121 | 00.121 | 00.221 | 00.000 | 00.000 |] 1.000 || { 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.11 |-0.99 | }
[ 00.175 | 00.157 | 00.128 | 00.145 | 00.115 | 00.100 | 00.179 | 232596.883 |-2038387.580 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 | 0.55 | 0.84 | }
[ 00.189 | 00.163 | 00.119 | 00.147 | 00.109 | 00.080 | 00.193 | 248502.656 |-2014088.635 |] 1.000 || {-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 0.10 |-0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 256207.427 |-2090654.372 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 | 0.10 |-0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 256540.209 |-2093897.401 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 128269.914 |-1046946.688 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 64135.087 |-523474.755 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 32067.547 |-261737.507 |] 1.000 || { 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 16033.772 |-130868.824 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 8016.884 |-65434.480 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 4008.441 |-32717.315 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 2004.219 |-16358.733 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 1002.109 |-8179.442 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 501.053 |-4089.796 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 250.526 |-2044.973 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 125.262 |-1022.562 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 62.630 |-511.356 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 31.314 |-255.753 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 15.656 |-127.952 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 07.827 |-64.051 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 03.912 |-32.101 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 01.955 |-16.126 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 00.976 |-08.138 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.119 | 00.146 | 00.108 | 00.087 | 00.190 | 00.487 |-04.144 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.187 | 00.162 | 00.120 | 00.147 | 00.108 | 00.087 | 00.190 | 00.243 |-02.147 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.186 | 00.162 | 00.120 | 00.147 | 00.108 | 00.086 | 00.190 | 00.120 |-01.149 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.12 | 0.99 | }
[ 00.186 | 00.162 | 00.121 | 00.148 | 00.108 | 00.086 | 00.190 | 00.059 |-00.650 |] 1.000 || {-0.00 | 0.00 | 0.01 | 0.01 |-0.00 |-0.01 |-0.00 |-0.12 | 0.99 | }
[ 00.186 | 00.162 | 00.122 | 00.151 | 00.107 | 00.084 | 00.189 | 00.029 |-00.401 |] 1.000 || {-0.01 |-0.00 | 0.02 | 0.04 |-0.01 |-0.02 |-0.02 |-0.12 | 0.99 | }
[ 00.185 | 00.162 | 00.124 | 00.155 | 00.106 | 00.081 | 00.186 | 00.014 |-00.278 |] 1.000 || {-0.02 |-0.01 | 0.06 | 0.17 |-0.05 |-0.07 |-0.07 |-0.12 | 0.97 | }
[ 00.183 | 00.161 | 00.128 | 00.166 | 00.103 | 00.077 | 00.182 | 00.006 |-00.219 |] 1.000 || { 0.00 |-0.09 | 0.12 | 0.82 |-0.33 |-0.23 |-0.29 | 0.03 |-0.23 | }
[ 00.183 | 00.160 | 00.130 | 00.177 | 00.098 | 00.074 | 00.178 | 00.007 |-00.222 |] 1.000 || {-0.07 | 0.07 | 0.15 |-0.81 | 0.34 | 0.05 | 0.27 |-0.04 | 0.35 | }
[ 00.183 | 00.160 | 00.130 | 00.176 | 00.098 | 00.074 | 00.179 | 00.007 |-00.222 |] 1.000 || { 0.00 |-0.05 | 0.07 | 0.47 |-0.19 |-0.14 |-0.17 |-0.10 | 0.83 | }
[ 00.183 | 00.159 | 00.132 | 00.191 | 00.092 | 00.070 | 00.173 | 00.004 |-00.195 |] 1.000 || { 0.16 |-0.11 |-0.14 | 0.83 |-0.37 |-0.15 |-0.23 | 0.03 |-0.19 | }
[ 00.186 | 00.157 | 00.130 | 00.204 | 00.087 | 00.067 | 00.170 | 00.004 |-00.197 |] 1.000 || {-0.17 | 0.04 | 0.34 |-0.79 | 0.34 | 0.03 | 0.20 |-0.03 | 0.28 | }
[ 00.186 | 00.157 | 00.130 | 00.203 | 00.087 | 00.067 | 00.170 | 00.004 |-00.197 |] 1.000 || { 0.13 |-0.11 |-0.07 | 0.80 |-0.34 |-0.17 |-0.23 |-0.04 | 0.37 | }
[ 00.189 | 00.154 | 00.128 | 00.225 | 00.078 | 00.063 | 00.163 | 00.003 |-00.187 |] 1.000 || { 0.35 |-0.15 |-0.41 | 0.75 |-0.30 |-0.11 |-0.13 | 0.02 |-0.10 | }
[ 00.194 | 00.152 | 00.123 | 00.235 | 00.074 | 00.061 | 00.162 | 00.003 |-00.188 |] 1.000 || {-0.29 | 0.02 | 0.57 |-0.69 | 0.26 | 0.02 | 0.12 |-0.02 | 0.20 | }
[ 00.193 | 00.152 | 00.123 | 00.235 | 00.074 | 00.061 | 00.162 | 00.003 |-00.188 |] 1.000 || { 0.27 |-0.14 |-0.29 | 0.80 |-0.32 |-0.15 |-0.18 |-0.02 | 0.15 | }
[ 00.201 | 00.148 | 00.115 | 00.257 | 00.065 | 00.057 | 00.157 | 00.002 |-00.184 |] 1.000 || { 0.47 |-0.16 |-0.61 | 0.59 |-0.16 |-0.07 |-0.05 | 0.00 |-0.00 | }
[ 00.205 | 00.147 | 00.110 | 00.262 | 00.064 | 00.056 | 00.156 | 00.002 |-00.184 |] 1.000 || { 0.37 |-0.15 |-0.45 | 0.73 |-0.25 |-0.12 |-0.13 |-0.01 | 0.10 | }
[ 00.213 | 00.143 | 00.100 | 00.279 | 00.058 | 00.054 | 00.153 | 00.002 |-00.182 |] 1.000 || { 0.46 |-0.12 |-0.68 | 0.51 |-0.09 |-0.05 |-0.02 |-0.02 | 0.17 | }
[ 00.215 | 00.143 | 00.097 | 00.281 | 00.058 | 00.054 | 00.153 | 00.002 |-00.181 |] 1.000 || { 0.39 |-0.14 |-0.52 | 0.68 |-0.22 |-0.10 |-0.10 |-0.01 | 0.15 | }
[ 00.221 | 00.141 | 00.089 | 00.291 | 00.054 | 00.052 | 00.152 | 00.002 |-00.179 |] 1.000 || {-0.18 | 0.24 | 0.02 | 0.12 |-0.10 |-0.06 |-0.03 |-0.10 | 0.93 | }
[ 00.221 | 00.141 | 00.089 | 00.291 | 00.054 | 00.052 | 00.152 | 00.002 |-00.177 |] 1.000 || { 0.33 |-0.08 |-0.46 | 0.69 |-0.24 |-0.12 |-0.11 |-0.03 | 0.34 | }
[ 00.223 | 00.140 | 00.086 | 00.296 | 00.052 | 00.051 | 00.151 | 00.002 |-00.175 |] 1.000 || {-0.01 | 0.07 |-0.02 | 0.56 |-0.31 |-0.14 |-0.13 |-0.08 | 0.74 | }
[ 00.223 | 00.141 | 00.085 | 00.298 | 00.051 | 00.051 | 00.151 | 00.001 |-00.172 |] 1.000 || {-0.16 | 0.07 | 0.29 | 0.46 |-0.35 |-0.15 |-0.15 |-0.07 | 0.71 | }
[ 00.223 | 00.141 | 00.086 | 00.299 | 00.051 | 00.050 | 00.150 | 00.001 |-00.171 |] 1.000 || {-0.14 | 0.04 | 0.28 | 0.49 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.13 | 0.04 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.14 | 0.05 | 0.27 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
[ 00.223 | 00.141 | 00.086 | 00.300 | 00.050 | 00.050 | 00.150 | 00.001 |-00.170 |] 1.000 || {-0.12 | 0.05 | 0.24 | 0.50 |-0.37 |-0.16 |-0.15 |-0.07 | 0.69 | }
|--------------------------||
| OPTIMAL ASSET WEIGHTS ||
|--------------------------||
| ASSET | DROP | EXCEL ||
|--------------------------||
| TOK | 22.29% | 23.64% ||
| EWJ | 14.07% | 14.21% ||
| HYG | 08.64% | 07.15% ||
| LQD | 30.00% | 30.00% ||
| EMD | 05.00% | 05.00% ||
| GSG | 05.00% | 05.00% ||
| BWX | 15.00% | 15.00% ||
|--------------------------||
|------------------------------------------------||
| Optimal Portfolio Normalize : 1.00 ||
| Optimal Portfolio Input Return : 7.00% ||
| Optimal Portfolio Expected Return : 7.00% ||
| Optimal Portfolio Standard Deviation : 10.67% ||
| Excel Portfolio Standard Deviation : 10.74% ||
|------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Finish Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
| Run Duration => 14 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.03279600 | 0.02499600 | 0.01911600 | 0.00585600 | 0.01406400 | 0.02774400 | 0.00852000 ||
| EWJ | 0.02499600 | 0.03321600 | 0.01562400 | 0.00548400 | 0.01326000 | 0.01976400 | 0.00675600 ||
| HYG | 0.01911600 | 0.01562400 | 0.01755600 | 0.00766800 | 0.01260000 | 0.01332000 | 0.00622800 ||
| LQD | 0.00585600 | 0.00548400 | 0.00766800 | 0.00729600 | 0.00795600 | 0.00050400 | 0.00444000 ||
