PRICE DATA FOR STOCKS AND THE S&P500 COMPUTING THE SAMPLE VARIANCE-COVARIANCE MATRIX Variance-covariance matrix Stock 2 Stock 3 Stock 4 4 Stock 5 Stock 6 HPQ PFE DIS NKE MSFT AAPL HPQ PFE DIS NKE MSFT AAPL 1004 Date Oca. 10 ub. 10 Mar. 10 Nis. 10 May. 10 Haz 10 Tem. 10 Au. 10 Eyl. 10 Eki. 10 Kas. 10 Ara. 10 Oca. 11 ub. 11 Mar. 11 Nis. 11 May 11 Haz 11 Stock1 Hewlett- Packard HPQ 44,77 48,30 50,63 49,50 43,83 41,29 43,93 36,69 40,22 40,20 40,09 40,33 43,77 41,79 39,32 38,75 35,88 35,05 Pfizer Walt Disney PFE DIS 16,54 29,55 15,70 31,24 15,34 34,91 14,96 36,84 13.77 33,42 12,89 31,50 13,56 33,69 14,54 32,54 15,70 33,10 15,92 36,12 15,05 36,51 16,17 37,51 16,83 38,87 17,96 43,74 18,95 43,09 19,57 43,10 20,21 41,63 19,41 39,04 Nike NKE 15,94 16,90 18,38 18,98 18,09 16,89 18,41 17,50 20.04 20,36 21,53 21,36 20,62 22,26 18,93 20,58 21,11 22,50 Microsoft MSFT 28.18 28,67 29,29 30,54 25,80 23,01 25,81 23,46 24.49 26,66 25,26 27,91 27,73 26,58 25,39 25,92 25,01 26,00 Apple AAPL 27,44 29,23 33,57 37,30 36,70 35,93 36,75 34,73 40,54 43,00 44,45 46,08 48,47 50,46 49,79 50,02 49,69 47,95 S&P500 AGSPC 1073,87 1104,49 1169,43 1186,69 1089,41 1030,71 1101,60 1049,33 1141.20 1183,26 1180,55 1257,64 1286,12 1327,22 1325,83 1363,61 1345,20 1320,64 GMVP Tem. 11 Au. 11 Eyl. 11 Eki. 11 Kas. 11 Ara. 11 Oca. 12 ub. 12 Mar. 12 Nis. 12 May. 12 Haz. 12 Tem. 12 Au. 12 Eyl. 12 Eki. 12 Kas. 12 Ara. 12 33,87 25,07 21,74 25,76 27,06 25,05 27,21 24,61 23,29 24,20 22,16 19,77 17,93 16,59 16,90 13,72 12,87 14,25 18,14 18,08 16,85 18,35 19,32 20,83 20,60 20,55 22,02 22,27 21,48 22,59 23,61 23,65 24,63 24,65 25,02 25,08 38,62 34,06 30,16 34,88 35,85 37,50 38,90 41,99 43,78 43,11 45,71 48,50 49,14 49,47 52,28 49,12 49,66 49,79 22,54 21,66 21,38 24,09 24,05 24,09 26,00 26,98 27,11 27,97 27,05 21,95 23,34 24,34 23,73 22,84 24,37 25,80 27,40 26,60 24,89 26,63 25,58 25,96 29,53 31,74 32,26 32,02 29,19 30,59 29,47 30,82 29.76 28,54 26,61 26,71 55,78 54,98 54,47 57,83 54,60 57,86 65,21 77,49 85,65 83,43 82,53 83,43 87,25 95,03 95,30 85,05 83,61 76,02 1292,28 1218,89 1131,42 1253,30 1246,96 1257,60 1312,41 1365,68 1408,47 1397,91 1310,33 1362,16 1379,32 1406,58 1440,67 1412,16 1416,18 1426,19 a. Use the return data in the Excel file (link below) for various stocks and the market. (5 points) Compute the returns of the data and the statistics for each of the assets (mean return, variance and standard deviation of return) b. (10 points) Compute the excess returns and then the sample variance covariance matrix for the six stocks. (10 points) Compute the global minimum variance portfolio (GMVP) weights using the sample variance- covariance matrix. C. PRICE