The document describes a Markowitz portfolio analysis with two risky assets using an efficient set. It provides the expected returns and standard deviations of the two assets, as well as their correlation. It then shows a dynamic chart of the efficient set with the two risky assets, depicting how the blue Markowitz efficient frontier changes as the correlation is adjusted. The computational numbers below the chart are not as instructive as the graphical representation of the efficient frontier.

1. EFFICIENT SET Markowitz Portfolio Analysis With Two Risky Assets
Inputs (yellow) Expected Standard Dynamic Chart of the Efficient Set
Return Deviation With Two Risky Assets
Risky Asset 1 0.1% 10.4% 16%
Risky Asset 2 1.6% 13.8%
14%
Correlation (ρ) 36.8% 4 12%
Expected Return
The 2-asset correlation goes in cell B7. 10%
Change correlation and study graph to see 8%
blue Markowitz efficient frontier change.
6%
The two red horizontal lines trace maximum
4%
and minimum portfolio risk.
2%
The red vertical lines traces the efficient
frontier when the correlation is +1. 0%
-5% 0% 5% 10% 15% 20% 25%
Rescale the graph if all of your points of
Standard Deviation (s)
interest do not show in the graph.
The computational numbers below are not transparent. The graph above is more instructive than the numbers
below. Change the 5 input statistics in the yellow boxes to see how the graph above changes.
36.8% 100.0% -100.0%
Unsorted Sorted Standard Standard Standard Expected
Rank Weight Index Weight Deviation Deviation Deviation Return
Min Weight (ρ=-1) 18 57.0% 1 140.0% 13.5% 9.0% 20.1% -0.5%
Upper Bound 1 140.0% 2 135.0% 13.1% 9.2% 18.9% -0.4%
2 135.0% 3 130.0% 12.6% 9.4% 17.7% -0.3%
3 130.0% 4 125.0% 12.2% 9.6% 16.5% -0.2%
4 125.0% 5 120.0% 11.7% 9.7% 15.2% -0.2%
5 120.0% 6 115.0% 11.4% 9.9% 14.0% -0.1%
6 115.0% 7 110.0% 11.0% 10.1% 12.8% 0.0%
7 110.0% 8 105.0% 10.7% 10.2% 11.6% 0.1%

2. 8 105.0% 9 100.0% 10.4% 10.4% 10.4% 0.1%
9 100.0% 10 95.0% 10.2% 10.6% 9.2% 0.2%
10 95.0% 11 90.0% 10.0% 10.7% 8.0% 0.3%
11 90.0% 12 85.0% 9.8% 10.9% 6.8% 0.4%
12 85.0% 13 80.0% 9.7% 11.1% 5.6% 0.4%
13 80.0% 14 75.0% 9.6% 11.3% 4.4% 0.5%
14 75.0% 15 70.0% 9.6% 11.4% 3.1% 0.6%
15 70.0% 16 65.0% 9.6% 11.6% 1.9% 0.7%
16 65.0% 17 60.0% 9.7% 11.8% 0.7% 0.7%
17 60.0% 18 57.0% 9.8% 11.9% 0.0% 0.8%
19 55.0% 19 55.0% 9.9% 11.9% 0.5% 0.8%
20 50.0% 20 50.0% 10.1% 12.1% 1.7% 0.9%
21 45.0% 21 45.0% 10.3% 12.3% 2.9% 1.0%
22 40.0% 22 40.0% 10.5% 12.4% 4.1% 1.0%
23 35.0% 23 35.0% 10.9% 12.6% 5.3% 1.1%
24 30.0% 24 30.0% 11.2% 12.8% 6.5% 1.2%
25 25.0% 25 25.0% 11.6% 13.0% 7.8% 1.3%
26 20.0% 26 20.0% 12.0% 13.1% 9.0% 1.3%
27 15.0% 27 15.0% 12.4% 13.3% 10.2% 1.4%
28 10.0% 28 10.0% 12.8% 13.5% 11.4% 1.5%
29 5.0% 29 5.0% 13.3% 13.6% 12.6% 1.6%
30 0.0% 30 0.0% 13.8% 13.8% 13.8% 1.6%
31 -5.0% 31 -5.0% 14.3% 14.0% 15.0% 1.7%
32 -10.0% 32 -10.0% 14.8% 14.1% 16.2% 1.8%
33 -15.0% 33 -15.0% 15.4% 14.3% 17.4% 1.9%
34 -20.0% 34 -20.0% 15.9% 14.5% 18.6% 1.9%
35 -25.0% 35 -25.0% 16.5% 14.7% 19.8% 2.0%
36 -30.0% 36 -30.0% 17.0% 14.8% 21.1% 2.1%
37 -35.0% 37 -35.0% 17.6% 15.0% 22.3% 2.2%
38 -40.0% 38 -40.0% 18.2% 15.2% 23.5% 2.2%
39 -45.0% 39 -45.0% 18.8% 15.3% 24.7% 2.3%
40 -50.0% 40 -50.0% 19.4% 15.5% 25.9% 2.4%
41 -55.0% 41 -55.0% 20.0% 15.7% 27.1% 2.5%
Lower Bound 42 -60.0% 42 -60.0% 20.6% 15.8% 28.3% 2.5%