| EMD | 0.01406400 | 0.01326000 | 0.01260000 | 0.00795600 | 0.01666800 | 0.00990000 | 0.00793200 ||
| GSG | 0.02774400 | 0.01976400 | 0.01332000 | 0.00050400 | 0.00990000 | 0.06253200 | 0.00898800 ||
| BWX | 0.00852000 | 0.00675600 | 0.00622800 | 0.00444000 | 0.00793200 | 0.00898800 | 0.00843600 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 05% | 40% ||
| EWJ | 05% | 40% ||
| HYG | 05% | 30% ||
| LQD | 10% | 30% ||
| EMD | 05% | 35% ||
| GSG | 05% | 15% ||
| BWX | 15% | 50% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.129 | 00.121 | 00.121 | 00.171 | 00.121 | 00.121 | 00.221 | 00.000 | 00.000 |] 1.000 || { 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.09 |-1.00 | }
[ 00.254 | 00.206 | 00.141 | 00.114 | 00.095 | 00.100 | 00.150 | 491165.021 |-5640356.055 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 | 0.12 |-0.99 | }
[ 00.400 | 00.175 | 00.050 | 00.123 | 00.050 | 00.050 | 00.175 | 961128.896 |-9410608.888 |] 1.000 || {-0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.10 |-1.00 | }
[ 00.319 | 00.201 | 00.094 | 00.100 | 00.073 | 00.075 | 00.150 | 1872323.794 |-18548830.174 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 | 0.10 |-0.99 | }
[ 00.357 | 00.189 | 00.067 | 00.110 | 00.059 | 00.062 | 00.157 | 2164936.702 |-21406005.661 |] 1.000 || {-0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.10 |-0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.155 | 2225070.129 |-21992346.069 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.155 | 1112416.243 |-10995090.881 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.156 | 556225.873 |-5497722.387 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.156 | 278118.059 |-2748912.207 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.156 | 139058.571 |-1374451.671 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.156 | 69529.220 |-687225.281 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.156 | 34764.650 |-343613.132 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.156 | 17382.334 |-171806.757 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.156 | 8691.165 |-85903.463 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.156 | 4345.583 |-42951.837 |] 1.000 || { 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.156 | 2172.791 |-21476.014 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.156 | 1086.395 |-10738.104 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.156 | 543.197 |-5369.149 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.156 | 271.598 |-2684.671 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.156 | 135.799 |-1342.433 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.063 | 00.156 | 67.899 |-671.313 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.062 | 00.156 | 33.949 |-335.754 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.062 | 00.156 | 16.974 |-167.974 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.108 | 00.061 | 00.062 | 00.156 | 08.487 |-84.084 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.109 | 00.061 | 00.062 | 00.156 | 04.243 |-42.139 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.109 | 00.061 | 00.062 | 00.156 | 02.121 |-21.167 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.187 | 00.070 | 00.109 | 00.061 | 00.062 | 00.155 | 01.060 |-10.681 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.188 | 00.070 | 00.109 | 00.061 | 00.062 | 00.155 | 00.530 |-05.438 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.10 | 0.99 | }
[ 00.356 | 00.188 | 00.070 | 00.109 | 00.061 | 00.062 | 00.155 | 00.265 |-02.817 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.10 | 0.99 | }
[ 00.355 | 00.188 | 00.070 | 00.109 | 00.061 | 00.061 | 00.155 | 00.132 |-01.508 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.10 | 0.99 | }
[ 00.355 | 00.189 | 00.071 | 00.109 | 00.061 | 00.061 | 00.155 | 00.066 |-00.856 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.10 | 0.99 | }
[ 00.354 | 00.189 | 00.072 | 00.110 | 00.060 | 00.059 | 00.155 | 00.034 |-00.534 |] 1.000 || {-0.00 |-0.00 | 0.02 | 0.01 |-0.00 |-0.01 |-0.00 |-0.10 | 0.99 | }
[ 00.353 | 00.189 | 00.075 | 00.111 | 00.060 | 00.057 | 00.154 | 00.018 |-00.380 |] 1.000 || { 0.01 |-0.04 | 0.06 | 0.04 |-0.02 |-0.04 |-0.02 |-0.10 | 0.99 | }
[ 00.354 | 00.186 | 00.079 | 00.115 | 00.058 | 00.054 | 00.153 | 00.011 |-00.311 |] 1.000 || { 0.16 |-0.22 | 0.08 | 0.22 |-0.11 |-0.08 |-0.05 |-0.09 | 0.92 | }
[ 00.359 | 00.180 | 00.081 | 00.120 | 00.055 | 00.052 | 00.152 | 00.009 |-00.286 |] 1.000 || { 0.48 |-0.29 |-0.45 | 0.45 |-0.12 |-0.03 |-0.04 | 0.06 |-0.51 | }
[ 00.363 | 00.178 | 00.077 | 00.124 | 00.054 | 00.052 | 00.152 | 00.010 |-00.291 |] 1.000 || { 0.34 |-0.27 |-0.20 | 0.35 |-0.11 |-0.06 |-0.05 |-0.08 | 0.79 | }
[ 00.368 | 00.174 | 00.074 | 00.129 | 00.053 | 00.051 | 00.151 | 00.008 |-00.279 |] 1.000 || { 0.54 |-0.27 |-0.60 | 0.49 |-0.09 |-0.04 |-0.03 |-0.01 | 0.17 | }
[ 00.376 | 00.170 | 00.065 | 00.137 | 00.051 | 00.051 | 00.150 | 00.008 |-00.276 |] 1.000 || { 0.59 |-0.33 |-0.62 | 0.38 |-0.01 |-0.00 |-0.00 | 0.01 |-0.06 | }
[ 00.378 | 00.168 | 00.063 | 00.138 | 00.051 | 00.051 | 00.150 | 00.008 |-00.276 |] 1.000 || { 0.56 |-0.31 |-0.58 | 0.46 |-0.07 |-0.03 |-0.03 |-0.02 | 0.21 | }
[ 00.383 | 00.166 | 00.058 | 00.143 | 00.051 | 00.050 | 00.150 | 00.008 |-00.275 |] 1.000 || { 0.65 |-0.48 |-0.49 | 0.34 |-0.01 |-0.00 |-0.00 | 0.01 | 0.00 | }
[ 00.384 | 00.165 | 00.057 | 00.143 | 00.051 | 00.050 | 00.150 | 00.008 |-00.275 |] 1.000 || { 0.59 |-0.37 |-0.55 | 0.43 |-0.05 |-0.02 |-0.02 |-0.01 | 0.16 | }
[ 00.387 | 00.163 | 00.054 | 00.145 | 00.050 | 00.050 | 00.150 | 00.008 |-00.274 |] 1.000 || { 0.67 |-0.67 |-0.21 | 0.22 |-0.00 |-0.00 |-0.00 |-0.00 | 0.11 | }
[ 00.388 | 00.162 | 00.054 | 00.146 | 00.050 | 00.050 | 00.150 | 00.008 |-00.274 |] 1.000 || { 0.62 |-0.45 |-0.48 | 0.39 |-0.04 |-0.02 |-0.02 |-0.01 | 0.16 | }
[ 00.390 | 00.161 | 00.052 | 00.147 | 00.050 | 00.050 | 00.150 | 00.008 |-00.273 |] 1.000 || { 0.65 |-0.57 |-0.35 | 0.32 |-0.03 |-0.01 |-0.01 |-0.01 | 0.16 | }
[ 00.392 | 00.159 | 00.051 | 00.148 | 00.050 | 00.050 | 00.150 | 00.008 |-00.273 |] 1.000 || { 0.66 |-0.63 |-0.26 | 0.28 |-0.03 |-0.01 |-0.01 |-0.01 | 0.17 | }
[ 00.393 | 00.158 | 00.050 | 00.148 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.66 |-0.65 |-0.22 | 0.25 |-0.02 |-0.01 |-0.01 |-0.01 | 0.17 | }
[ 00.394 | 00.158 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.66 |-0.67 |-0.20 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.66 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.65 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
[ 00.394 | 00.157 | 00.050 | 00.149 | 00.050 | 00.050 | 00.150 | 00.008 |-00.272 |] 1.000 || { 0.66 |-0.67 |-0.19 | 0.24 |-0.02 |-0.01 |-0.01 |-0.01 | 0.18 | }
|--------------------------||
| OPTIMAL ASSET WEIGHTS ||
|--------------------------||
| ASSET | DROP | EXCEL ||
|--------------------------||
| TOK | 39.43% | 39.76% ||
| EWJ | 15.68% | 16.25% ||
| HYG | 05.00% | 05.00% ||
| LQD | 14.89% | 13.99% ||
| EMD | 05.00% | 05.00% ||
| GSG | 05.00% | 05.00% ||
| BWX | 15.00% | 15.00% ||
|--------------------------||
|------------------------------------------------||
| Optimal Portfolio Normalize : 1.00 ||
| Optimal Portfolio Input Return : 8.00% ||
| Optimal Portfolio Expected Return : 8.00% ||
| Optimal Portfolio Standard Deviation : 12.65% ||
