94e 005 798e 005 590539e 005 619e 005 876e 005 msft

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4.94E-005 7.98E-005 5.90539E-005 6.19E-005 8.76E-005 MSFT 5.38E-005 7.70E-005 6.58667E-005 5.91E-005 7.42E-005 AAPL 3.33E-005 5.81E-005 4.27728E-005 2.89E-005 6.13E-005 AMZN 2.75E-005 9.79E-005 5.97061E-005 5.36E-005 6.64E-005 LUV 1.67E-005 8.10E-005 3.38143E-005 5.58E-005 9.65E-005 Shrinkage factor l Shrinkage matrix Uses the array formula {=B269*B289:K298+(1-B269)*B304:K313} to compute the shrinkage
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PG HD KO JNJ WFC PG 0.000343 0.000149 0.000183463 0.0001542 8.16E-005 HD 0.000149 0.0005443 0.000157852 0.0001883 0.0002622 KO 0.0001835 0.0001579 0.000383497 0.0001448 9.91E-005 JNJ 0.0001542 0.0001883 0.000144786 0.0003226 0.0001744 WFC 8.16E-005 0.0002622 9.90745E-005 0.0001744 0.0006179 GOOG 0.0001647 0.0002661 0.000196846 0.0002065 0.0002919 MSFT 0.0001795 0.0002566 0.000219556 0.000197 0.0002473 AAPL 0.0001111 0.0001938 0.000142576 9.63E-005 0.0002042 AMZN 9.18E-005 0.0003262 0.00019902 0.0001786 0.0002215 LUV 5.58E-005 0.00027 0.000112714 0.0001861 0.0003216 PG HD KO JNJ WFC PG 0.000343 0 0 0 0 HD 0 0.0005443 0 0 0 KO 0 0 0.000383497 0 0 JNJ 0 0 0 0.0003226 0 WFC 0 0 0 0 0.0006179 GOOG 0 0 0 0 0 MSFT 0 0 0 0 0 AAPL 0 0 0 0 0 AMZN 0 0 0 0 0 LUV 0 0 0 0 0 GMVP GMVP Statistics PG 0.214984 Mean return 0.29% {=MMULT(B HD 0.1005156 Variance 0.01% {=MMULT(M KO 0.179279 Sigma 1.04% =SQRT(E32 JNJ 0.2143144 WFC 0.1024463 GOOG 0.0337553 MSFT 0.0411913 AAPL 0.0481022 AMZN 0.0287206 LUV 0.0366913 Uses the array formula {=MMULT(TRANSPOSE(B3:K263-B265:K265),B3:K263-B265:K265)/2 constant sample covariance matrix. In the shrinkage var-cov, this matrix is given weight lam Uses the array formula {=MMULT(TRANSPOSE(B3:K263-B265:K265),B3:K263- B265:K265)/261*IF(A304:A313=B303:K303,1,0)} to compute a matrix with only variances on d elsewhere. In the shrinkage var-cov this matrix is given weight 1-lambda.
