Average return (asset)

Actual variance

Optimal variance

Optimal return

energy

S & P 500

Agriculture

metals

-0.002101 (COM)

-0.000255 (COMA)

-0.0000993 (MEAN)

Zero

0.000919 (MIN VAR)

0.0013030 (DLSP)

0.001450 (COMM)

0.002153

0.000645

0.000565

0.000463

0.000387

0.000561

0.000561

0.000903

0.000903

0.002153

0.000645

0.000565

0.000463

0.0003871

0.00040

0.000561

0.000412

0.000903

0.00537

0.00262

0.00230

0.00180

0.000919

0.001303

0.00231

0.00145

0.00333

−0.880170

−0.367521

−0.313605

−0.222283

−0.050623

−0.121644

−0.309880

−0.149600

−0.499970

1.264023

0.793081

0.743418

0.695052

0.373651

0.567029

0.739999

0.592717

0.914670

−0.57497

0.011114

0.072920

0.177350

0.175202

0.292436

0.077181

0.26046

−0.140200

1.191120

0.563457

0.497267

0.385428

0.501770

0.262178

0.492702

0.296414

0.725508