Yahoocom for general electric using its ticker symbol

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Unformatted text preview: SSETS OPTIMAL PORTFOLIOS EFFICIENT SET WITH A RISK-FREE ASSET OPTIMAL PORTFOLIO WITH A RISK-FREE ASSET CALCULATING BETAS We downloaded stock prices and dividends from http://finance.yahoo.com for General Electric using its ticker symbol, GE. We also downloaded data for the S&P 500 (^SPX) which contains most actively traded stocks, and the Fidelity Magellan mutual fund (FMAGX). We computed returns, as shown in Chapter 4. We also obtained the monthly rates on 3-month Treasury bills from the FRED II data base at the St. Louis Federal Reserve, http://research.stlouisfed.org. rRF, Risk-free RM , Market rp , Fidelity Excess stock r ate (Monthly Excess market return R eturn (S&P 500 Magellan Fund r eturn on 3 rj, GE Return (rj-r RF) Index) Return month T-bill) return (r M-rRF) 0.8% 6.0% 1.1% 0.09% 0.7% 5.9% -1.7% 4 .7% -1.2% 0.10% -1.8% 4 .6% -2.7% -5.0% -2.8% 0.10% -2.8% -5.1% -6.0% -9.5% -7.2% 0.10% -6.1% -9.6% 5.7% 7.4 % 5.2% 0.10% 5.6% 7.3% 8.6% 2.4 % 9.4 % 0.13% 8.5% 2.3% -11.0% -17.7% -10.8% 0.14 % -11.1% -17.8% 0.5% -6.4 % 1.0% 0.14 % 0.4 % -6.5% -7.9% 10.8% -7.2% 0.14 % -8.0% 10.7% -7.2% -6.1% -7.7% 0.14 % -7.4 % -6.3% -0.9% -1.3% -0.3% 0.14 % -1.1% -1.4 % -6.1% -15.6% -6.4 % 0.14 % -6.3% -15.8% 3.7% -2.9% 3.4 % 0.15% 3.5% -3.0% -2.1% 4 .1% -1.7% 0.14 % -2.2% 4 .0% -1.6% -7.3% -3.1% 0.14 % -1.7% -7.4 % 0.8% 4 .6% 0.7% 0.14 % 0.6% 4 .4 % 7.5% 5.7% 7.5% 0.16% 7.4 % 5.6% 1.8% -2.1% 2.4 % 0.18% 1.6% -2.3% -8.2% -8.6% -8.1% 0.22% -8.4 % -8.8% -6.4 % -6.0% -6.5% 0.28% -6.7% -6.3% -1.1% -10.9% -1.5% 0.29% -1.4 % -11.2% -2.5% 0.0% -2.5% 0.29% -2.8% -0.3% 0.5% 1.0% 0.9% 0.30% 0.2% 0.7% 7.7% 15.9% 8.8% 0.32% 7.4 % 15.6% -6.4 % -9.6% -6.4 % 0.37% -6.8% -10.0% -9.2% 1.1% -9.4 % 0.4 1% -9.6% 0.7% 3.5% -4 .1% 3.3% 0.4 3% 3.0% -4 .5% 0.4 % -3.0% 0.7% 0.4 8% -0.1% -3.4 % -8.0% -9.6% -8.5% 0.51% -8.5% -10.1% -0.5% -5.2% -1.8% 0.51% -1.0% -5.7% -5.3% -1.2% -5.4 % 0.50% -5.8% -1.7% 6.1% 13.4 % 6.4 % 0.51% 5.6% 12.9% -1.6% -2.2% -1.2% 0.50% -2.1% -2.7% 2.4 % 0.7% 3.9% 0.4 7% 1.9%...
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