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GOOG MSFT AAPL AMZN LUV -0.12% -0.06% 1.94% 1.56% -1.26% 1.29% 0.39% 5.63% 0.96% 0.06% 3.10% 6.15% 4.26% 11.34% -9.28% -0.15% 1.69% -0.47% -2.02% 0.42% 1.10% 1.94% 1.08% 1.34% 1.16% 2.04% 2.01% 0.76% 2.89% 4.30% 3.24% 0.11% 1.46% 0.65% 1.89% 0.89% -1.20% -5.13% -3.26% 0.38% -0.67% 1.78% 0.78% 2.14% 3.44% -1.16% 0.05% -3.36% -1.27% 1.29% 2.31% 1.53% 2.59% 3.43% -0.70% 0.57% 0.99% 1.49% -1.39% -0.93% -0.41% -0.01% 0.40% -0.99% -1.81% -1.47% -0.25% 0.69% -2.00% -4.41% -1.45% -0.49% 4.51% -3.23% 0.04% -3.28% -1.02% -0.51% -0.55% -6.37% 1.76% 1.38% 0.82% 2.35% -2.70% 3.99% 4.67% 3.32% 2.33% -3.66% 1.08% 0.77% 0.11% 1.11% 3.32% -6.07% -3.25% -1.56% -3.63% 0.35% 2.71% 1.71% 2.78% 1.61% 2.67% -1.06% -0.46% -4.61% 0.96% 1.59% -2.68% -2.03% -4.25% -2.86% -1.50% 0.42% 2.54% 1.19% 1.09% -0.51% 3.93% 3.87% 0.36% 3.68% 4.43% 0.19% -1.01% -1.55% -0.16% 1.42% 0.55% -0.90% 4.68% 2.87% -2.04% 2.31% 0.79% 3.63% 0.99% 3.80% 7.18% 3.06% 0.97% 2.90% 1.05% 2.36% 2.21% 0.86% 1.55% 2.40% -0.13% -1.12% -1.61% -1.15% -0.42% -0.59% -0.27% -0.22% 0.94% 1.44% 1.84% 1.35% 2.12% 4.73% 2.16% -4.52% 0.17% 0.46% -0.79% -1.08% 1.05% -0.09% 0.61% -0.02% -4.78% 1.69% 1.05% -0.46% 0.30% -5.20% 0.05% -0.57% 2.26% 0.55% 0.55% 0.07% 0.60% 0.69% 0.02% 2.11% 1.75% 0.96% 3.12% 2.11% 4.66% 1.51% 0.50% 2.33% 2.11% 3.40% -2.69% -3.24% 5.68% -3.11% 0.34% 2.25% 4.73% 1.61% 3.34% 3.10% -0.35% 0.06% 0.80% -1.08% -0.12% 0.21% -0.22% 0.95% 2.62% 2.41% 4.35% 1.12% 1.79% 5.97% 0.18% -2.32% -1.75% -0.60% -1.42% -1.22%
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-0.11% 1.50% 0.47% 0.37% 1.04% 0.19% 0.53% 1.76% -1.43% 0.49% 5.04% 4.49% 3.62% 3.75% 3.85% -1.48% -2.14% -1.71% -5.27% 0.96% 0.15% 0.97% 1.56% 2.62% 0.83% 0.86% 2.23% 1.49% 2.82% 7.09% -1.06% 0.53% 0.13% -2.15% 8.22% -4.28% -1.96% -4.39% -2.78% 3.02% -0.50% 0.35% -2.50% -5.35% -7.97% 2.64% 3.83% -0.88% -0.48% 2.65% 0.44% -0.66% 3.08% -1.98% 7.15% -0.28% 0.35% 0.89% 0.25% -1.09% -1.23% 0.30% 0.30% 3.84% 4.34% 2.32% 0.31% -1.94% 3.44% 1.76% 1.21% 1.83% 10.82% 2.39% -2.03% -1.54% -2.56% -4.36% -1.61% 1.21% 0.25% -0.62% 0.74% 0.45% 1.69% -0.76% 1.33% -2.24% 1.53% 0.05% -1.00% -0.55% 1.08% -1.99% -0.47% 0.13% -0.03% 1.19% 0.86% -3.58% 1.73% 