XYZ 2 3 3 0.32 0.24 IBM 0.12 3.50 -1.49 4.93 -1.73 0.11 5 6 7 0.03 0.47 0.12 0.01 0.55 SP500 0.39 -1.87 2.80 1.16 0.05 1.72 0.49 0.05 -0.62 0.33 2.02 0.45 0.17 0.17 1.60 0.23 -1.53 1.76 Target 0.08 5.64 428 2.72 441 -123 0.91 0.10 3.17 -0.11 0.88 0.15 -122 0.48 0.10 0.02 0.10 0.25 2.57 -1.98 3.20 3.01 0.00 028 One hundred weeks of data for log-returns in the S&P 500, Walmart, Target, and XYZ corporations are given. 0.49 0.49 0.12 037 0.37 0.84 020 0.09 1.48 0.20 0.22 0.17 203 0.17 0.42 -1.48 0.09 -1.17 0.98 0.35 0.40 0.00 0.24 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 -1.41 0.77 0.57 0.77 2.50 RR -1.05 -1.97 3.18 -1.89 2.78 0.23 4.98 1.99 1.03 2.74 4.82 0.48 1.50 2.31 0.48 1.42 -1.51 3.44 0.24 -0.11 2.49 0.02 5.35 0.09 0.41 2.98 -1.61 0.11 0.63 -0.45 0.25 1.60 1.10 1 1.19 1.81 1.60 0.59 0.78 2.68 1.11 -1.83 1. Please construct a linear regression model for each of the three stocks with the S&P500. Interpret and compare the values of Beta by writing a brief summary. Assuming the annual risk-free rate is 2%. 1.82 5.31 024 2.14 1.37 1.61 -1.24 -1.34 0.21 0.08 0.11 0.08 0.16 0.24 0.27 0.20 0.03 0.05 202 0.04 0.11 0.25 3.00 2.51 -1.90 4.04 -1.25 2.33 4.52 0.60 2.01 200 5.57 0.00 0.89 0.16 0.40 0.01 0.35 2. Based on the return data, please construct the min-variance portfolio and optimal portfolio. 0.08 0.49 0.33 0.45 3.10 Date 22 May 08 15-May-08 8-May-08 1-May-08 24 Apr 08 17.Apr 08 10 Apr 08 3.Apr 08 27-Mar 08 20 Mar 08 13-Mar-08 6 Mar 08 27-Feb-08 21-Feb-08 13-Feb-08 6-Feb 08 30 Jan 08 23 Jan 08 17 Jan 08 9 Jan 08 3-Jan-08 27-Dec 05 19-Dec 05 12 Dec 05 5-Dec 05 28- Nov.05 21- Nov.05 14 Nov 05 7-Nov 05 31-Oct-05 24-Oct-05 17-Oct-05 10-Oct-05 3-00105 26-Sep-05 19 Sep 05 12 Sep 05 6-Sep-05 29 Aug 05 22 Aug 05 15 Aug 05 8.Aug 05 1 Aug 05 25 Jul-05 18-Jul-05 11-Jul-05 5 Jul-05 27-Jun-05 20-Jun-05 13-Jun-05 6-Jun-05 31-May-05 23-May-05 16-May-05 9 May 05 2-May-05 25 Apr 05 18 Apr 05 11 Apr 05 4.Apr 05 28- Mar-05 21- Mar-05 14 Mar 05 7-Mar 05 28-Feb-05 22 Feb 05 14-Feb-05 7-Feb-05 31 Jan 05 24-Jan-05 18-Jan-05 10 Jan-05 3-Jan-05 27-Dec 04 20-Dec 04 13-Dec 04 6-Dec 04 29 Nov 04 22 Nov 04 15 Nov 04 8-Nov 04 1 Nov 04 25-Oct-04 18-Oct-04 11-Oct-04 4-Oct- 04 27-Sep-04 20 Sep 04 13-Sep-04 7-Sep-04 30 Aug 04 23 Aug 04 16 Aug 04 4.38 0.30 0.46 0.47 0.26 0.39 SO si 52 53 54 SS 56 57 S8 59 60 61 62 63 64 0.39 -1.43 0.71 3.37 1.92 3.20 1.99 1.34 0.17 0.19 0.41 3.72 3.85 0.71 -1.87 -1.79 0.85 3.30 -1.54 0.00 283 3.14 2.33 1.19 2.55 1.98 -1.09 -1.81 0.00 221 0.52 1.02 -1.08 0.40 4.33 0.13 0.89 0.63 1.62 0.69 0.79 3.11 7.18 3.44 1.00 -0.48 2.88 4.09 1.33 -1.39 -1.31 -1.91 -123 1.98 1.50 2.98 037 OOS 0.02 0.28 0.13 0.48 0.14 0.26 0.26 0.29 OLOS 0.16 038 66 67 0.44 0.33 1 -0.29 1.93 1.07 -1.20 0.87 0.32 0.63 0.04 0.47 1.33 1.46 024 2.09 1.57 0.17 0.23 0.80 3.05 -1.48 1.25 0.41 0.83 3.27 0.71 0.13 -1.53 0.87 -1.80 0.89 0.81 0.31 0.19 2.70 0.30 -1.41 0.14 2.12 0.15 1.33 0.52 0.27 0.72 1.05 -1.17 1.54 3.18 3.14 -1.12 -1.24 0.83 1.93 -1.63 0.41 0.92 0.53 0.88 3.15 0.08 3.43 1.43 -1.38 -1.03 -1.12 0.80 0.40 0.21 0.25 0.40 4.11 0.78 -1.30 0.27 1.48 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 0.49 0.34 0.30 0.20 0.20 0.45 0.12 0.02 0.05 0.67 4.74 0.02 0.19 3.70 0.44 0.13 0.49 0.22 -5.61 2.84 0.08 227 0.00 0.99 1.79 -1.25 0.37 3.62 4.84 1.75 0.92 4.12 -1.68 1.99 -1.08 0.24 221 2.56 2.22 522 6.40 0.53 3.37 2.75 -1.17 6.07 0.16 0.18 -1.03 0.00 0.54 0.62 0.62 -1.81 0.38 0.57 -1.99 2.58 4.04 3.18 0.27 0.97 1.72 -0.33 -1.11 025 0.34 0.03 0.20 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 9Aug 04 0.14 0.39 0.50 0.17 2 Aug 04 28 Ju-04 19 Jul-04 - 12 Ju-04 bu-04 28 Jun 04 0.36 0.43 0.27 0.25 XYZ 2 3 3 0.32 0.24 IBM 0.12 3.50 -1.49 4.93 -1.73 0.11 5 6 7 0.03 0.47 0.12 0.01 0.55 SP500 0.39 -1.87 2.80 1.16 0.05 1.72 0.49 0.05 -0.62 0.33 2.02 0.45 0.17 0.17 1.60 0.23 -1.53 1.76 Target 0.08 5.64 428 2.72 441 -123 0.91 0.10 3.17 -0.11 0.88 0.15 -122 0.48 0.10 0.02 0.10 0.25 2.57 -1.98 3.20 3.01 0.00 028 One hundred weeks of data for log-returns in the S&P 500, Walmart, Target, and XYZ corporations are given. 0.49 0.49 0.12 037 0.37 0.84 020 0.09 1.48 0.20 0.22 0.17 203 0.17 0.42 -1.48 0.09 -1.17 0.98 0.35 0.40 0.00 0.24 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 -1.41 0.77 0.57 0.77 2.50 RR -1.05 -1.97 3.18 -1.89 2.78 0.23 4.98 1.99 1.03 2.74 4.82 0.48 1.50 2.31 0.48 1.42 -1.51 3.44 0.24 -0.11 2.49 0.02 5.35 0.09 0.41 2.98 -1.61 0.11 0.63 -0.45 0.25 1.60 1.10 1 1.19 1.81 1.60 0.59 0.78 2.68 1.11 -1.83 1. Please construct a linear regression model for each of the three stocks with the S&P500. Interpret and compare the values of Beta by writing a brief summary. Assuming the annual risk-free rate is 2%. 1.82 5.31 024 2.14 1.37 1.61 -1.24 -1.34 0.21 0.08 0.11 0.08 0.16 0.24 0.27 0.20 0.03 0.05 202 0.04 0.11 0.25 3.00 2.51 -1.90 4.04 -1.25 2.33 4.52 0.60 2.01 200 5.57 0.00 0.89 0.16 0.40 0.01 0.35 2. Based on the return data, please construct the min-variance portfolio and optimal portfolio. 