| Excel Portfolio Standard Deviation : 12.75% ||
|------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Finish Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
| Run Duration => 18 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
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|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.03279600 | 0.02499600 | 0.01911600 | 0.00585600 | 0.01406400 | 0.02774400 | 0.00852000 ||
| EWJ | 0.02499600 | 0.03321600 | 0.01562400 | 0.00548400 | 0.01326000 | 0.01976400 | 0.00675600 ||
| HYG | 0.01911600 | 0.01562400 | 0.01755600 | 0.00766800 | 0.01260000 | 0.01332000 | 0.00622800 ||
| LQD | 0.00585600 | 0.00548400 | 0.00766800 | 0.00729600 | 0.00795600 | 0.00050400 | 0.00444000 ||
| EMD | 0.01406400 | 0.01326000 | 0.01260000 | 0.00795600 | 0.01666800 | 0.00990000 | 0.00793200 ||
| GSG | 0.02774400 | 0.01976400 | 0.01332000 | 0.00050400 | 0.00990000 | 0.06253200 | 0.00898800 ||
| BWX | 0.00852000 | 0.00675600 | 0.00622800 | 0.00444000 | 0.00793200 | 0.00898800 | 0.00843600 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 05% | 50% ||
| EWJ | 05% | 40% ||
| HYG | 05% | 30% ||
| LQD | 05% | 30% ||
| EMD | 00% | 35% ||
| GSG | 00% | 15% ||
| BWX | 00% | 50% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.164 | 00.164 | 00.164 | 00.164 | 00.114 | 00.114 | 00.114 | 00.000 | 00.000 |] 1.000 || { 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.10 |-1.00 | }
[ 00.255 | 00.217 | 00.157 | 00.123 | 00.106 | 00.087 | 00.055 | 140020.298 |-1450395.398 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.04 | 1.00 | }
[ 00.292 | 00.207 | 00.149 | 00.128 | 00.101 | 00.048 | 00.076 | 131185.610 |-1201814.272 |] 1.000 || {-0.00 | 0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 0.09 |-1.00 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 140024.862 |-1302428.067 |] 1.000 || {-0.00 | 0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 | 0.09 |-1.00 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 140415.338 |-1306780.944 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 70207.650 |-653390.296 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 35103.856 |-326695.554 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 17551.931 |-163347.913 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 8775.965 |-81674.048 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 4387.982 |-40837.117 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 2193.990 |-20418.650 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 1096.994 |-10209.418 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 548.497 |-5104.802 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 274.248 |-2552.493 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 137.123 |-1276.339 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 68.561 |-638.262 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 34.280 |-319.224 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 17.139 |-159.705 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 08.569 |-79.945 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 04.284 |-40.065 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 02.141 |-20.125 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.062 | 00.073 | 01.070 |-10.155 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.148 | 00.126 | 00.098 | 00.061 | 00.072 | 00.534 |-05.170 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.149 | 00.126 | 00.098 | 00.061 | 00.072 | 00.267 |-02.678 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.149 | 00.127 | 00.098 | 00.061 | 00.072 | 00.133 |-01.432 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.00 |-0.11 | 0.99 | }
[ 00.283 | 00.210 | 00.150 | 00.129 | 00.098 | 00.060 | 00.071 | 00.066 |-00.809 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.01 |-0.00 |-0.01 |-0.01 |-0.11 | 0.99 | }
[ 00.283 | 00.209 | 00.151 | 00.132 | 00.098 | 00.058 | 00.069 | 00.032 |-00.497 |] 1.000 || {-0.00 |-0.01 | 0.01 | 0.04 |-0.00 |-0.02 |-0.02 |-0.11 | 0.99 | }
[ 00.282 | 00.208 | 00.153 | 00.138 | 00.097 | 00.055 | 00.066 | 00.016 |-00.342 |] 1.000 || {-0.04 |-0.14 | 0.21 | 0.81 |-0.15 |-0.32 |-0.37 | 0.02 |-0.08 | }
[ 00.282 | 00.207 | 00.155 | 00.145 | 00.096 | 00.052 | 00.063 | 00.016 |-00.343 |] 1.000 || { 0.01 | 0.07 | 0.05 |-0.79 | 0.25 | 0.07 | 0.33 |-0.06 | 0.43 | }
[ 00.282 | 00.207 | 00.155 | 00.145 | 00.096 | 00.052 | 00.063 | 00.016 |-00.343 |] 1.000 || {-0.01 |-0.02 | 0.03 | 0.13 |-0.03 |-0.05 |-0.06 |-0.10 | 0.98 | }
[ 00.281 | 00.205 | 00.157 | 00.156 | 00.094 | 00.048 | 00.058 | 00.008 |-00.266 |] 1.000 || { 0.01 |-0.14 | 0.12 | 0.85 |-0.26 |-0.23 |-0.34 | 0.02 |-0.07 | }
[ 00.281 | 00.203 | 00.159 | 00.166 | 00.091 | 00.045 | 00.054 | 00.008 |-00.267 |] 1.000 || {-0.03 | 0.07 | 0.12 |-0.83 | 0.33 | 0.04 | 0.30 |-0.04 | 0.30 | }
[ 00.281 | 00.203 | 00.159 | 00.166 | 00.091 | 00.045 | 00.054 | 00.008 |-00.267 |] 1.000 || { 0.00 |-0.08 | 0.07 | 0.45 |-0.13 |-0.13 |-0.18 |-0.09 | 0.85 | }
[ 00.281 | 00.200 | 00.162 | 00.185 | 00.085 | 00.039 | 00.046 | 00.004 |-00.229 |] 1.000 || { 0.08 |-0.15 | 0.04 | 0.85 |-0.36 |-0.17 |-0.29 | 0.01 |-0.03 | }
[ 00.283 | 00.197 | 00.163 | 00.201 | 00.079 | 00.036 | 00.041 | 00.004 |-00.230 |] 1.000 || {-0.11 | 0.06 | 0.21 |-0.81 | 0.40 | 0.01 | 0.24 |-0.03 | 0.26 | }
[ 00.283 | 00.197 | 00.163 | 00.200 | 00.079 | 00.036 | 00.041 | 00.004 |-00.230 |] 1.000 || { 0.06 |-0.14 | 0.07 | 0.74 |-0.29 |-0.18 |-0.26 |-0.05 | 0.48 | }
[ 00.285 | 00.192 | 00.166 | 00.229 | 00.068 | 00.029 | 00.031 | 00.002 |-00.211 |] 1.000 || { 0.14 |-0.19 | 0.06 | 0.82 |-0.43 |-0.18 |-0.22 |-0.00 | 0.08 | }
[ 00.287 | 00.189 | 00.167 | 00.241 | 00.061 | 00.027 | 00.028 | 00.002 |-00.210 |] 1.000 || {-0.26 | 0.07 | 0.43 |-0.70 | 0.35 |-0.01 | 0.12 |-0.04 | 0.34 | }
[ 00.287 | 00.189 | 00.167 | 00.240 | 00.062 | 00.027 | 00.028 | 00.002 |-00.210 |] 1.000 || { 0.09 |-0.17 | 0.11 | 0.78 |-0.37 |-0.19 |-0.25 |-0.03 | 0.34 | }
[ 00.290 | 00.184 | 00.171 | 00.267 | 00.049 | 00.021 | 00.020 | 00.001 |-00.198 |] 1.000 || {-0.09 |-0.21 | 0.64 | 0.45 |-0.41 |-0.21 |-0.17 |-0.03 | 0.33 | }
[ 00.289 | 00.182 | 00.175 | 00.270 | 00.046 | 00.019 | 00.018 | 00.001 |-00.195 |] 1.000 || {-0.42 | 0.08 | 0.72 |-0.33 | 0.03 |-0.08 |-0.02 |-0.04 | 0.43 | }
[ 00.289 | 00.182 | 00.176 | 00.270 | 00.046 | 00.019 | 00.018 | 00.001 |-00.195 |] 1.000 || {-0.02 |-0.19 | 0.39 | 0.65 |-0.40 |-0.21 |-0.23 |-0.03 | 0.37 | }
[ 00.288 | 00.178 | 00.185 | 00.286 | 00.036 | 00.014 | 00.013 | 00.000 |-00.186 |] 1.000 || {-0.35 |-0.07 | 0.87 |-0.02 |-0.24 |-0.11 |-0.09 |-0.02 | 0.20 | }
[ 00.285 | 00.177 | 00.193 | 00.286 | 00.034 | 00.013 | 00.012 | 00.000 |-00.184 |] 1.000 || {-0.40 | 0.17 | 0.61 | 0.18 |-0.24 |-0.19 |-0.12 |-0.05 | 0.55 | }
[ 00.285 | 00.177 | 00.193 | 00.286 | 00.034 | 00.013 | 00.012 | 00.000 |-00.184 |] 1.000 || {-0.21 |-0.14 | 0.71 | 0.36 |-0.37 |-0.18 |-0.18 |-0.03 | 0.31 | }
[ 00.281 | 00.174 | 00.209 | 00.294 | 00.026 | 00.009 | 00.008 |-00.000 |-00.178 |] 1.000 || {-0.38 |-0.02 | 0.87 |-0.04 |-0.26 |-0.09 |-0.08 |-0.01 | 0.12 | }
[ 00.278 | 00.174 | 00.215 | 00.293 | 00.024 | 00.008 | 00.007 |-00.000 |-00.177 |] 1.000 || {-0.42 | 0.10 | 0.77 | 0.05 |-0.28 |-0.14 |-0.09 |-0.03 | 0.33 | }
[ 00.278 | 00.174 | 00.215 | 00.293 | 00.024 | 00.008 | 00.007 |-00.000 |-00.177 |] 1.000 || {-0.30 |-0.08 | 0.81 | 0.18 |-0.33 |-0.14 |-0.14 |-0.02 | 0.23 | }
