4. Using the data base of the DJ Industrials—For American Airlines (AA), Procter & Gamble (PG), and General Electric (GE)—compute:

a. The average monthly returns

b. The covariances of the monthly returns:

n σAA,AA = Covariance(RAA, RAA), σPG,PG = Covariance(RPG, RPG), σGE,GE = Covariance

(RGE,RGE)—these are equal to the variance of AA, PG, and GE respectively.

n σAA, GE = Covariance (RAA, RGE), σAA,PG = Covariance (RAA, RPG), σPG, GE = Covariance(RPG, RGE).

c. What are the monthly expected return and monthly standard deviation of a portfolio which is equally invested in the three stocks?