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hw2_s11

# hw2_s11 - University of California Los Angeles Department...

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University of California, Los Angeles Department of Statistics Statistics C183/C283 Instructor: Nicolas Christou Homework 2 Access the following data: http://www.stat.ucla.edu/ ˜ nchristo/datac183c283/statc183c283 5stocks.txt . In R you can access the data from the command line as follows: a <- read.table("http://www.stat.ucla.edu/~nchristo/datac183c283/ statc183c283_5stocks.txt", header=T) These are closing monthly prices from January 1986 to December 2003. The first column is the date and P 1 , P 2 , P 3 , P 4 , P 5 represent the closing monthly prices for the stocks Exxon-Mobil, General Motors, Hewlett Packard, McDonalds, and Boeing respectively. a. Convert the prices into returns for all the 5 stocks. Please do not print these numbers! b. Compute and print the mean return for each stock and the variance-covariance matrix. c. Use only Exxon-Mobil and Boeing stocks: For these 2 stocks find the composition, expected return, and standard deviation of the minimum risk portfolio.
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