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Using the efficient portfolio instead of the SP500: a. Compute the monthly returns on the efficient portfolio. b. Regress the average monthly returns of the

Using the efficient portfolio instead of the SP500:

a. Compute the monthly returns on the efficient portfolio. b. Regress the average monthly returns of the stocks on their betas with respect to the efficient portfolio. c. Explain your results considering Propositions 3 and 4 from Chapter 11 image text in transcribed

PRICE DATA: 10 STOCKS AND SP500, 2015-2020 1-Jul-151-Jun-151-May-151-Apr-151-Mar-151-Feb-151-Jan-15112.09115.91119.89115.17114.51117.75107.39625.61520.51532.11537.34546.50556.87533.06536.15434.09429.23421.78372.10380.16354.5337.7935.4741.5543.4538.5044.8241.3928.7027.5426.7726.4525.7427.0724.1351.0348.9052.3051.1648.9849.8851.3688.0585.6387.3586.5387.7588.7986.7421.9622.1622.7522.5920.6921.4719.7411.7311.4012.6812.5211.7113.0913.57190.26193.71190.70181.66173.85174.98158.962,103.842,063.112,107.392,085.512,067.892,104.501,994.99 PRICE DATA: 10 STOCKS AND SP500, 2015-2020 1-Jul-151-Jun-151-May-151-Apr-151-Mar-151-Feb-151-Jan-15112.09115.91119.89115.17114.51117.75107.39625.61520.51532.11537.34546.50556.87533.06536.15434.09429.23421.78372.10380.16354.5337.7935.4741.5543.4538.5044.8241.3928.7027.5426.7726.4525.7427.0724.1351.0348.9052.3051.1648.9849.8851.3688.0585.6387.3586.5387.7588.7986.7421.9622.1622.7522.5920.6921.4719.7411.7311.4012.6812.5211.7113.0913.57190.26193.71190.70181.66173.85174.98158.962,103.842,063.112,107.392,085.512,067.892,104.501,994.99

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