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Unformatted text preview: variance are changing with time. For example, in the plot of Durables, the returns fluctuated a lot in the end. (c) Mean, Standard Deviation, Skewness, Kurtosis (d) Histogram of each of the industry portfolio returns >> hist(R(:,1)) >> hist(R(:,2)) >> hist(R(:,3)) >> hist(R(:,4)) >> hist(R(:,5)) >> hist(R(:,6)) Durables Energy Business Equipment Utilities Healthcare Finance (e) Based on the histograms of returns and the fact that kurtoses are different from 3 and skewnesses are different from 0, we can reach a conclusion that returns are not normally distributed. (f) Variance, Covariance and Correlation (g) According to the correlation of matrix R, Durables and Finance are most correlated, whose correlation is 0.7360; Business Equipment and Utilities are least correlated, whose correlation is 0.2377....
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 Spring '12
 GerganaJostova

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