[ 00.272 | 00.172 | 00.231 | 00.297 | 00.018 | 00.006 | 00.005 |-00.001 |-00.172 |] 1.000 || {-0.39 | 0.00 | 0.86 |-0.02 |-0.30 |-0.08 |-0.07 |-0.01 | 0.11 | }
[ 00.270 | 00.172 | 00.235 | 00.297 | 00.016 | 00.005 | 00.004 |-00.001 |-00.172 |] 1.000 || {-0.38 | 0.02 | 0.84 | 0.01 |-0.34 |-0.09 |-0.06 |-0.01 | 0.14 | }
[ 00.270 | 00.172 | 00.235 | 00.297 | 00.016 | 00.005 | 00.004 |-00.001 |-00.172 |] 1.000 || {-0.34 |-0.05 | 0.84 | 0.11 |-0.33 |-0.12 |-0.11 |-0.02 | 0.19 | }
[ 00.265 | 00.172 | 00.248 | 00.298 | 00.011 | 00.003 | 00.003 |-00.001 |-00.169 |] 1.000 || {-0.38 | 0.01 | 0.85 |-0.01 |-0.33 |-0.08 |-0.06 |-0.01 | 0.09 | }
[ 00.264 | 00.172 | 00.251 | 00.298 | 00.010 | 00.003 | 00.002 |-00.001 |-00.168 |] 1.000 || {-0.34 |-0.03 | 0.86 |-0.00 |-0.38 |-0.07 |-0.04 |-0.00 | 0.04 | }
[ 00.264 | 00.172 | 00.251 | 00.298 | 00.010 | 00.003 | 00.002 |-00.001 |-00.168 |] 1.000 || {-0.35 |-0.03 | 0.85 | 0.07 |-0.33 |-0.11 |-0.09 |-0.01 | 0.16 | }
[ 00.260 | 00.171 | 00.260 | 00.299 | 00.007 | 00.002 | 00.001 |-00.001 |-00.167 |] 1.000 || {-0.36 |-0.00 | 0.85 |-0.01 |-0.36 |-0.07 |-0.05 |-0.00 | 0.06 | }
[ 00.259 | 00.171 | 00.262 | 00.299 | 00.006 | 00.002 | 00.001 |-00.001 |-00.167 |] 1.000 || {-0.24 |-0.15 | 0.87 |-0.00 |-0.38 |-0.06 |-0.03 | 0.02 |-0.15 | }
[ 00.259 | 00.171 | 00.262 | 00.299 | 00.006 | 00.002 | 00.001 |-00.001 |-00.167 |] 1.000 || {-0.35 |-0.03 | 0.85 | 0.05 |-0.34 |-0.10 |-0.08 |-0.01 | 0.13 | }
[ 00.256 | 00.171 | 00.268 | 00.300 | 00.004 | 00.001 | 00.001 |-00.001 |-00.166 |] 1.000 || {-0.33 |-0.05 | 0.86 |-0.00 |-0.37 |-0.07 |-0.04 | 0.00 |-0.00 | }
[ 00.256 | 00.171 | 00.268 | 00.300 | 00.003 | 00.001 | 00.001 |-00.001 |-00.166 |] 1.000 || { 0.23 |-0.51 | 0.43 |-0.01 |-0.07 |-0.06 |-0.02 | 0.08 |-0.70 | }
[ 00.256 | 00.171 | 00.268 | 00.300 | 00.003 | 00.001 | 00.001 |-00.001 |-00.166 |] 1.000 || {-0.35 |-0.03 | 0.85 | 0.04 |-0.34 |-0.10 |-0.08 |-0.01 | 0.11 | }
[ 00.255 | 00.171 | 00.272 | 00.300 | 00.002 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.26 |-0.13 | 0.87 |-0.00 |-0.37 |-0.07 |-0.04 | 0.02 |-0.12 | }
[ 00.255 | 00.171 | 00.272 | 00.300 | 00.002 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.34 |-0.04 | 0.86 | 0.04 |-0.35 |-0.09 |-0.07 |-0.01 | 0.08 | }
[ 00.254 | 00.171 | 00.274 | 00.300 | 00.001 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.14 |-0.25 | 0.84 | 0.00 |-0.33 |-0.08 |-0.03 | 0.04 |-0.31 | }
[ 00.254 | 00.171 | 00.274 | 00.300 | 00.001 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.33 |-0.05 | 0.86 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.07 | }
[ 00.253 | 00.171 | 00.275 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || { 0.00 |-0.38 | 0.74 | 0.00 |-0.25 |-0.08 |-0.03 | 0.06 |-0.49 | }
[ 00.253 | 00.171 | 00.275 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.33 |-0.06 | 0.86 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.06 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || { 0.12 |-0.45 | 0.61 | 0.00 |-0.17 |-0.08 |-0.02 | 0.07 |-0.60 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.33 |-0.06 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.05 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || { 0.18 |-0.49 | 0.52 | 0.00 |-0.12 |-0.08 |-0.02 | 0.07 |-0.66 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.33 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.05 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || { 0.21 |-0.50 | 0.47 | 0.00 |-0.09 |-0.08 |-0.02 | 0.07 |-0.68 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.05 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || { 0.23 |-0.51 | 0.44 | 0.00 |-0.08 |-0.08 |-0.02 | 0.08 |-0.69 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || { 0.24 |-0.51 | 0.43 | 0.00 |-0.07 |-0.08 |-0.01 | 0.08 |-0.70 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || { 0.24 |-0.51 | 0.42 | 0.00 |-0.07 |-0.08 |-0.01 | 0.08 |-0.70 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || { 0.25 |-0.51 | 0.42 | 0.00 |-0.07 |-0.08 |-0.01 | 0.08 |-0.70 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || { 0.25 |-0.51 | 0.41 | 0.00 |-0.07 |-0.08 |-0.01 | 0.08 |-0.70 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.10 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.33 |-0.07 | 0.87 | 0.04 |-0.35 |-0.09 |-0.07 |-0.00 | 0.04 | }
[ 00.253 | 00.171 | 00.276 | 00.300 | 00.000 | 00.000 | 00.000 |-00.001 |-00.165 |] 1.000 || {-0.32 |-0.07 | 0.87 | 0.04 |-0.35 |-0.10 |-0.07 |-0.00 | 0.04 | }
|--------------------------||
| OPTIMAL ASSET WEIGHTS ||
|--------------------------||
| ASSET | DROP | EXCEL ||
|--------------------------||
| TOK | 25.30% | 26.02% ||
| EWJ | 17.05% | 17.18% ||
| HYG | 27.65% | 26.80% ||
| LQD | 30.00% | 30.00% ||
| EMD | 00.00% | 00.00% ||
| GSG | 00.00% | 00.00% ||
| BWX | 00.00% | 00.00% ||
|--------------------------||
|------------------------------------------------||
| Optimal Portfolio Normalize : 1.00 ||
| Optimal Portfolio Input Return : 8.20% ||
| Optimal Portfolio Expected Return : 8.20% ||
| Optimal Portfolio Standard Deviation : 11.87% ||
| Excel Portfolio Standard Deviation : 11.90% ||
|------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Finish Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
| Run Duration => 26 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.03279600 | 0.02499600 | 0.01911600 | 0.00585600 | 0.01406400 | 0.02774400 | 0.00852000 ||
| EWJ | 0.02499600 | 0.03321600 | 0.01562400 | 0.00548400 | 0.01326000 | 0.01976400 | 0.00675600 ||
| HYG | 0.01911600 | 0.01562400 | 0.01755600 | 0.00766800 | 0.01260000 | 0.01332000 | 0.00622800 ||
| LQD | 0.00585600 | 0.00548400 | 0.00766800 | 0.00729600 | 0.00795600 | 0.00050400 | 0.00444000 ||
| EMD | 0.01406400 | 0.01326000 | 0.01260000 | 0.00795600 | 0.01666800 | 0.00990000 | 0.00793200 ||
| GSG | 0.02774400 | 0.01976400 | 0.01332000 | 0.00050400 | 0.00990000 | 0.06253200 | 0.00898800 ||
| BWX | 0.00852000 | 0.00675600 | 0.00622800 | 0.00444000 | 0.00793200 | 0.00898800 | 0.00843600 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 05% | 43% ||
| EWJ | 04% | 27% ||
| HYG | 06% | 44% ||
| LQD | 03% | 32% ||
| EMD | 03% | 66% ||
| GSG | 03% | 32% ||
| BWX | 13% | 88% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.140 | 00.130 | 00.150 | 00.120 | 00.120 | 00.120 | 00.220 | 00.000 | 00.000 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.12 |-0.99 | }
[ 00.204 | 00.114 | 00.128 | 00.081 | 00.150 | 00.142 | 00.181 | 157436.229 |-1284824.598 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 |-0.00 |-0.00 | 0.00 | 0.10 | 0.99 | }
