Investments, tenth edition

.mhhe.com/bkm.   It contains a template that is similar to 

the template developed in this section. The model can be 

used to find optimal mixes of securities for targeted levels 

of returns for both restricted and unrestricted portfolios. 

Graphs of the efficient frontier are generated for each set 

of inputs. The example available at our Web site applies 

the model to portfolios constructed from equity indexes 

(called WEBS securities) of several countries.  

  

 

  Excel Questions 

    1.  Find the optimal risky portfolio formed from the eight coun-

try index portfolios using the data provided in this box. What 

is the mean and variance of that portfolio’s rate of return?  

   2.  Does the optimal risky portfolio entail a short position in any 

index? If it does, redo Question 1 but now impose a con-

straint barring short positions. Explain why this constrained 

portfolio offers a less attractive risk-return trade-off than the 

unconstrained portfolio in Question 1.