Mean Variance KELLOGG AND IBM Annual prices, 1992-2012 Kellogg IBM Sigma Covariance Correlation Returns Date Kellogg IBM Kellogg IBM 2/Jan/92 16.60 16.87 4/Jan/93 18.52 10.23 3/Jan/94 16.40 11.59 3/Jan/95 17.22 15.03 2/Jan/96 24.55 22.86 Sample portfolio computa Proportion of K Proportion of IBM Portfolio mean Portfolio sigma Data table: varying proportion o 2/Jan/97 22.81 33.43 Sigma 2/Jan/98 31.05 42.35 4/Jan/99 27.89 79.14 -1 3/Jan/00 17.10 97.42 -0.9 2/Jan/01 19.21 97.66 -0.8 2/Jan/02 23.45 94.54 -0.7 2/Jan/03 26.14 69.03 -0.6 2/Jan/04 30.51 88.26 -0.5 3/Jan/05 36.90 83.73 -0.4 3/Jan/06 36.31 73.55 -0.3 3/Jan/07 42.70 90.91 -0.2 2/Jan/08 42.38 99.58 -0.1 2/Jan/09 39.77 86.70 0 4/Jan/10 51.14 118.10 0.1 3/Jan/11 48.73 159.31 0.2 3/Jan/12 50.89 180.00 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1