A B D E F G H | J K L M N 12345678922231567222222222222033 Date GE Monthly Returns HD -0.1137716 -0.0541395 PG -0.133441 0.0368967 8/1/97 9/2/97 0.08814285 0.10054123 10/1/97 -0.0521761 0.06725223 -0.0122658 11/3/97 0.13367383 0.0057904 0.11385746 12/1/97 -0.0024956 0.04955969 0.04641989 1/2/98 0.05493483 0.02710193 -0.0151335 2/2/98 0.00330579 0.05462997 0.07969076 3/2/98 0.10677394 0.05755215 -0.0059314 4/1/98 -0.0115066 0.03013411 -0.0232135 5/1/98 -0.0216646 0.12004804 0.02037666 6/1/98 0.08598881 0.05638111 0.08231286 7/1/98 -0.0125381 0.0081317 -0.1342044 -0.1113932 -0.0937302 -0.0368776 -0.0018215 0.03618611 -0.0727476 8/3/98 9/1/98 10/1/98 0.09514442 0.09798041 0.22401129 11/2/98 0.03221481 0.13265138 -0.0120823 12/1/98 0.12436025 0.20751772 0.0412757 1/4/99 0.0279543 -0.0111318 -0.0015564 2/1/99 -0.0447494 -0.013686 -0.0151716 3/1/99 0.10167807 0.04258213 0.09016927 4/1/99 -0.0486925 -0.0409623 -0.0400496 5/3/99 -0.035482 -0.0548918 -0.0047745 6/1/99 0.10543133 0.13121323 -0.0578106 7/1/99 -0.0330448 -0.0097954 0.0307474 8/2/99 0.02985296 -0.0362368 0.09168041 9/1/99 0.05715841 0.10946097 -0.057089 10/1/99 0.13349365 0.09886515 0.1153356 11/1/99 -0.0404368 0.04507981 0.02941389 12/1/99 0.17588179 0.26409716 0.01438874 1/3/00 -0.1439354 -0.1938998 -0.0780192 2/1/00 -0.0120629 0.01522157 -0.139808 3/1/00 0.16472792 0.11558409 33 34 35 -0.437248 36 4/3/00 0.01024016 -0.1323217 0.05626858 37 5/1/00 0.00406688 -0.14243 0.10698899 38 6/1/00 0.00696554 0.01991839 -0.1587521 39 7/3/00 -0.0224169 0.03558645 0.0105692 40 8/1/00 0.12611906 -0.0731537 0.08150358 Portfolio Mathematics 1) To the left are the returns for three stocks. Calculate the mean, variance, standard deviation for each return series in the appropriates spaces. Mean Variance Standard Deviation Covariance between GE and HD: Covariance between HD and PG: Covariance between PG and GE: 2) Find the covariance between stocks. 3) Find the mean, variance, and standard deviation for the return of three portfolios A,B, and C. 4)) Given the risk free rate of 0.17%, figure out the Sharpe ratio and choose the portfolio with the highest Sharpe Ratio. GE HD PG Three-Asset Portfolio A B C Weight in GE 0.3333 0.4 0.7 Weight in HD 0.3333 0.2 0.1 Weight in PG 0.3333 0.4 0.2 Total Weights 1 1 1 Portfolio mean Portfolio Variance Portfolio Standard Deviation Sharpe Ratio Risk-Free Rate 0.17% 0.17% 0.17%