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COVARIANCE MATRIX IBM GE LLY F BAC KR ITUB GG SIRI ACB VALE PFE CTL T ECA ABEV CVS MRVL CSCO MO BMY WFC HBAN

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COVARIANCE MATRIX IBM GE LLY F BAC KR ITUB GG SIRI ACB VALE PFE CTL T ECA ABEV CVS MRVL CSCO MO BMY WFC HBAN
IBM 0.000127 0.000047 0.000019 0.000055 0.00007 0.000005 0.000073 0.000011 0.000032 0.000031 0.000104 0.000022 0.000035 0.000024 0.000084 0.000046 0.00002 0.000058 0.000047 0.000016 0.000014 0.00005 0.000069
GE 0.000047 0.000139 0.000022 0.00007 0.000087 0.000015 0.000084 -0.000026 0.000039 -0.000014 0.000137 0.000029 0.000051 0.000039 0.000085 0.000048 0.000039 0.000051 0.000041 0.00002 0.000032 0.000062 0.000076
LLY 0.000019 0.000022 0.000163 0.00003 0.000041 0.00002 0.00003 0.000011 0.000026 0.000011 0.000051 0.000053 0.000033 0.00002 0.000019 0.000027 0.000029 0.000025 0.000034 0.000014 0.000071 0.000031 0.00003
F 0.000055 0.00007 0.00003 0.000204 0.000127 0.000035 0.000092 -0.000004 0.000071 0.000026 0.000193 0.000035 0.000075 0.000032 0.000152 0.000051 0.000033 0.000089 0.000065 0.000011 0.000055 0.000094 0.000115
BAC 0.00007 0.000087 0.000041 0.000127 0.000296 0.000058 0.000129 -0.000121 0.000085 0.000044 0.000257 0.000053 0.000074 0.000019 0.000214 0.000072 0.000045 0.000103 0.000069 -0.000009 0.00004 0.000175 0.000233
KR 0.000005 0.000015 0.00002 0.000035 0.000058 0.000366 -0.000016 -0.000024 0.00003 0.000042 0.000019 0.000021 0.000065 0.000015 0.000049 0.000016 0.000063 0.000038 0.000026 0.000009 0.000028 0.000042 0.000043
ITUB 0.000073 0.000084 0.00003 0.000092 0.000129 -0.000016 0.000701 0.00013 0.00007 0.000099 0.000529 0.000012 0.000106 0.000052 0.000294 0.00034 0.000038 0.000127 0.000113 0.00005 0.000063 0.000068 0.000106
GG 0.000011 -0.000026 0.000011 -0.000004 -0.000121 -0.000024 0.00013 0.000642 -0.000003 -0.000058 0.000235 -0.000017 0.000054 0.00003 0.000148 0.00009 -0.000015 0.000009 0.000014 0.000012 0.000016 -0.000079 -0.00011
SIRI 0.000032 0.000039 0.000026 0.000071 0.000085 0.00003 0.00007 -0.000003 0.000169 0.000052 0.000121 0.000021 0.000061 0.000029 0.000094 0.000048 0.00002 0.000076 0.000047 0.000019 0.000018 0.000057 0.000063
ACB 0.000031 -0.000014 0.000011 0.000026 0.000044 0.000042 0.000099 -0.000058 0.000052 0.002376 0.000164 0.00002 0.000023 -0.000006 0.000149 0.000103 0.000036 0.000066 0.000045 0.000019 -0.000018 0.000025 0.000057
VALE 0.000104 0.000137 0.000051 0.000193 0.000257 0.000019 0.000529 0.000235 0.000121 0.000164 0.001406 0.000039 0.000184 0.000058 0.000536 0.000326 0.000046 0.000174 0.000129 0.000018 0.000085 0.000159 0.000218
PFE 0.000022 0.000029 0.000053 0.000035 0.000053 0.000021 0.000012 -0.000017 0.000021 0.00002 0.000039 0.000095 0.000024 0.000014 0.00001 0.000021 0.000039 0.000028 0.000028 0.000004 0.000056 0.000046 0.000052
CTL 0.000035 0.000051 0.000033 0.000075 0.000074 0.000065 0.000106 0.000054 0.000061 0.000023 0.000184 0.000024 0.000455 0.000059 0.000162 0.000082 0.00003 0.000058 0.000082 0.000034 0.00004 0.000055 0.000051
T 0.000024 0.000039 0.00002 0.000032 0.000019 0.000015 0.000052 0.00003 0.000029 -0.000006 0.000058 0.000014 0.000059 0.000105 0.000045 0.000037 0.000019 0.000013 0.000024 0.000034 0.000011 0.00002 0.00002