DATA FOR STOCKS AND THE S&P500 COMPUTING THE SAMPLE VARIANCE-COVARIANCE MATRIX Variance-covariance matrix Stock 2 Stock 3 Stock 4 4 Stock 5 Stock 6 HPQ PFE DIS NKE MSFT AAPL HPQ PFE DIS NKE MSFT AAPL 1004 Date Oca. 10 ub. 10 Mar. 10 Nis. 10 May. 10 Haz 10 Tem. 10 Au. 10 Eyl. 10 Eki. 10 Kas. 10 Ara. 10 Oca. 11 ub. 11 Mar. 11 Nis. 11 May 11 Haz 11 Stock1 Hewlett- Packard HPQ 44,77 48,30 50,63 49,50 43,83 41,29 43,93 36,69 40,22 40,20 40,09 40,33 43,77 41,79 39,32 38,75 35,88 35,05 Pfizer Walt Disney PFE DIS 16,54 29,55 15,70 31,24 15,34 34,91 14,96 36,84 13.77 33,42 12,89 31,50 13,56 33,69 14,54 32,54 15,70 33,10 15,92 36,12 15,05 36,51 16,17 37,51 16,83 38,87 17,96 43,74 18,95 43,09 19,57 43,10 20,21 41,63 19,41 39,04 Nike NKE 15,94 16,90 18,38 18,98 18,09 16,89 18,41 17,50 20.04 20,36 21,53 21,36 20,62 22,26 18,93 20,58 21,11 22,50 Microsoft MSFT 28.18 28,67 29,29 30,54 25,80 23,01 25,81 23,46 24.49 26,66 25,26 27,91 27,73 26,58 25,39 25,92 25,01 26,00 Apple AAPL 27,44 29,23 33,57 37,30 36,70 35,93 36,75 34,73 40,54 43,00 44,45 46,08 48,47 50,46 49,79 50,02 49,69 47,95 S&P500 AGSPC 1073,87 1104,49 1169,43 1186,69 1089,41 1030,71 1101,60 1049,33 1141.20 1183,26 1180,55 1257,64 1286,12 1327,22 1325,83 1363,61 1345,20 1320,64 GMVP Tem. 11 Au. 11 Eyl. 11 Eki. 11 Kas. 11 Ara. 11 Oca. 12 ub. 12 Mar. 12 Nis. 12 May. 12 Haz. 12 Tem. 12 Au. 12 Eyl. 12 Eki. 12 Kas. 12 Ara. 12 33,87 25,07 21,74 25,76 27,06 25,05 27,21 24,61 23,29 24,20 22,16 19,77 17,93 16,59 16,90 13,72 12,87 14,25 18,14 18,08 16,85 18,35 19,32 20,83 20,60 20,55 22,02 22,27 21,48 22,59 23,61 23,65 24,63 24,65 25,02 25,08 38,62 34,06 30,16 34,88 35,85 37,50 38,90 41,99 43,78 43,11 45,71 48,50 49,14 49,47 52,28 49,12 49,66 49,79 22,54 21,66 21,38 24,09 24,05 24,09 26,00 26,98 27,11 27,97 27,05 21,95 23,34 24,34 23,73 22,84 24,37 25,80 27,40 26,60 24,89 26,63 25,58 25,96 29,53 31,74 32,26 32,02 29,19 30,59 29,47 30,82 29.76 28,54 26,61 26,71 55,78 54,98 54,47 57,83 54,60 57,86 65,21 77,49 85,65 83,43 82,53 83,43 87,25 95,03 95,30 85,05 83,61 76,02 1292,28 1218,89 1131,42 1253,30 1246,96 1257,60 1312,41 1365,68 1408,47 1397,91 1310,33 1362,16 1379,32 1406,58 1440,67 1412,16 1416,18 1426,19 a. Use the return data in the Excel file (link below) for various stocks and the market. (5 points) Compute the returns of the data and the statistics for each of the assets (mean return, variance and standard deviation of return) b. (10 points) Compute the excess returns and then the sample variance covariance matrix for the six stocks. (10 points) Compute the global minimum variance portfolio (GMVP) weights using the sample variance- covariance matrix. C