Security i Return v% Excessive Return Var_M 10 c*=LAST C_n SHORT SELLING ALLOWED!!! Security E(ri) E(ri)-rf beta_i var_eps_i (E(ri)-rf)/beta_i (ri-rf)*beta_i/var_eps_i beta_i^2/var_eps_i accum accum Ci Selection Zi wi Zi Wi 1 15 10 1 50 10 0.2 0.02 0.2 0.02 1.666666667 long 0.090978887 0.234769688 0.109654289 6.154509522 2 17 12 1.5 40 8 0.45 0.05625 0.65 0.07625 3.687943262 long 0.095585413 0.246656761 0.130601793 7.330219188 3 12 7 1 20 7 0.35 0.05 1 0.12625 4.419889503 long 0.077447217 0.199851412 0.124135723 6.967301473 4 17 12 2 10 6 2.4 0.4 3.4 0.52625 5.429141717 long 0.109788868 0.283308569 0.296542894 16.64390945 5 11 6 1 40 6 0.15 0.025 3.55 0.55125 5.451055662 long C* 0.013723608 0.035413571 0.037067862 2.080488681 6 11 6 1.5 30 4 0.3 0.075 3.85 0.62625 5.301204819 short -0.025864277 -1.451670859 7 11 6 2 40 3 0.3 0.1 4.15 0.72625 5.02269289 short -0.075864277 -4.257994969 8 7 2 0.8 16 2.5 0.1 0.04 4.25 0.76625 4.906204906 short -0.100864277 -5.661157025 9 7 2 1 20 2 0.1 0.05 4.35 0.81625 4.747612551 short -0.125864277 -7.06431908 10 5.6 0.6 0.6 6 1 0.06 0.06 4.41 0.87625 4.517285531 short -0.351728553 -19.74128638 " , " Sum_Zi 0.387523992 1 Sum_Zi 0.017816901 1 Rp 15.31872214 Rp 343.9349623 Beta_p 1.406636949 Beta_p 25.3539346 Sys_var_p Sys_var_p 6428.219999 Unsys_var_p Unsys_var_p 12595.00713 Var_p Var_p 19023.22713 Sigma_p Sigma_p 137.9247154 ##### Sheet/List 2 ##### i v% (ri-rf)/beta_i accum accum Ci selection Zi wi SHORT SELLING ALLOWED Zi wi 1 19 1 20 16 0.8 0.05 0.8 0.05 5.333333333 long 0.32345679 0.337411462 0.454271357 0.468066378 3 11 0.5 10 16 0.4 0.025 1.2 0.075 6.857142857 long 0.32345679 0.337411462 0.454271357 0.468066378 2 23 1.5 30 13.33333333 1 0.075 2.2 0.15 8.8 long 0.190123457 0.198325821 0.320938023 0.330684064 6 9 0.5 50 12 0.06 0.005 2.26 0.155 8.862745098 long 0.024691358 0.0257566 0.050854271 0.052398581 4 25 2 40 11 1.1 0.1 3.36 0.255 9.464788732 long 0.07345679 0.076625885 0.204271357 0.210474539 5 13 1 20 10 0.5 0.05 3.86 0.305 9.530864198 long C* 0.02345679 0.02446877 0.154271357 0.158956171 7 14 1.5 30 7.333333333 0.55 0.075 4.41 0.38 9.1875 short C* 0.020938023 0.021573856 8 10 1 50 7 0.14 0.02 4.55 0.4 9.1 short 0.001708543 0.001760427 9 9.5 1 50 6.5 0.13 0.02 4.68 0.42 9 short -0.008291457 -0.008543247 11 11 1.5 30 5.333333333 0.4 0.075 5.08 0.495 8.537815126 short -0.079061977 -0.08146288 10 13 2 20 5 1 0.2 6.08 0.695 7.647798742 short -0.191457286 -0.197271339 12 8 1 20 5 0.25 0.05 6.33 0.745 7.49112426 short -0.095728643 -0.098635669 14 7 1 20 4 0.2 0.05 6.53 0.795 7.296089385 short -0.145728643 -0.150154037 13 10 2 40 3.5 0.35 0.1 6.88 0.895 6.914572864 short -0.170728643 -0.175913221 Unsystematic risk sum_Zi 0.958641975 1 sum_Zi 0.970527638 1 Security Return Beta v % "," Rp 17.14938828 Rp 22.62616822 Beta_p 0.994204765 Beta_p 0.712455019 rf 3 var_M 10 Sys_Var_p 9.884431147 Sys_Var_p 5.075921534 Unsys_Var_p 4.875394362 Unsys_Var_p 15.1462416 Var_p 14.75982551 Var_p 20.22216313 Sigma_p 3.841851833 Sigma_p 4.496905951 4.463833855 5.031496872