assignment 1 asspet pricingmanager 1e

301 00276 02163 02752 02653 01287 02891 02107 00753

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Unformatted text preview: 76 -0.2163 -0.2752 -0.2653 -0.1287 -0.2891 -0.2107 -0.0753 -0.0837 -0.0886 -0.1018 -0.0924 -0.0883 -0.0966 -0.0287 0.0717 0.0821 0.1153 0.0354 0.0791 0.0496 0.0017 0.0274 0.0414 -0.0278 0.0969 0.0547 0.0609 0.0947 0.0557 0.0582 0.0699 0.0078 0.1005 0.0374 -0.0189 -0.0197 -0.0464 -0.0511 -0.044 -0.0149 -0.03 -0.0361 -0.0059 0.0247 0.0216 0.0027 0.0103 -0.0245 -0.0075 -0.008 0.0073 -0.0184 0.0183 -0.0183 -0.0077 0.0307 0.029 0.0778 0.0895 0.0242 0.0612 0.0219 0.0274 0.0116 -0.0135 -0.0562 -0.0035 -0.0128 0.0003 -0.0074 -0.0075 -0.0725 -0.0879 -0.0348 -0.0313 -0.0168 -0.0071 Sample Covariance matrixNoDur NoDur Durbl HiTec Telcm Shops Hlth Utils Durbl HiTec Telcm Shops Hlth Utils 0.00200 0.00186 0.00195 0.00122 0.00214 0.001901 0.001192 0.00186 0.00305 0.002351 0.001207 0.002329 0.001791 0.001134 0.00195 0.00235 0.003343 0.001259 0.002378 0.002307 0.001109 0.0012171 0.001207 0.001259 0.001567 0.001345 0.001193 0.001 0.0021424 0.002329 0.002378 0.001345 0.002811 0.002046 0.00122 0.0019005 0.00179 0.002307 0.001193 0.002046 0.00279 0.00109 0.0011923 0.001134 0.001109 0.001 0.001222 0.001094 0.001441 Variance 0.0019989 0.003055 0.003343 0.001567 0.002811 T he Inverse of variance-Covariance Matrix NoDur Durbl NoDur Durbl HiTec Telcm Shops Hlth Utils Average excess returns Average Rf 1/λ Portfolio Weights Portfolio Weights M S B 4487.1932 -181.6063 125.617 -283.1886 -2094.245 -1028.616 -913.7313 -181.6063 1011.191 -322.0822 -16.30791 -480.7168 131.2974 -78.43604 N/N-1 1.002193 0.00279 0.001441 HiTec Telcm Shops Hlth Utils 125.6173 -283.1886 -2094.245 -1028.616 -913.7313 -322.0822 -16.30791 -480.7168 131.2974 -78.43604 1033.668 -42.10289 -362.5904 -467.3569 45.50479 -42.10289 1405.361 -133.2277 -52.44172 -542.6973 -362.5904 -133.2277 2492.362 169.3644 241.1967 -467.3569 -52.44172 169.3644 1235.071 62.44417 45.50479 -542.6973 241.1967 62.44417 1601.203 NoDur Durbl HiTec Telcm Shops Hlth Utils 0.00787 0.005457 0.005992 0.005693 0.006942 0.009198 0.004938 0.0046145 0.25 NoDur NoDur 1.23 Durbl HiTec Telcm Shops Hlth Utils Durbl HiTec Telcm Shops Hlth Utils 1-sum weights - 0.112604 -0.351586 0.336085 -0.494615 0.592549 -0.069475 0 .13- E[SR] SR AUM(bio) CE...
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