Go to Yahoo nance and download historical monthly returns for the ve following companies: Nike (NKE), General Electric (GE), Johnson and Johnson (JNJ), Exxon Mobile (XOM), and Coca-Cola (KO) for the years 2000-2012. (a) Calculate the expected (arithmetic) returns and variances for each of the ve companies. (b) Suppose there are only two risky assets in the world, Nike and GE. Find the optimal risky portfolio, and the optimal allocation to this portfolio given a riskfree asset with annual return of 1.5%. Hint: to do this you need to nd the covariance of Nike and GE returns. 1 (c) Graph the mean-variance frontier for the two risky asset case: Nike and GE. Given your answers in (b), plot the CAL line on the same graph. (d) Repeat the exercise (c) for the 3 asset case (NKE, GE, JNJ), the 4 asset case (NKE, GE, JNJ, XOM) and the ve asset case (all ve stocks). Show the plots for each. (e) Finally, on each mean-variance frontier, plot the global minimum variance portfolio.