ECA 0.000084 0.000085 0.000019 0.000152 0.000214 0.000049 0.000294 0.000148 0.000094 0.000149 0.000536 0.00001 0.000162 0.000045 0.001407 0.000163 0.000015 0.000199 0.00008 -0.000016 0.000031 0.000119 0.000163
ABEV 0.000046 0.000048 0.000027 0.000051 0.000072 0.000016 0.00034 0.00009 0.000048 0.000103 0.000326 0.000021 0.000082 0.000037 0.000163 0.000313 0.000034 0.000073 0.000075 0.000035 0.000029 0.000046 0.000054
CVS 0.00002 0.000039 0.000029 0.000033 0.000045 0.000063 0.000038 -0.000015 0.00002 0.000036 0.000046 0.000039 0.00003 0.000019 0.000015 0.000034 0.000193 0.000013 0.000029 0.000013 0.000035 0.00004 0.000047
MRVL 0.000058 0.000051 0.000025 0.000089 0.000103 0.000038 0.000127 0.000009 0.000076 0.000066 0.000174 0.000028 0.000058 0.000013 0.000199 0.000073 0.000013 0.000411 0.000071 0.000007 0.000037 0.000061 0.000095
CSCO 0.000047 0.000041 0.000034 0.000065 0.000069 0.000026 0.000113 0.000014 0.000047 0.000045 0.000129 0.000028 0.000082 0.000024 0.00008 0.000075 0.000029 0.000071 0.000142 0.000024 0.000037 0.000053 0.000054
MO 0.000016 0.00002 0.000014 0.000011 -0.000009 0.000009 0.00005 0.000012 0.000019 0.000019 0.000018 0.000004 0.000034 0.000034 -0.000016 0.000035 0.000013 0.000007 0.000024 0.000105 -0.000005 0.000004 -0.00001
BMY 0.000014 0.000032 0.000071 0.000055 0.00004 0.000028 0.000063 0.000016 0.000018 -0.000018 0.000085 0.000056 0.00004 0.000011 0.000031 0.000029 0.000035 0.000037 0.000037 -0.000005 0.000284 0.000032 0.000036
WFC 0.00005 0.000062 0.000031 0.000094 0.000175 0.000042 0.000068 -0.000079 0.000057 0.000025 0.000159 0.000046 0.000055 0.00002 0.000119 0.000046 0.00004 0.000061 0.000053 0.000004 0.000032 0.000174 0.000165
HBAN 0.000069 0.000076 0.00003 0.000115 0.000233 0.000043 0.000106 -0.00011 0.000063 0.000057 0.000218 0.000052 0.000051 0.00002 0.000163 0.000054 0.000047 0.000095 0.000054 -0.00001 0.000036 0.000165 0.000295
Suppose we want to minimize the risk of the portfolio with the constraint that average daily return should be greater than or equal to 0.05%. i.e. : minimizeTxTVxs.t.Tx0.00051Tx=1 Where is the daily return vector of the stocks, x is the weight vector of stocks in the portfolio, and V is the covariance matrix of the stocks' daily returns. Now we want to add a constraint that no short is allowed, i.e. x0 should be satisfied. Compute the percent of wealth invested in the stock IBM. (Round to the third decimal place.) Submission Guideline: Give your answer in rounded to 3 decimal places. For example, if you compute the answer to be 2.6%, submit 0.026 . Suppose we want to minimize the risk of the portfolio with the constraint that average daily return should be greater than or equal to 0.05%. i.e. : minimizeTxTVxs.t.Tx0.00051Tx=1 Where is the daily return vector of the stocks, x is the weight vector of stocks in the portfolio, and V is the covariance matrix of the stocks' daily returns. Now we want to add a constraint that no short is allowed, i.e. x0 should be satisfied. Compute the percent of wealth invested in the stock IBM. (Round to the third decimal place.) Submission Guideline: Give your answer in rounded to 3 decimal places. For example, if you compute the answer to be 2.6%, submit 0.026

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