0.08 0.49 0.33 0.45 3.10 Date 22 May 08 15-May-08 8-May-08 1-May-08 24 Apr 08 17.Apr 08 10 Apr 08 3.Apr 08 27-Mar 08 20 Mar 08 13-Mar-08 6 Mar 08 27-Feb-08 21-Feb-08 13-Feb-08 6-Feb 08 30 Jan 08 23 Jan 08 17 Jan 08 9 Jan 08 3-Jan-08 27-Dec 05 19-Dec 05 12 Dec 05 5-Dec 05 28- Nov.05 21- Nov.05 14 Nov 05 7-Nov 05 31-Oct-05 24-Oct-05 17-Oct-05 10-Oct-05 3-00105 26-Sep-05 19 Sep 05 12 Sep 05 6-Sep-05 29 Aug 05 22 Aug 05 15 Aug 05 8.Aug 05 1 Aug 05 25 Jul-05 18-Jul-05 11-Jul-05 5 Jul-05 27-Jun-05 20-Jun-05 13-Jun-05 6-Jun-05 31-May-05 23-May-05 16-May-05 9 May 05 2-May-05 25 Apr 05 18 Apr 05 11 Apr 05 4.Apr 05 28- Mar-05 21- Mar-05 14 Mar 05 7-Mar 05 28-Feb-05 22 Feb 05 14-Feb-05 7-Feb-05 31 Jan 05 24-Jan-05 18-Jan-05 10 Jan-05 3-Jan-05 27-Dec 04 20-Dec 04 13-Dec 04 6-Dec 04 29 Nov 04 22 Nov 04 15 Nov 04 8-Nov 04 1 Nov 04 25-Oct-04 18-Oct-04 11-Oct-04 4-Oct- 04 27-Sep-04 20 Sep 04 13-Sep-04 7-Sep-04 30 Aug 04 23 Aug 04 16 Aug 04 4.38 0.30 0.46 0.47 0.26 0.39 SO si 52 53 54 SS 56 57 S8 59 60 61 62 63 64 0.39 -1.43 0.71 3.37 1.92 3.20 1.99 1.34 0.17 0.19 0.41 3.72 3.85 0.71 -1.87 -1.79 0.85 3.30 -1.54 0.00 283 3.14 2.33 1.19 2.55 1.98 -1.09 -1.81 0.00 221 0.52 1.02 -1.08 0.40 4.33 0.13 0.89 0.63 1.62 0.69 0.79 3.11 7.18 3.44 1.00 -0.48 2.88 4.09 1.33 -1.39 -1.31 -1.91 -123 1.98 1.50 2.98 037 OOS 0.02 0.28 0.13 0.48 0.14 0.26 0.26 0.29 OLOS 0.16 038 66 67 0.44 0.33 1 -0.29 1.93 1.07 -1.20 0.87 0.32 0.63 0.04 0.47 1.33 1.46 024 2.09 1.57 0.17 0.23 0.80 3.05 -1.48 1.25 0.41 0.83 3.27 0.71 0.13 -1.53 0.87 -1.80 0.89 0.81 0.31 0.19 2.70 0.30 -1.41 0.14 2.12 0.15 1.33 0.52 0.27 0.72 1.05 -1.17 1.54 3.18 3.14 -1.12 -1.24 0.83 1.93 -1.63 0.41 0.92 0.53 0.88 3.15 0.08 3.43 1.43 -1.38 -1.03 -1.12 0.80 0.40 0.21 0.25 0.40 4.11 0.78 -1.30 0.27 1.48 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 0.49 0.34 0.30 0.20 0.20 0.45 0.12 0.02 0.05 0.67 4.74 0.02 0.19 3.70 0.44 0.13 0.49 0.22 -5.61 2.84 0.08 227 0.00 0.99 1.79 -1.25 0.37 3.62 4.84 1.75 0.92 4.12 -1.68 1.99 -1.08 0.24 221 2.56 2.22 522 6.40 0.53 3.37 2.75 -1.17 6.07 0.16 0.18 -1.03 0.00 0.54 0.62 0.62 -1.81 0.38 0.57 -1.99 2.58 4.04 3.18 0.27 0.97 1.72 -0.33 -1.11 025 0.34 0.03 0.20 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 9Aug 04 0.14 0.39 0.50 0.17 2 Aug 04 28 Ju-04 19 Jul-04 - 12 Ju-04 bu-04 28 Jun 04 0.36 0.43 0.27 0.25