[ 00.224 | 00.108 | 00.126 | 00.088 | 00.137 | 00.128 | 00.189 | 167271.578 |-1188655.045 |] 1.000 || {-0.00 | 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.07 |-1.00 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 169296.023 |-1219012.679 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 84669.503 |-609818.935 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 42334.760 |-304909.632 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 21167.378 |-152454.876 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 10583.686 |-76227.493 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 5291.840 |-38113.803 |] 1.000 || {-0.00 |-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 2645.917 |-19056.957 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 1322.955 |-9528.535 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 661.475 |-4764.323 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 330.734 |-2382.217 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 165.364 |-1191.165 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 82.679 |-595.638 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 41.336 |-297.875 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 20.665 |-148.993 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 10.330 |-74.553 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.109 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 05.162 |-37.332 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.108 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 02.578 |-18.722 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.108 | 00.126 | 00.087 | 00.140 | 00.130 | 00.188 | 01.286 |-09.417 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.108 | 00.125 | 00.087 | 00.141 | 00.129 | 00.188 | 00.640 |-04.764 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.108 | 00.125 | 00.087 | 00.141 | 00.129 | 00.188 | 00.317 |-02.438 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.221 | 00.108 | 00.125 | 00.088 | 00.142 | 00.128 | 00.188 | 00.155 |-01.275 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.14 | 0.99 | }
[ 00.222 | 00.107 | 00.124 | 00.089 | 00.145 | 00.126 | 00.188 | 00.075 |-00.693 |] 1.000 || { 0.00 |-0.01 |-0.01 | 0.01 | 0.02 |-0.01 |-0.00 |-0.14 | 0.99 | }
[ 00.223 | 00.105 | 00.122 | 00.090 | 00.150 | 00.122 | 00.188 | 00.034 |-00.402 |] 1.000 || { 0.01 |-0.02 |-0.02 | 0.02 | 0.06 |-0.04 |-0.01 |-0.14 | 0.99 | }
[ 00.224 | 00.101 | 00.119 | 00.094 | 00.159 | 00.116 | 00.187 | 00.014 |-00.256 |] 1.000 || { 0.03 |-0.28 |-0.27 | 0.27 | 0.77 |-0.42 |-0.09 | 0.01 | 0.05 | }
[ 00.225 | 00.098 | 00.116 | 00.097 | 00.168 | 00.111 | 00.186 | 00.015 |-00.255 |] 1.000 || { 0.36 | 0.17 | 0.23 |-0.07 |-0.86 | 0.02 | 0.16 |-0.05 | 0.09 | }
[ 00.225 | 00.098 | 00.116 | 00.097 | 00.168 | 00.111 | 00.186 | 00.015 |-00.255 |] 1.000 || { 0.01 |-0.06 |-0.06 | 0.06 | 0.17 |-0.09 |-0.02 |-0.13 | 0.97 | }
[ 00.225 | 00.093 | 00.111 | 00.101 | 00.181 | 00.104 | 00.184 | 00.005 |-00.182 |] 1.000 || {-0.05 |-0.28 |-0.29 | 0.33 | 0.77 |-0.32 |-0.16 | 0.01 | 0.03 | }
[ 00.225 | 00.090 | 00.107 | 00.106 | 00.191 | 00.099 | 00.182 | 00.005 |-00.181 |] 1.000 || { 0.40 | 0.15 | 0.22 |-0.13 |-0.84 |-0.02 | 0.22 |-0.03 | 0.05 | }
[ 00.225 | 00.090 | 00.107 | 00.106 | 00.191 | 00.099 | 00.182 | 00.005 |-00.181 |] 1.000 || {-0.01 |-0.16 |-0.16 | 0.19 | 0.43 |-0.20 |-0.08 |-0.10 | 0.82 | }
[ 00.224 | 00.082 | 00.100 | 00.114 | 00.211 | 00.090 | 00.178 |-00.000 |-00.144 |] 1.000 || {-0.03 |-0.29 |-0.31 | 0.54 | 0.62 |-0.26 |-0.27 | 0.01 | 0.01 | }
[ 00.224 | 00.078 | 00.096 | 00.122 | 00.220 | 00.086 | 00.174 | 00.000 |-00.144 |] 1.000 || { 0.31 | 0.15 | 0.29 |-0.62 |-0.43 |-0.13 | 0.44 |-0.03 | 0.14 | }
[ 00.224 | 00.078 | 00.096 | 00.122 | 00.219 | 00.086 | 00.175 | 00.000 |-00.144 |] 1.000 || {-0.01 |-0.25 |-0.26 | 0.43 | 0.55 |-0.26 |-0.20 |-0.06 | 0.52 | }
[ 00.224 | 00.069 | 00.086 | 00.137 | 00.239 | 00.077 | 00.167 |-00.002 |-00.125 |] 1.000 || { 0.19 |-0.24 |-0.24 | 0.83 | 0.03 |-0.21 |-0.34 | 0.01 |-0.05 | }
[ 00.226 | 00.066 | 00.083 | 00.149 | 00.240 | 00.074 | 00.163 |-00.002 |-00.126 |] 1.000 || {-0.18 | 0.05 | 0.12 |-0.74 | 0.54 |-0.09 | 0.30 |-0.02 | 0.15 | }
[ 00.226 | 00.066 | 00.083 | 00.148 | 00.240 | 00.074 | 00.163 |-00.002 |-00.125 |] 1.000 || { 0.13 |-0.27 |-0.27 | 0.72 | 0.28 |-0.27 |-0.30 |-0.03 | 0.28 | }
[ 00.230 | 00.058 | 00.075 | 00.170 | 00.249 | 00.066 | 00.154 |-00.003 |-00.117 |] 1.000 || { 0.36 |-0.15 |-0.12 | 0.75 |-0.41 |-0.18 |-0.25 | 0.01 |-0.05 | }
[ 00.235 | 00.056 | 00.073 | 00.180 | 00.243 | 00.063 | 00.150 |-00.003 |-00.118 |] 1.000 || {-0.20 | 0.04 | 0.08 |-0.67 | 0.64 |-0.13 | 0.25 |-0.01 | 0.12 | }
[ 00.234 | 00.056 | 00.073 | 00.179 | 00.243 | 00.063 | 00.151 |-00.003 |-00.118 |] 1.000 || { 0.28 |-0.23 |-0.21 | 0.80 |-0.09 |-0.26 |-0.29 |-0.01 | 0.13 | }
[ 00.242 | 00.049 | 00.067 | 00.201 | 00.241 | 00.056 | 00.143 |-00.003 |-00.114 |] 1.000 || { 0.46 |-0.09 |-0.05 | 0.62 |-0.56 |-0.23 |-0.14 | 0.01 |-0.05 | }
[ 00.246 | 00.049 | 00.067 | 00.206 | 00.237 | 00.054 | 00.141 |-00.003 |-00.114 |] 1.000 || { 0.38 |-0.18 |-0.15 | 0.76 |-0.30 |-0.27 |-0.24 |-0.00 | 0.06 | }
[ 00.254 | 00.045 | 00.064 | 00.223 | 00.230 | 00.048 | 00.136 |-00.003 |-00.113 |] 1.000 || { 0.52 |-0.05 |-0.02 | 0.52 |-0.59 |-0.31 |-0.07 | 0.01 |-0.04 | }
[ 00.256 | 00.045 | 00.064 | 00.225 | 00.228 | 00.047 | 00.136 |-00.003 |-00.113 |] 1.000 || { 0.44 |-0.14 |-0.11 | 0.70 |-0.40 |-0.30 |-0.19 |-0.00 | 0.03 | }
[ 00.263 | 00.042 | 00.062 | 00.236 | 00.222 | 00.042 | 00.133 |-00.003 |-00.113 |] 1.000 || { 0.57 |-0.02 |-0.01 | 0.45 |-0.55 |-0.41 |-0.03 | 0.00 |-0.03 | }
[ 00.264 | 00.042 | 00.062 | 00.237 | 00.220 | 00.042 | 00.133 |-00.003 |-00.113 |] 1.000 || { 0.48 |-0.11 |-0.09 | 0.65 |-0.44 |-0.34 |-0.15 |-0.00 | 0.02 | }
[ 00.269 | 00.041 | 00.061 | 00.243 | 00.216 | 00.038 | 00.132 |-00.003 |-00.113 |] 1.000 || { 0.60 |-0.01 |-0.00 | 0.40 |-0.45 |-0.53 |-0.01 | 0.00 |-0.01 | }
[ 00.270 | 00.041 | 00.061 | 00.244 | 00.215 | 00.038 | 00.132 |-00.003 |-00.113 |] 1.000 || { 0.51 |-0.09 |-0.07 | 0.60 |-0.44 |-0.39 |-0.12 | 0.00 | 0.01 | }
[ 00.273 | 00.041 | 00.060 | 00.247 | 00.213 | 00.035 | 00.131 |-00.003 |-00.113 |] 1.000 || { 0.60 |-0.00 |-0.00 | 0.36 |-0.33 |-0.63 |-0.01 |-0.00 | 0.02 | }
[ 00.273 | 00.041 | 00.060 | 00.248 | 00.212 | 00.035 | 00.131 |-00.003 |-00.113 |] 1.000 || { 0.54 |-0.08 |-0.06 | 0.56 |-0.42 |-0.44 |-0.10 |-0.00 | 0.01 | }
[ 00.275 | 00.040 | 00.060 | 00.250 | 00.211 | 00.033 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.60 |-0.00 | 0.00 | 0.33 |-0.24 |-0.69 |-0.00 |-0.00 | 0.03 | }
[ 00.276 | 00.040 | 00.060 | 00.250 | 00.211 | 00.033 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.55 |-0.07 |-0.05 | 0.53 |-0.39 |-0.49 |-0.09 |-0.00 | 0.02 | }
[ 00.277 | 00.040 | 00.060 | 00.251 | 00.210 | 00.032 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.57 |-0.05 |-0.04 | 0.49 |-0.35 |-0.55 |-0.07 |-0.00 | 0.03 | }
[ 00.278 | 00.040 | 00.060 | 00.252 | 00.209 | 00.031 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.05 |-0.03 | 0.47 |-0.32 |-0.58 |-0.06 |-0.00 | 0.03 | }
[ 00.278 | 00.040 | 00.060 | 00.252 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.278 | 00.040 | 00.060 | 00.252 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.278 | 00.040 | 00.060 | 00.252 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.278 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
[ 00.279 | 00.040 | 00.060 | 00.253 | 00.209 | 00.030 | 00.130 |-00.003 |-00.112 |] 1.000 || { 0.58 |-0.04 |-0.03 | 0.46 |-0.31 |-0.59 |-0.06 |-0.00 | 0.03 | }
|--------------------------||
| OPTIMAL ASSET WEIGHTS ||
|--------------------------||
| ASSET | DROP | EXCEL ||
|--------------------------||
| TOK | 27.86% | 27.52% ||
| EWJ | 04.00% | 04.00% ||
| HYG | 06.00% | 06.00% ||
| LQD | 25.26% | 23.27% ||
| EMD | 20.89% | 23.22% ||
| GSG | 03.00% | 03.00% ||
| BWX | 13.00% | 13.00% ||
|--------------------------||
|------------------------------------------------||
| Optimal Portfolio Normalize : 1.00 ||
| Optimal Portfolio Input Return : 7.00% ||
