assignment 1 asspet pricingmanager 1e(1)(1) - 000334304 00012591 000237766 00023065 000110889

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Unformatted text preview: 012591 0.00237766 0.0023065 0.00110889 0.0012171 0.00120667 0.0012591 0.00156662 0.00134452 0.00119344 0.00099979 0.0021424 0.00232925 0.00237766 0.00134452 0.00281115 0.00204619 0.00122 0.0019005 0.00179 0.0023065 0.00119344 0.00204619 0.00278968 0.00109 0.0011923 0.00113388 0.00110889 0.00099979 0.00122152 0.00109417 0.00144115 0.0019989 N/N-1 1.002193 0.0030546 0.00334306 0.00156663 0.00281117 0.00278969 0.00144116 T he Inverse of variance-Covariance Mat rix NoDur Durbl HiTec Telcm Shops Hlth Utils 4487.1932 -181.60628 125.6173 -283.18859 -2094.2451 -1028.6159 -913.73133 -181.60628 1011.19121 -322.08225 -16.307909 -480.71684 131.297437 -78.436041 125.617 -322.08225 1033.66803 -42.102894 -362.59043 -467.35688 45.5047927 -283.18859 -16.307909 -42.102894 1405.36108 -133.22773 -52.441717 -542.69733 -2094.2451 -480.71684 -362.59043 -133.22773 2492.36241 169.364435 241.196677 -1028.6159 131.297437 -467.35688 -52.441717 169.364435 1235.07055 62.4441651 -913.73133 -78.436041 45.5047927 -542.69733 241.196677 62.4441651 1601.20339 NoDur Durbl HiTec Telcm Shops Hlth Utils Average excess ret urns M Average Rf 1/λ NoDur Durbl HiTec Telcm Shops Hlth Utils 0.00787 0.0054568 0.00599232 0.00569276 0.00694211 0.00919846 0.00493772 0.0046145 0 .25 Port folio Weight s M S 1.23449 0.15271 Durbl 0.112600.13081 HiTec 0.351590.18835 Telcm 0.33609 0.04064 Shops 0.494610.06037 Hlth 0.59255 0.08885 Utils 0.069480.17224 B 0 .69360 NoDur 0 .00910 0 .08162- 0 .18836 0 .21712- 0 .34070 0 .05138 Bet a i NoDur Durbl HiTec Telcm Shops Hlth Utils 0.0092475 0.01052364 0.01149375 0.00632297 0.01068312 0.00987071 0.00629237 1-sum weights 0.130.17 0.02 E[SR] 4 .3516 4.389 5.294 m Average Excess ret urn t o t he market port ofolio 0.635105364 Expect ed excess ret urn asset sNoDur S Durbl HiTec Telcm Shops Hlth Utils 0.0058732 0.00668362 0.00729974 0.00401575 0.00678491 0.00626894 0.00399632 Expect ed excess man B wortel NoDur 0.00687 Durbl 0.00607 HiTec 0.00665 Telcm 0.00485 0.0447 0.0553 0.0578 0.0396 Shops 0.00686 0.0530 Hlth 0.00773 Utils 0.00447 0.0528 0.0380 0.04874 SR AUM(bio) 0.14 0.12 0.13 s b 0.006584 0.0058461 0.00621 0.00151 0.001 0.001 CE...
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