2.23% 3.09% 0.94% 2.24% 3.45% 0.19% 5.47% 1.86% -2.19% 3.13% 5.21% -0.12% 1.27% -13.18% 2.00% 2.64% 2.15% -1.40% 6.26% 0.91% 2.20% 0.82% 2.74% 2.35% 3.49% 2.63% 2.63% 3.75% 3.31% -2.41% -0.60% -2.05% -1.06% -3.66% -3.93% -2.66% -3.61% -1.62% -9.10% -0.41% -0.60% 0.93% -1.06% 4.55% -1.42% -1.02% -2.45% 1.85% -1.52% 3.18% 4.00% 5.25% 1.33% 0.33% -0.15% -0.90% 5.06% -1.01% 1.50% -0.04% 1.36% -1.79% 5.20% -0.41% 2.58% 1.04% -1.09% 2.15% -6.67% -3.65% -3.76% -11.99% 6.11% -5.75% -5.45% -7.21% -3.87% -0.86% 0.45% 2.65% 2.24% 1.09% 5.13% 5.55% -1.45% -2.09% -1.22% -0.65% -0.13% 1.97% 2.48% 4.01% 2.63% 1.13% -0.31% 1.34% -0.24% 5.44% -0.99% 1.47% 0.79% 3.52% -3.13% 2.66% 2.22% 1.98% -0.73% -0.97% 4.49% 0.82% 1.41% 6.10% 3.52% -1.60% 0.59% -0.29% 0.90% 3.73% 7.02% 2.68% 2.58% 2.16% 5.34% 8.13% -0.17% 0.68% 0.51% 0.98% 1.53% -8.33% -9.38% -3.47% -15.62% -5.27% 2.41% 5.22% -4.11% -1.59% -3.60%
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4.34% 2.52% 4.32% 4.49% -1.96% -2.84% -2.59% 0.18% -6.27% -5.95% -6.03% -5.85% -8.21% -10.74% -1.99% 1.39% -0.34% -2.60% 1.96% -1.93% 1.22% 2.81% 1.87% -0.20% 2.68% 0.06% 0.13% -6.53% 3.68% -1.43% -3.71% -3.36% -5.04% -4.95% -12.92% 2.18% 3.61% 1.03% -0.09% 7.54% -0.84% 0.19% -1.26% 0.72% -3.22% 5.38% 2.52% 6.01% 3.98% 3.07% -2.31% -3.86% -7.05% -2.62% -2.07% 3.18% 4.24% 1.30% 5.21% 1.20% 1.25% -0.44% 0.35% 4.39% 2.32% 5.84% 10.69% 6.99% 4.83% 10.90% 2.85% 0.85% -0.97% 5.58% 1.54% 2.63% 3.32% 1.56% 1.35% 3.98% 2.41% 3.64% -3.85% 1.57% 0.76% -2.78% 1.05% 1.10% -3.01% -3.56% 0.55% 0.00% -0.67% 2.02% 2.38% 4.09% 2.02% 4.42% 5.92% 3.46% -4.82% -3.05% -3.61% -3.74% 0.35% 2.88% 2.63% 6.88% 4.65% -1.97% -7.04% -8.73% -9.21% -7.23% -3.75% 3.38% 0.55% 0.83% 1.69% 4.63% 1.54% 0.09% -4.88% -2.56% 3.74% 0.33% 1.64% -2.60% 1.26% 3.37% -7.62% -1.47% -4.03% 9.17% 0.69% 23.85% 4.41% 5.01% 8.53% 2.71% 1.28% 0.47% -2.53% 1.32% 3.98% -1.57% -1.92% -0.24% -0.09% -5.42% -0.94% -1.84% 0.12% 0.73% 0.29% 0.82% 0.28% -0.45% 1.16% -2.25% -0.19% -0.37% -1.16% 0.69% -5.81% 0.23% -1.55% -1.26% -0.53% 0.32% -1.49% 0.56% -1.72% 0.37% 0.51% 1.17% -2.94% 2.89% 0.38% -12.79% -0.82% 1.15% 1.31% -1.79% -3.15% 0.06% -1.89% -1.04% 2.53% 1.47% -4.38% 1.64% -1.03% -5.12% -2.07% 7.53% 13.99% 4.34% 16.99% 3.99% -3.00% -0.24% -1.87% -1.87% -2.43% 0.83% 3.49% 1.41% 2.76% -0.09% -2.36% -1.67% 1.67% 0.46% -3.17% -2.17% -4.56% -2.13% -2.12% -4.68% 2.35% 3.56% 1.85% 2.11% 4.07% -3.65% -2.34% -2.41% -2.53% 2.89% 1.65% -3.46% -1.46% -0.02% 0.14% 3.55% 0.69% -0.81% -0.92% -3.50%