| Optimal Portfolio Expected Return : 7.00% ||
| Optimal Portfolio Standard Deviation : 10.85% ||
| Excel Portfolio Standard Deviation : 10.94% ||
|------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Finish Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
| Run Duration => 13 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.03279600 | 0.02499600 | 0.01911600 | 0.00585600 | 0.01406400 | 0.02774400 | 0.00852000 ||
| EWJ | 0.02499600 | 0.03321600 | 0.01562400 | 0.00548400 | 0.01326000 | 0.01976400 | 0.00675600 ||
| HYG | 0.01911600 | 0.01562400 | 0.01755600 | 0.00766800 | 0.01260000 | 0.01332000 | 0.00622800 ||
| LQD | 0.00585600 | 0.00548400 | 0.00766800 | 0.00729600 | 0.00795600 | 0.00050400 | 0.00444000 ||
| EMD | 0.01406400 | 0.01326000 | 0.01260000 | 0.00795600 | 0.01666800 | 0.00990000 | 0.00793200 ||
| GSG | 0.02774400 | 0.01976400 | 0.01332000 | 0.00050400 | 0.00990000 | 0.06253200 | 0.00898800 ||
| BWX | 0.00852000 | 0.00675600 | 0.00622800 | 0.00444000 | 0.00793200 | 0.00898800 | 0.00843600 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 05% | 43% ||
| EWJ | 04% | 27% ||
| HYG | 06% | 44% ||
| LQD | 03% | 32% ||
| EMD | 03% | 66% ||
| GSG | 03% | 32% ||
| BWX | 13% | 88% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.140 | 00.130 | 00.150 | 00.120 | 00.120 | 00.120 | 00.220 | 00.000 | 00.000 |] 1.000 || { 0.00 |-0.00 | 0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 0.99 |-0.10 | }
[ 00.142 | 00.110 | 00.152 | 00.111 | 00.135 | 00.112 | 00.237 | 74301.435 |-7816.334 |] 1.000 || {-0.00 | 0.00 |-0.00 |-0.00 | 0.00 |-0.00 | 0.00 | 0.19 |-0.98 | }
[ 00.142 | 00.112 | 00.150 | 00.110 | 00.136 | 00.111 | 00.238 | 77196.527 |-23092.427 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.110 | 00.136 | 00.111 | 00.238 | 38595.219 |-11551.053 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.110 | 00.136 | 00.111 | 00.238 | 19297.609 |-5775.562 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.110 | 00.136 | 00.111 | 00.238 | 9648.801 |-2887.823 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.110 | 00.136 | 00.111 | 00.238 | 4824.397 |-1443.959 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.110 | 00.136 | 00.111 | 00.238 | 2412.196 |-722.027 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 |-0.00 | 0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.110 | 00.136 | 00.111 | 00.238 | 1206.095 |-361.061 |] 1.000 || { 0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.110 | 00.136 | 00.111 | 00.238 | 603.044 |-180.578 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.110 | 00.136 | 00.111 | 00.238 | 301.519 |-90.337 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.110 | 00.136 | 00.111 | 00.238 | 150.756 |-45.216 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.110 | 00.136 | 00.111 | 00.238 | 75.375 |-22.656 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.110 | 00.136 | 00.111 | 00.238 | 37.684 |-11.375 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.111 | 00.136 | 00.111 | 00.238 | 18.839 |-05.735 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.111 | 00.136 | 00.111 | 00.238 | 09.416 |-02.915 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.111 | 00.136 | 00.111 | 00.238 | 04.705 |-01.505 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.111 | 00.136 | 00.111 | 00.238 | 02.349 |-00.800 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.111 | 00.136 | 00.111 | 00.238 | 01.172 |-00.448 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.111 | 00.136 | 00.111 | 00.238 | 00.583 |-00.271 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.111 | 00.136 | 00.111 | 00.238 | 00.288 |-00.183 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.112 | 00.150 | 00.111 | 00.137 | 00.111 | 00.238 | 00.141 |-00.139 |] 1.000 || { 0.00 |-0.01 |-0.01 | 0.01 | 0.01 |-0.01 |-0.00 |-0.96 | 0.29 | }
[ 00.142 | 00.111 | 00.149 | 00.112 | 00.138 | 00.110 | 00.238 | 00.067 |-00.117 |] 1.000 || { 0.01 |-0.02 |-0.03 | 0.04 | 0.05 |-0.03 |-0.01 |-0.95 | 0.29 | }
[ 00.142 | 00.110 | 00.148 | 00.113 | 00.139 | 00.109 | 00.238 | 00.031 |-00.105 |] 1.000 || { 0.03 |-0.08 |-0.13 | 0.14 | 0.17 |-0.10 |-0.03 |-0.91 | 0.31 | }
[ 00.143 | 00.109 | 00.145 | 00.116 | 00.143 | 00.107 | 00.237 | 00.012 |-00.099 |] 1.000 || { 0.05 |-0.21 |-0.33 | 0.38 | 0.44 |-0.25 |-0.09 |-0.60 | 0.27 | }
[ 00.144 | 00.105 | 00.140 | 00.122 | 00.150 | 00.103 | 00.236 | 00.003 |-00.095 |] 1.000 || { 0.04 |-0.27 |-0.41 | 0.53 | 0.55 |-0.28 |-0.16 |-0.20 | 0.16 | }
[ 00.145 | 00.099 | 00.131 | 00.134 | 00.162 | 00.097 | 00.232 |-00.001 |-00.092 |] 1.000 || { 0.00 |-0.26 |-0.39 | 0.65 | 0.48 |-0.22 |-0.26 | 0.01 | 0.07 | }
[ 00.145 | 00.095 | 00.124 | 00.145 | 00.170 | 00.093 | 00.228 |-00.001 |-00.090 |] 1.000 || { 0.21 | 0.12 | 0.31 |-0.72 |-0.35 |-0.03 | 0.46 |-0.02 |-0.04 | }
[ 00.145 | 00.095 | 00.124 | 00.145 | 00.170 | 00.093 | 00.228 |-00.001 |-00.090 |] 1.000 || { 0.01 |-0.26 |-0.39 | 0.65 | 0.47 |-0.23 |-0.26 |-0.08 | 0.09 | }
[ 00.145 | 00.088 | 00.114 | 00.162 | 00.183 | 00.087 | 00.221 |-00.003 |-00.088 |] 1.000 || { 0.01 |-0.22 |-0.32 | 0.79 | 0.26 |-0.14 |-0.38 | 0.01 | 0.03 | }
[ 00.145 | 00.084 | 00.108 | 00.177 | 00.188 | 00.085 | 00.214 |-00.003 |-00.087 |] 1.000 || { 0.04 | 0.05 | 0.19 |-0.83 | 0.12 |-0.06 | 0.49 |-0.02 | 0.06 | }
[ 00.145 | 00.084 | 00.108 | 00.177 | 00.188 | 00.084 | 00.214 |-00.003 |-00.087 |] 1.000 || { 0.02 |-0.24 |-0.34 | 0.76 | 0.31 |-0.17 |-0.35 |-0.03 | 0.05 | }
[ 00.146 | 00.075 | 00.095 | 00.205 | 00.200 | 00.078 | 00.201 |-00.004 |-00.085 |] 1.000 || { 0.08 |-0.19 |-0.23 | 0.85 | 0.02 |-0.11 |-0.42 | 0.00 | 0.02 | }
[ 00.148 | 00.071 | 00.091 | 00.221 | 00.200 | 00.076 | 00.193 |-00.004 |-00.085 |] 1.000 || {-0.08 | 0.02 | 0.12 |-0.79 | 0.40 |-0.08 | 0.42 |-0.01 | 0.11 | }
[ 00.148 | 00.071 | 00.091 | 00.220 | 00.200 | 00.076 | 00.194 |-00.004 |-00.085 |] 1.000 || { 0.06 |-0.22 |-0.28 | 0.82 | 0.15 |-0.14 |-0.39 |-0.01 | 0.04 | }
[ 00.150 | 00.063 | 00.080 | 00.252 | 00.206 | 00.070 | 00.178 |-00.005 |-00.083 |] 1.000 || { 0.17 |-0.21 |-0.17 | 0.84 |-0.09 |-0.14 |-0.40 |-0.00 | 0.07 | }
[ 00.152 | 00.060 | 00.078 | 00.262 | 00.205 | 00.069 | 00.174 |-00.005 |-00.082 |] 1.000 || { 0.10 |-0.22 |-0.24 | 0.83 | 0.08 |-0.15 |-0.40 |-0.01 | 0.07 | }
[ 00.155 | 00.053 | 00.071 | 00.287 | 00.208 | 00.064 | 00.162 |-00.005 |-00.080 |] 1.000 || { 0.08 |-0.27 |-0.15 | 0.73 | 0.27 |-0.25 |-0.41 |-0.02 | 0.24 | }
[ 00.155 | 00.052 | 00.070 | 00.290 | 00.209 | 00.063 | 00.160 |-00.005 |-00.079 |] 1.000 || { 0.08 |-0.24 |-0.22 | 0.80 | 0.17 |-0.18 |-0.41 |-0.01 | 0.12 | }
[ 00.157 | 00.048 | 00.066 | 00.306 | 00.212 | 00.060 | 00.152 |-00.005 |-00.077 |] 1.000 || {-0.30 |-0.16 |-0.07 | 0.04 | 0.85 |-0.15 |-0.22 |-0.03 | 0.29 | }
[ 00.156 | 00.047 | 00.066 | 00.306 | 00.215 | 00.059 | 00.151 |-00.005 |-00.076 |] 1.000 || {-0.05 |-0.25 |-0.21 | 0.67 | 0.45 |-0.19 |-0.41 |-0.02 | 0.20 | }
[ 00.155 | 00.044 | 00.063 | 00.314 | 00.220 | 00.057 | 00.146 |-00.006 |-00.074 |] 1.000 || {-0.40 |-0.08 |-0.04 |-0.12 | 0.86 |-0.04 |-0.18 |-0.02 | 0.23 | }
[ 00.154 | 00.044 | 00.063 | 00.314 | 00.222 | 00.057 | 00.146 |-00.006 |-00.073 |] 1.000 || {-0.21 |-0.22 |-0.17 | 0.45 | 0.67 |-0.15 |-0.38 |-0.02 | 0.23 | }
[ 00.153 | 00.042 | 00.062 | 00.317 | 00.228 | 00.056 | 00.143 |-00.006 |-00.071 |] 1.000 || {-0.35 |-0.15 |-0.11 | 0.21 | 0.79 |-0.06 |-0.33 |-0.02 | 0.23 | }
