Portfolio composition for 2003 - 2007

MVO model

TA Model

$i$

$w_i$

${\overline{R}}_P$

${\sigma }_P$

$i$

$w_i$

${\overline{R}}_P$

${\sigma }_P$

ARM

11.9324%

6.5%

1.5635%

ARM

27.6421%

6%

1.47%

CABL

36.6295%

BAMB

0.951%

CFC

8.1925%

CABL

11.9844%

DTK

8.1195%

CFC

17.1365%

JUB

16.5975%

DTK

2.0104%

KCB

6.447%

EABL

2.246%

KENO

1.5244%

JUB

25.1877%

SNLM

10.5456%

KCB

4.9982%

KENO

0.5088%

SNLM

6.3375%