34 150 1226 sigma exp return 1226 0 1282 01 1255 02

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: 12.16% 0.7 12.28% 0.8 12.47% 0.9 12.72% 1 13.03% #MACRO? #MACRO? 17.34% 17.15% 17.23% 17.30% 17.38% 17.46% 17.53% 17.61% 17.69% 17.76% 17.84% 17.91% 20.0% 15.0% 10.0% 5.0% 0.0% 10.0% 15.0% 20.0% 25.0% L A 1 2 3 4 5 B C D Mean Sigma GE 0.59% 6.59% HD 0.79% 8.62% PG 0.56% 6.88% VarianceGE HD PG covariance GE 0.0043494 0.0027376 0.0002392 7 HD 0.0074232 7.45E-005 8 PG 0.0047333 9 10 11 Portfolio proportions GE 0.3333 12 HD 0.3333 13 PG 0.3333 ### 14 15 Mean 0.0065 ### 16 Variance 0.0025 ### 17 Sigma 0.0501204 ### 18 19 Date GE HD PG 20 1-Aug-97 -11.38% -5.41% -13.34% 21 2-Sep-97 8.81% 10.05% 3.69% 22 1-Oct-97 -5.22% 6.73% -1.23% 23 3-Nov-97 13.37% 0.58% 11.39% 24 1-Dec-97 -0.25% 4.96% 4.64% 25 2-Jan-98 5.49% 2.71% -1.51% 26 2-Feb-98 0.33% 5.46% 7.97% 27 2-Mar-98 10.68% 5.76% -0.59% 28 1-Apr-98 -1.15% 3.01% -2.32% 29 1-May-98 -2.17% 12.00% 2.04% 30 1-Jun-98 8.60% 5.64% 8.23% 31 1-Jul-98 -1.25% 0.81% -13.42% 32 3-Aug-98 -11.14% -9.37% -3.69% 33 1-Sep-98 -0.18% 3.62% -7.27% 34 1-Oct-98 9.51% 9.80%...
View Full Document

This document was uploaded on 03/29/2014.

Ask a homework question - tutors are online