Year 1 10 9 22 2 32 24 48 3 20 14 30 4 18 -2 -20 5 17 16 29 6 3 4 -3 7 12 8 21 8 -5 0 -15 9 18 12 28 10 21 15 36 covar 105.3777778 61.44444444 beta 0.583087305 alfa beta 10 146 100 146 3080 2013 0.324757486 -0.015394348 alfa 1.486925348 -0.015394348 0.001054407 beta 0.583087305 ##### Sheet/List 2 ##### Day A B C D E Market Index returns!!! 1 570 98.4 669.1 53.9 103.5 333.4 0.001755927 0.002034589 -0.066349017 0.001857011 0.004842624 -0.016362108 2 569 98.2 715 53.8 103 338.9 0.009180855 0.016427474 -0.013889112 0.011215071 0.010737048 -0.023043166 3 563.8 96.6 725 53.2 101.9 346.8 -0.020192065 0.001035733 0.012491488 -0.013072082 0.018821754 -0.002879357 4 575.3 96.5 716 53.9 100 347.8 -0.033837815 -0.00516797 -0.012491488 -0.031052723 -0.015873349 -0.008873681 5 595.1 97 725 55.6 101.6 350.9 -0.012856008 -0.014329826 -0.003442344 -0.024868067 0.003944778 0.008011488 6 602.8 98.4 727.5 57 101.2 348.1 0.001660303 -0.006079046 0.015096194 0.041187558 -0.007874056 -0.003727603 7 601.8 99 716.6 54.7 102 349.4 0.000831186 -0.062642786 -0.006814573 -0.016319492 0.003929278 -0.013644328 8 601.3 105.4 721.5 55.6 101.6 354.2 -0.022203034 -0.103556232 0.004027504 -0.005381179 -0.000983768 -0.019293203 9 614.8 116.9 718.6 55.9 101.7 361.1 -0.021402378 -0.022833973 0.001113896 -0.010676258 0.011869576 -0.031618878 10 628.1 119.6 717.8 56.5 100.5 372.7 -0.001431867 0.054996676 -0.016168389 0.00177148 -0.028447235 0.0029558 11 629 113.2 729.5 56.4 103.4 371.6 0.016672396 0.033231617 0.037571628 0.02695581 0.010695289 -0.063343647 12 618.6 109.5 702.6 54.9 102.3 395.9 -0.030879423 0.041964199 -0.066351565 -0.001819837 -0.00487568 -0.004284821 13 638 105 750.8 55 102.8 397.6 -0.027822506 0.000952835 -0.050513822 -0.0286758 0.02961717 -0.02115296 14 656 104.9 789.7 56.6 99.8 406.1 -0.009104767 -0.003805904 -0.011832968 -0.005286356 -0.015904908 0.013386417 15 662 105.3 799.1 56.9 101.4 400.7 -0.011116233 -0.003791474 -0.007356183 0.01594365 0.004943164 0.010284802 16 669.4 105.7 805 56 100.9 396.6 -0.045698047 -0.02614528 -0.077650934 -0.01242252 0.057100117 -0.004026176 17 700.7 108.5 870 56.7 95.3 398.2 -0.011775691 -0.016453753 -0.074830207 -0.005277057 0.371930885 -0.006757628 18 709 110.3 937.6 57 65.7 400.9 -0.005625894 -0.020637789 -0.011874609 0.003514942 -0.414053188 0.004500008 19 713 112.6 948.8 56.8 99.4 399.1 0.007037327 -0.011479155 -0.002841658 0.005295688 0.002014099 -0.004998761 20 708 113.9 951.5 56.5 99.2 401.1 -0.011410933 -0.011410933 -0.007698951 -0.018531903 -0.002479482 0.002233347 -0.009729884 -0.007698951 rf 3%p.a. 0.000119048 0.000267119 0.001223278 0.001071405 0.000329542 0.017556896 0.000311237 -0.018531903 Min. Variance sigma_i 0.016343774 0.034975394 0.032732318 0.018153279 0.132502439 0.017641921 -0.002479482 0.002233347 CM 0.000267119 0.000122378 0.000257158 0.000190277 -0.000253024 -7.66363E-05 0.000122378 0.001223278 -0.000106427 0.00016828 -1.35394E-05 -2.00636E-05 0.000257158 -0.000106427 0.001071405 0.000203278 -0.001495229 -0.000143282 0.000190277 0.00016828 