[ 00.150 | 00.041 | 00.061 | 00.319 | 00.233 | 00.055 | 00.141 |-00.006 |-00.070 |] 1.000 || {-0.42 |-0.11 |-0.08 | 0.14 | 0.79 | 0.01 |-0.33 |-0.02 | 0.22 | }
[ 00.148 | 00.041 | 00.060 | 00.319 | 00.237 | 00.055 | 00.139 |-00.006 |-00.068 |] 1.000 || {-0.46 |-0.08 |-0.06 | 0.10 | 0.78 | 0.06 |-0.33 |-0.02 | 0.21 | }
[ 00.147 | 00.040 | 00.060 | 00.320 | 00.240 | 00.055 | 00.138 |-00.006 |-00.068 |] 1.000 || {-0.48 |-0.07 |-0.05 | 0.08 | 0.77 | 0.08 |-0.33 |-0.02 | 0.21 | }
[ 00.146 | 00.040 | 00.060 | 00.320 | 00.241 | 00.056 | 00.137 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.05 | 0.07 | 0.77 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.242 | 00.056 | 00.137 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.137 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
[ 00.145 | 00.040 | 00.060 | 00.320 | 00.243 | 00.056 | 00.136 |-00.006 |-00.067 |] 1.000 || {-0.49 |-0.06 |-0.04 | 0.07 | 0.76 | 0.10 |-0.34 |-0.02 | 0.20 | }
|--------------------------||
| OPTIMAL ASSET WEIGHTS ||
|--------------------------||
| ASSET | DROP | EXCEL ||
|--------------------------||
| TOK | 14.45% | 14.89% ||
| EWJ | 04.00% | 04.00% ||
| HYG | 06.00% | 06.00% ||
| LQD | 32.00% | 32.00% ||
| EMD | 24.32% | 24.51% ||
| GSG | 05.59% | 05.60% ||
| BWX | 13.63% | 13.00% ||
|--------------------------||
|------------------------------------------------||
| Optimal Portfolio Normalize : 1.00 ||
| Optimal Portfolio Input Return : 6.00% ||
| Optimal Portfolio Expected Return : 6.00% ||
| Optimal Portfolio Standard Deviation : 09.94% ||
| Excel Portfolio Standard Deviation : 09.99% ||
|------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Finish Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
| Run Duration => 14 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------------------------------------||
| CROSS ASSET COVARIANCE MATRIX ||
|------------------------------------------------------------------------------------------------||
| | TOK | EWJ | HYG | LQD | EMD | GSG | BWX ||
|------------------------------------------------------------------------------------------------||
| TOK | 0.03279600 | 0.02499600 | 0.01911600 | 0.00585600 | 0.01406400 | 0.02774400 | 0.00852000 ||
| EWJ | 0.02499600 | 0.03321600 | 0.01562400 | 0.00548400 | 0.01326000 | 0.01976400 | 0.00675600 ||
| HYG | 0.01911600 | 0.01562400 | 0.01755600 | 0.00766800 | 0.01260000 | 0.01332000 | 0.00622800 ||
| LQD | 0.00585600 | 0.00548400 | 0.00766800 | 0.00729600 | 0.00795600 | 0.00050400 | 0.00444000 ||
| EMD | 0.01406400 | 0.01326000 | 0.01260000 | 0.00795600 | 0.01666800 | 0.00990000 | 0.00793200 ||
| GSG | 0.02774400 | 0.01976400 | 0.01332000 | 0.00050400 | 0.00990000 | 0.06253200 | 0.00898800 ||
| BWX | 0.00852000 | 0.00675600 | 0.00622800 | 0.00444000 | 0.00793200 | 0.00898800 | 0.00843600 ||
|------------------------------------------------------------------------------------------------||
|-------------------||
| ASSET BOUNDS ||
|-------------------||
| TOK | 00% | 66% ||
| EWJ | 00% | 66% ||
| HYG | 00% | 66% ||
| LQD | 00% | 66% ||
| EMD | 00% | 66% ||
| GSG | 00% | 66% ||
| BWX | 00% | 66% ||
|-------------------||
|--------------------------------------------||
| INTERIOR POINT METHOD BARRIER PARAMETERS ||
|--------------------------------------------||
| Barrier Decay Velocity : 2.0
| Barrier Decay Steps : 70
| Initial Barrier Strength : 10000.0
| Barrier Convergence Tolerance : 0.05
|--------------------------------------------||
[ 00.157 | 00.143 | 00.143 | 00.143 | 00.143 | 00.143 | 00.143 | 00.000 | 00.000 |] 1.000 || {-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.00 | 0.00 | 0.21 | 0.98 | }
[ 00.122 | 00.146 | 00.146 | 00.149 | 00.143 | 00.136 | 00.159 | 37232.499 | 169873.858 |] 1.000 || { 0.00 |-0.00 |-0.00 |-0.00 |-0.00 |-0.00 | 0.00 |-0.05 | 1.00 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 36075.272 | 194026.765 |] 1.000 || {-0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 18051.019 | 96824.800 |] 1.000 || {-0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 9025.509 | 48412.321 |] 1.000 || {-0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 4512.753 | 24206.090 |] 1.000 || {-0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 2256.375 | 12102.976 |] 1.000 || {-0.00 | 0.00 | 0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 1128.186 | 6051.419 |] 1.000 || {-0.00 |-0.00 | 0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 564.092 | 3025.641 |] 1.000 || {-0.00 |-0.00 |-0.00 | 0.00 | 0.00 | 0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 282.045 | 1512.752 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 141.021 | 756.307 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 70.509 | 378.085 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 35.253 | 188.974 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 17.625 | 94.418 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 08.811 | 47.140 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 04.404 | 23.501 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 02.201 | 11.682 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.145 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 01.099 | 05.772 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.144 | 00.145 | 00.149 | 00.141 | 00.134 | 00.161 | 00.548 | 02.817 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.125 | 00.144 | 00.145 | 00.150 | 00.141 | 00.134 | 00.161 | 00.273 | 01.340 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.126 | 00.143 | 00.145 | 00.150 | 00.142 | 00.133 | 00.161 | 00.135 | 00.602 |] 1.000 || { 0.00 |-0.00 |-0.00 | 0.00 | 0.00 |-0.00 |-0.00 |-0.18 |-0.98 | }
[ 00.126 | 00.142 | 00.144 | 00.152 | 00.142 | 00.132 | 00.161 | 00.066 | 00.233 |] 1.000 || { 0.01 |-0.02 |-0.00 | 0.02 | 0.01 |-0.01 |-0.00 |-0.18 |-0.98 | }
[ 00.127 | 00.139 | 00.144 | 00.156 | 00.143 | 00.131 | 00.160 | 00.032 | 00.049 |] 1.000 || { 0.02 |-0.06 |-0.01 | 0.08 | 0.02 |-0.04 |-0.01 |-0.19 |-0.98 | }
[ 00.129 | 00.134 | 00.142 | 00.164 | 00.145 | 00.127 | 00.159 | 00.015 |-00.042 |] 1.000 || { 0.07 |-0.20 |-0.07 | 0.32 | 0.07 |-0.12 |-0.06 |-0.18 |-0.89 | }
[ 00.132 | 00.124 | 00.139 | 00.179 | 00.149 | 00.121 | 00.156 | 00.006 |-00.085 |] 1.000 || { 0.12 |-0.40 |-0.21 | 0.82 | 0.08 |-0.23 |-0.18 | 0.00 | 0.12 | }
[ 00.134 | 00.116 | 00.135 | 00.195 | 00.150 | 00.117 | 00.153 | 00.006 |-00.082 |] 1.000 || { 0.04 | 0.10 | 0.29 |-0.88 | 0.14 |-0.01 | 0.32 |-0.03 | 0.06 | }
[ 00.134 | 00.116 | 00.135 | 00.195 | 00.150 | 00.117 | 00.153 | 00.006 |-00.082 |] 1.000 || { 0.10 |-0.33 |-0.17 | 0.68 | 0.06 |-0.19 |-0.15 |-0.12 |-0.56 | }
[ 00.138 | 00.105 | 00.129 | 00.219 | 00.152 | 00.110 | 00.147 | 00.002 |-00.102 |] 1.000 || { 0.08 |-0.27 |-0.25 | 0.88 |-0.06 |-0.14 |-0.23 | 0.00 | 0.09 | }
[ 00.140 | 00.097 | 00.122 | 00.243 | 00.151 | 00.106 | 00.141 | 00.002 |-00.099 |] 1.000 || { 0.03 | 0.05 | 0.25 |-0.88 | 0.24 |-0.02 | 0.32 |-0.02 | 0.06 | }
[ 00.140 | 00.097 | 00.122 | 00.242 | 00.151 | 00.106 | 00.141 | 00.002 |-00.099 |] 1.000 || { 0.09 |-0.29 |-0.24 | 0.87 |-0.04 |-0.16 |-0.22 |-0.04 |-0.12 | }
[ 00.144 | 00.082 | 00.109 | 00.288 | 00.149 | 00.097 | 00.130 | 00.000 |-00.106 |] 1.000 || { 0.06 |-0.18 |-0.26 | 0.89 |-0.19 |-0.08 |-0.25 | 0.00 | 0.07 | }
