Question
Above you will find annual return data for six furniture companies for the years 1982 1992. Use these data to calculate the variance-covariance matrix of
Above you will find annual return data for six furniture companies for the years 1982 1992. Use these data to calculate the variance-covariance matrix of the returns. The remaining exercises refer to the data in the tab Price data on the exercise spreadsheet that accompanies this book. This tab gives three years of price data for six stocks and the S&P 500 as a surrogate for the market. 1) Compute the returns of the data and the statistics for each of the assets (mean return, variance and standard deviation of return, beta). 2)Compute the sample variance-covariance matrix and the correlation matrix for the six stocks. 3)Compute the global minimum variance portfolio (GMVP) using the sample variance covariance matrix.
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