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-1.85% -0.02% 1.89% 0.48% 3.36% 3.34% 3.38% 7.02% 2.00% -1.92% -0.66% 4.86% 1.50% 5.42% -2.33% -1.01% -15.51% 3.63% 12.65% -1.32% 6.08% 2.01% 6.39% 7.18% 14.81% 2.37% -2.03% -5.52% -2.11% -3.26% -5.61% 0.92% 2.42% -3.83% -4.55% -1.74% -2.37% -4.17% -0.18% 1.84% 3.37% 0.46% 1.96% 3.02% 4.02% -0.45% 1.50% 1.85% -2.44% -2.67% -1.26% -3.08% -4.69% -1.71% 0.70% -3.11% 1.27% -3.36% -7.99% -1.69% 0.80% 0.27% 2.09% 1.79% 9.53% -1.28% -3.28% 1.99% 1.46% -2.42% 0.62% 1.83% 5.07% 8.91% 1.84% -3.29% 3.62% 0.93% -1.85% 10.35% 3.51% 1.76% 2.61% 6.21% 1.78% 5.45% 5.57% 7.45% -5.62% 8.69% -6.31% -0.91% -3.08% -2.52% 1.56% -5.50% -4.57% 1.11% -3.58% -8.94% -0.32% -0.69% -1.13% -0.15% -1.43% -3.24% -2.36% -0.21% -2.48% -1.90% 3.49% 1.74% -0.69% 0.04% 2.02% -1.80% 1.71% 2.68% -4.48% 3.12% 2.50% 1.05% -3.50% 2.14% 2.53% -1.90% 1.24% 1.16% 2.22% 0.63% 1.57% 0.80% 3.35% -0.61% 6.85% 0.82% 3.61% 3.86% 5.18% 5.10% 0.48% 0.79% -1.46% 3.12% -0.53% -3.97% -3.76% -1.59% -5.37% -2.81% -1.02% -0.43% 3.37% -10.16% 5.01% 2.71% 5.99% -0.83% 3.54% 1.34% -0.95% 0.69% 1.26% 2.55% -0.98% 1.29% -1.07% 2.20% 3.90% 2.08% 3.68% 1.36% 1.17% 0.11% -0.55% 0.83% 1.09% -0.41% -0.64% 3.70% -0.82% -0.60% -1.03% -1.04% -4.56% -0.64% 1.31% 1.97% 5.33% 4.22% 1.29% 2.02% 3.03% 0.10% 2.53% 5.98% 1.43% 2.74% 4.77% 4.68% 0.37% 0.73% 2.58% 1.85% 1.02% -1.76% -0.38% -1.20% -5.26% 0.74% 2.25% -0.55% 3.55% 1.37% 0.96% -3.79% -0.25% 8.58% -6.71% 1.94% 1.03% 2.02% 1.02% 4.14% 3.20% -2.34% -1.67% -2.32% -3.55% -4.55% -3.06% -1.07% -0.94% -4.63% 2.77% -5.38% 0.35% 0.75% -6.39% -0.09%
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0.87% 6.32% 1.55% -3.57% -3.14% -3.52% -0.53% -1.09% 0.45% 3.67% -0.07% -1.08% 0.79% 2.71% 2.90% 0.98% 1.61% 0.19% 4.33% 3.08% 0.08% 0.95% -3.51% -3.01% 2.14% 2.13% 2.86% 5.17% -1.04% -0.61% -0.30% -3.44% 3.74% 0.66% 2.27% 4.96% 2.76% -8.69% -7.75% 0.53% -2.35% 1.18%
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