[ 00.147 | 00.075 | 00.099 | 00.325 | 00.141 | 00.094 | 00.120 | 00.000 |-00.103 |] 1.000 || { 0.02 | 0.02 | 0.22 |-0.86 | 0.33 |-0.02 | 0.30 |-0.01 | 0.05 | }
[ 00.147 | 00.075 | 00.099 | 00.323 | 00.142 | 00.094 | 00.120 | 00.000 |-00.103 |] 1.000 || { 0.07 |-0.21 |-0.25 | 0.89 |-0.15 |-0.11 |-0.24 |-0.01 | 0.01 | }
[ 00.152 | 00.058 | 00.080 | 00.392 | 00.130 | 00.086 | 00.102 |-00.001 |-00.102 |] 1.000 || { 0.07 |-0.14 |-0.24 | 0.88 |-0.29 |-0.05 |-0.23 |-0.00 | 0.08 | }
[ 00.155 | 00.053 | 00.071 | 00.425 | 00.119 | 00.084 | 00.094 |-00.001 |-00.099 |] 1.000 || {-0.03 |-0.05 | 0.20 |-0.81 | 0.47 |-0.03 | 0.25 |-0.02 | 0.10 | }
[ 00.155 | 00.053 | 00.071 | 00.424 | 00.120 | 00.084 | 00.094 |-00.001 |-00.099 |] 1.000 || { 0.07 |-0.17 |-0.25 | 0.89 |-0.23 |-0.07 |-0.23 |-0.01 | 0.05 | }
[ 00.160 | 00.039 | 00.051 | 00.497 | 00.101 | 00.078 | 00.075 |-00.001 |-00.094 |] 1.000 || { 0.08 |-0.13 |-0.21 | 0.86 |-0.37 |-0.03 |-0.20 |-0.01 | 0.10 | }
[ 00.162 | 00.035 | 00.046 | 00.517 | 00.092 | 00.077 | 00.070 |-00.002 |-00.092 |] 1.000 || {-0.19 |-0.43 | 0.08 |-0.25 | 0.56 | 0.18 | 0.05 |-0.08 | 0.60 | }
[ 00.162 | 00.035 | 00.046 | 00.517 | 00.092 | 00.077 | 00.070 |-00.002 |-00.092 |] 1.000 || { 0.08 |-0.16 |-0.23 | 0.88 |-0.29 |-0.05 |-0.22 |-0.01 | 0.08 | }
[ 00.168 | 00.024 | 00.030 | 00.577 | 00.072 | 00.074 | 00.056 |-00.002 |-00.087 |] 1.000 || { 0.09 |-0.16 |-0.20 | 0.84 |-0.42 | 0.02 |-0.17 |-0.01 | 0.16 | }
[ 00.169 | 00.023 | 00.028 | 00.586 | 00.068 | 00.074 | 00.054 |-00.002 |-00.085 |] 1.000 || { 0.14 |-0.21 |-0.04 |-0.68 | 0.05 | 0.19 | 0.54 |-0.06 | 0.39 | }
[ 00.169 | 00.023 | 00.028 | 00.586 | 00.068 | 00.074 | 00.054 |-00.002 |-00.085 |] 1.000 || { 0.08 |-0.17 |-0.23 | 0.87 |-0.33 |-0.03 |-0.20 |-0.01 | 0.11 | }
[ 00.172 | 00.015 | 00.017 | 00.626 | 00.052 | 00.073 | 00.045 |-00.003 |-00.080 |] 1.000 || { 0.27 |-0.33 |-0.30 | 0.45 |-0.51 | 0.14 | 0.28 |-0.05 | 0.41 | }
[ 00.173 | 00.014 | 00.016 | 00.627 | 00.051 | 00.073 | 00.046 |-00.003 |-00.079 |] 1.000 || { 0.47 |-0.16 |-0.14 |-0.41 |-0.34 |-0.07 | 0.66 |-0.00 |-0.03 | }
[ 00.173 | 00.014 | 00.016 | 00.627 | 00.051 | 00.073 | 00.046 |-00.003 |-00.079 |] 1.000 || { 0.13 |-0.21 |-0.26 | 0.83 |-0.38 |-0.01 |-0.11 |-0.02 | 0.16 | }
[ 00.177 | 00.009 | 00.010 | 00.647 | 00.042 | 00.073 | 00.043 |-00.003 |-00.075 |] 1.000 || { 0.43 |-0.19 |-0.18 |-0.44 |-0.28 |-0.02 | 0.68 |-0.02 | 0.12 | }
[ 00.178 | 00.008 | 00.009 | 00.646 | 00.041 | 00.073 | 00.045 |-00.003 |-00.074 |] 1.000 || { 0.44 |-0.10 |-0.12 | 0.32 |-0.73 |-0.12 | 0.31 | 0.02 |-0.15 | }
[ 00.178 | 00.008 | 00.009 | 00.646 | 00.041 | 00.073 | 00.045 |-00.003 |-00.074 |] 1.000 || { 0.29 |-0.26 |-0.31 | 0.67 |-0.49 |-0.03 | 0.13 |-0.02 | 0.18 | }
[ 00.182 | 00.005 | 00.005 | 00.654 | 00.034 | 00.072 | 00.047 |-00.003 |-00.072 |] 1.000 || { 0.51 |-0.13 |-0.12 |-0.23 |-0.53 |-0.11 | 0.61 |-0.00 |-0.03 | }
[ 00.183 | 00.005 | 00.005 | 00.653 | 00.033 | 00.072 | 00.049 |-00.004 |-00.072 |] 1.000 || { 0.42 |-0.02 |-0.02 | 0.13 |-0.82 |-0.04 | 0.36 |-0.00 |-0.02 | }
[ 00.183 | 00.005 | 00.005 | 00.653 | 00.033 | 00.072 | 00.049 |-00.004 |-00.072 |] 1.000 || { 0.43 |-0.24 |-0.28 | 0.43 |-0.60 |-0.06 | 0.33 |-0.02 | 0.12 | }
[ 00.187 | 00.003 | 00.003 | 00.657 | 00.028 | 00.071 | 00.051 |-00.004 |-00.071 |] 1.000 || { 0.50 |-0.07 |-0.07 |-0.09 |-0.68 |-0.11 | 0.51 | 0.00 |-0.06 | }
[ 00.188 | 00.002 | 00.003 | 00.657 | 00.027 | 00.071 | 00.052 |-00.004 |-00.071 |] 1.000 || { 0.43 | 0.00 | 0.00 | 0.03 |-0.81 |-0.05 | 0.40 |-0.00 |-0.02 | }
[ 00.188 | 00.002 | 00.003 | 00.657 | 00.027 | 00.071 | 00.052 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.19 |-0.21 | 0.27 |-0.67 |-0.08 | 0.41 |-0.01 | 0.06 | }
[ 00.190 | 00.001 | 00.001 | 00.659 | 00.023 | 00.071 | 00.055 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.03 |-0.03 |-0.03 |-0.74 |-0.10 | 0.46 | 0.00 |-0.06 | }
[ 00.191 | 00.001 | 00.001 | 00.658 | 00.022 | 00.071 | 00.055 |-00.004 |-00.071 |] 1.000 || { 0.48 |-0.14 |-0.16 | 0.18 |-0.71 |-0.09 | 0.43 |-0.01 | 0.03 | }
[ 00.193 | 00.001 | 00.001 | 00.659 | 00.019 | 00.070 | 00.057 |-00.004 |-00.071 |] 1.000 || { 0.46 |-0.01 |-0.02 |-0.02 |-0.77 |-0.09 | 0.44 | 0.00 |-0.05 | }
[ 00.193 | 00.001 | 00.001 | 00.659 | 00.018 | 00.070 | 00.058 |-00.004 |-00.071 |] 1.000 || { 0.48 |-0.11 |-0.12 | 0.13 |-0.73 |-0.09 | 0.44 |-0.00 | 0.00 | }
[ 00.195 | 00.000 | 00.000 | 00.660 | 00.016 | 00.070 | 00.059 |-00.004 |-00.071 |] 1.000 || { 0.45 |-0.01 |-0.01 |-0.01 |-0.78 |-0.08 | 0.43 | 0.00 |-0.05 | }
[ 00.195 | 00.000 | 00.000 | 00.660 | 00.016 | 00.070 | 00.059 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.08 |-0.09 | 0.10 |-0.74 |-0.09 | 0.44 |-0.00 |-0.01 | }
[ 00.196 | 00.000 | 00.000 | 00.660 | 00.014 | 00.070 | 00.060 |-00.004 |-00.071 |] 1.000 || { 0.45 |-0.00 |-0.00 |-0.00 |-0.78 |-0.08 | 0.42 | 0.00 |-0.05 | }
[ 00.196 | 00.000 | 00.000 | 00.660 | 00.014 | 00.070 | 00.060 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.07 |-0.08 | 0.08 |-0.75 |-0.09 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.013 | 00.070 | 00.060 |-00.004 |-00.071 |] 1.000 || { 0.45 |-0.00 |-0.00 |-0.00 |-0.78 |-0.08 | 0.42 | 0.00 |-0.05 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.013 | 00.070 | 00.060 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.06 |-0.07 | 0.07 |-0.76 |-0.09 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.013 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.45 |-0.00 |-0.00 |-0.00 |-0.78 |-0.08 | 0.42 | 0.00 |-0.05 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.013 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.06 |-0.06 | 0.06 |-0.76 |-0.09 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.013 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.45 |-0.00 |-0.00 |-0.00 |-0.78 |-0.08 | 0.42 | 0.00 |-0.05 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.45 |-0.00 |-0.00 |-0.00 |-0.78 |-0.08 | 0.42 | 0.00 |-0.05 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.45 |-0.00 |-0.00 |-0.00 |-0.78 |-0.08 | 0.42 | 0.00 |-0.05 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.45 |-0.00 |-0.00 |-0.00 |-0.78 |-0.08 | 0.42 | 0.00 |-0.05 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.45 |-0.00 |-0.00 |-0.00 |-0.78 |-0.08 | 0.42 | 0.00 |-0.05 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
[ 00.197 | 00.000 | 00.000 | 00.660 | 00.012 | 00.070 | 00.061 |-00.004 |-00.071 |] 1.000 || { 0.47 |-0.05 |-0.06 | 0.06 |-0.76 |-0.08 | 0.43 |-0.00 |-0.02 | }
|--------------------------||
| OPTIMAL ASSET WEIGHTS ||
|--------------------------||
| ASSET | DROP | EXCEL ||
|--------------------------||
| TOK | 19.72% | 19.31% ||
| EWJ | 00.00% | 00.00% ||
| HYG | 00.00% | 00.00% ||
| LQD | 66.00% | 66.00% ||
| EMD | 01.22% | 02.41% ||
| GSG | 06.95% | 07.22% ||
| BWX | 06.10% | 05.06% ||
|--------------------------||
|------------------------------------------------||
| Optimal Portfolio Normalize : 1.00 ||
| Optimal Portfolio Input Return : 7.50% ||
| Optimal Portfolio Expected Return : 7.50% ||
| Optimal Portfolio Standard Deviation : 08.94% ||
| Excel Portfolio Standard Deviation : 08.97% ||
|------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:44 EST 2020
| Setup Time => Mon Jan 27 00:35:44 EST 2020
| Finish Time => Mon Jan 27 00:35:44 EST 2020
| Setup Duration => 1 ms
| Run Duration => 13 ms
|-----------------------------------------------------------------|