0.000203278 0.000329542 -0.000260157 -5.79076E-05 -0.000253024 -1.35394E-05 -0.001495229 -0.000260157 0.017556896 -0.000351217 -7.66363E-05 -2.00636E-05 -0.000143282 -5.79076E-05 -0.000351217 0.000311237 VRS 0.000534238 0.000244757 0.000514316 0.000380554 -0.000506048 1 0 0.000244757 0.002446556 -0.000212854 0.00033656 -2.70788E-05 1 0 0.000514316 -0.000212854 0.002142809 0.000406556 -0.002990457 1 0 0.000380554 0.00033656 0.000406556 0.000659083 -0.000520315 1 0 -0.000506048 -2.70788E-05 -0.002990457 -0.000520315 0.035113793 1 0 1 1 1 1 1 0 1 wi 0.518336137 0.091635004 0.073795974 0.285903523 0.030329362 3135.688208 -308.3583546 -723.9039686 -2041.711841 -61.71404383 0.518336137 1 0.518336137 -308.3583546 450.2517943 127.2654861 -269.300585 0.141659233 0.091635004 2 0.091635004 7.17675E-05 5.8127E-06 9.83657E-06 2.81979E-05 -3.97774E-06 -723.9039686 127.2654861 713.6362945 -162.9241314 45.92631946 0.073795974 3 0.073795974 5.8127E-06 1.02718E-05 -7.1969E-07 4.40873E-06 -3.76292E-08 -2041.711841 -269.300585 -162.9241314 2488.708704 -14.77214575 0.285903523 4 0.285903523 9.83657E-06 -7.1969E-07 5.8347E-06 4.28886E-06 -3.3466E-06 -61.71404383 0.141659233 45.92631946 -14.77214575 30.41821088 0.030329362 5 0.030329362 2.81979E-05 4.40873E-06 4.28886E-06 2.6937E-05 -2.25589E-06 0.518336137 0.091635004 0.073795974 0.285903523 0.030329362 -0.000430751 lambda1 -0.000430751 -3.97774E-06 -3.76292E-08 -3.3466E-06 -2.25589E-06 1.61501E-05 proof 1 VarP 0.000215376 Rp -0.008628929 sigma_p 0.01467568 1.260247252 0.172302052 0.341558317 -0.806574801 0.032467179 Zi wi VRS Tangency P 7518.836014 -396.1822772 -1270.206012 -3395.350697 -50.43558186 1 -51.18784971 1 1.260247252 -0.011529981 0.000424244 2.65736E-05 0.000110693 -0.000193414 -1.03529E-05 -396.1822772 939.4911725 285.9286541 -416.9589258 13.18743242 2 -6.998445376 2 0.172302052 -0.007817998 2.65736E-05 3.63167E-05 -6.26335E-06 -2.33866E-05 -7.57417E-08 -1270.206012 285.9286541 1452.557932 -227.8867038 102.2446465 3 -13.87317906 3 0.341558317 -0.018650951 0.000110693 -6.26335E-06 0.000124992 -5.60015E-05 -1.65812E-05 -3395.350697 -416.9589258 -227.8867038 5356.944275 10.71686928 4 32.76089641 4 -0.806574801 -0.00259853 -0.000193414 -2.33866E-05 -5.60015E-05 0.000214388 6.81279E-06 -50.43558186 13.18743242 102.2446465 10.71686928 65.10742655 5 -1.318729397 5 0.032467179 0.0021143 -1.03529E-05 -7.57417E-08 -1.65812E-05 6.81279E-06 1.8507E-05 VarP 0.000494457 sum_Zi -40.61730713 Proof 1 abs_val 40.61730713 wi_absV -1.260247252 -0.172302052 -0.341558317 0.806574801 -0.032467179 Rp -0.01996447 -1.260247252 -0.172302052 0.000424244 2.65736E-05 0.000110693 -0.000193414 -1.03529E-05 sigma_p 0.022236392 -0.341558317 2.65736E-05 3.63167E-05 -6.26335E-06 -2.33866E-05 -7.57417E-08 0.806574801 0.000110693 -6.26335E-06 0.000124992 -5.60015E-05 -1.65812E-05 -0.032467179 -0.000193414 -2.33866E-05 -5.60015E-05 0.000214388 6.81279E-06 abs_V_in_sumZi -1.03529E-05 -7.57417E-08 -1.65812E-05 6.81279E-06 1.8507E-05 Rp 0.01996447 VarP 0.000494457 sigma_p 0.022236392