Theoretical price of stock Stock-i 1-day returns Variance 2-day returns Variance Trading day Company 1 Company 2 Company 3 1 100 200 1000 2 110 210 1050 0.09531018 0.048790164 0.048790164 0.010072302 0.00133902 0.003796222 3 121 205 1080 0.09531018 -0.024097552 0.028170877 0.010072302 0.001317334 0.001680524 0.19062036 0.024692613 0.076961041 0.06062548 0.014541137 0.010758112 4 95 150 1020 -0.241913654 -0.312374685 -0.057158414 0.05610407 0.10534713 0.0019656 -0.146603474 -0.336472237 -0.028987537 0.008281257 0.057877876 4.96069E-06 5 98 210 950 0.031090587 0.336472237 -0.071095922 0.001306191 0.105154078 0.003395696 -0.210823067 0.024097552 -0.128254336 0.024093561 0.014397978 0.010301044 E(ri) -0.005050677 0.012197541 -0.012823324 Var (sample_) 0.025851621 0.071052521 0.003612681 E(ri) -0.055602061 -0.095894024 -0.026760277 Var 0.046500149 0.043408496 0.010532058 sigma 0.160784394 0.266556787 0.06010558 sigma 0.215638932 0.208347056 0.102625817 0.025851621 0.071052521 0.003612681 0.160784394 0.266556787 0.06010558 ##### Sheet/List 2 ##### Year 2020 2021 fce in excel Company I. II. III. IV. I. II. III. IV. II. III. IV. I. II. III. IV. E(ri) Var sigma A 1010 1055 1100 1031 988 1065 918 1060 0.043590436 0.041769413 -0.064780975 -0.042601786 0.07504738 -0.148532688 0.143826796 0.006902654 0.001345993 0.001215691 0.005138543 0.00245069 0.004643704 0.024160145 0.018748221 0.009617164 0.098067142 0.009617164 0.098067142 B 2650 3000 3848 3228 3638 4205 3979 4731 0.124052649 0.248941244 -0.175690782 0.11957133 0.144840213 -0.055243762 0.173106065 0.082796708 0.001702053 0.027604007 0.066815783 0.001352373 0.003849397 0.019055171 0.00815578 0.021422427 0.146364023 0.021422427 0.146364023 C 1505 2030 2190 2325 2250 2443 1700 1796 0.299242895 0.075865751 0.059818495 -0.032789823 0.082296576 -0.362598541 0.054933719 0.025252725 0.075070613 0.002561678 0.001194793 0.003368937 0.003254001 0.150428604 0.000880961 0.039459931 0.19864524 0.039459931 0.19864524 D 178 300 325 396 351 370 335 327 0.521998924 0.080042708 0.197589029 -0.120627988 0.052716782 -0.099372474 -0.024170361 0.086882374 0.189326412 4.6781E-05 0.012255963 0.04306055 0.001167288 0.034690868 0.01233271 0.048813429 0.220937613 0.048813429 0.220937613 E 281 372 358 494 460 539 443 468 0.280539185 -0.038360868 0.322002531 -0.071309028 0.158489081 -0.196145801 0.054898526 0.072873375 0.043125089 0.012373057 0.062065336 0.020788565 0.007330049 0.072371317 0.000323095 0.036396085 0.190777579 0.036396085 0.190777579 F 2645 3125 3400 3330 3400 3425 3475 4100 0.166763218 0.084341148 -0.020803128 0.020803128 0.00732604 0.014493007 0.165392495 0.062616558 0.010846527 0.000471958 0.006958844 0.001748363 0.003057041 0.002315876 0.010562893 0.005993584 0.077418239 0.005993584 0.077418239 G 547 800 803 1070 975 952 997 944 0.380162925 0.003742986 0.287059214 -0.092976456 -0.023872436 0.046185735 -0.054624604 0.077953909 0.091330289 0.005507261 0.043725028 0.02921719 0.010368605 0.001009217 0.017577062 0.033122442 0.18199572 0.033122442 0.18199572 Covariance A 0.036687782 0.034866759 -0.071683629 -0.04950444 0.068144726 -0.155435341 0.136924143 B 0.041255941 0.166144536 -0.25848749 0.036774622 0.062043505 -0.13804047 0.090309357 C 0.27399017 0.050613026 0.034565771 -0.058042547 0.057043852 -0.387851266 0.029680994 Covariance Matrix D 0.43511655 -0.006839667 0.110706655 -0.207510362 -0.034165592 -0.186254848 -0.111052735 A B C D E F G E 0.20766581 -0.111234243 0.249129156 -0.144182403 0.085615706 -0.269019176 -0.017974849 A 0.009617164 0.010344194 0.013408241 0.004913066 0.006367961 0.005068834 -0.003030327 F 0.10414666 0.02172459 -0.083419686 -0.041813431 -0.055290518 -0.048123551 0.102775936 B 0.010344194 0.021422427 0.011400388 -0.000978463 -0.006464734 0.006737595 -0.012350713 G 0.302209016 -0.074210923 0.209105304 -0.170930366 -0.101826345 -0.031768174 -0.132578513 C 0.013408241 0.011400388 0.039459931 0.033622776 0.029489718 0.007956581 0.01646218 Covar fce-excel D 0.004913066 -0.000978463 0.033622776 0.048813429 0.032966067 0.00734128 0.035790339 A*A 0.001345993 0.001215691 0.005138543 0.00245069 0.004643704 0.024160145 0.018748221 0.009617164 0.009617164 0.009617164 E 0.006367961 -0.006464734 0.029489718 0.032966067 0.036396085 0.001803784 0.024994008 A*B 0.001513589 0.005792921 0.018529321 -0.001820507 0.004227938 0.021456368 0.012365531 0.010344194 0.010344194 F 0.005068834 0.006737595 0.007956581 0.00734128 0.001803784 0.005993584 0.002183082 A*C 0.010052092 0.001764712 -0.0024778 0.002873364 0.003887238 0.060285794 0.004064045 0.013408241 0.013408241 G -0.003030327 -0.012350713 0.01646218 0.035790339 0.024994008 0.002183082 0.033122442 A*D 0.015963461 -0.000238477 -0.007935855 0.010272684 -0.002328205 0.028950586 -0.015205801 0.004913066 0.004913066 A*E 0.007618798 -0.003878378 -0.017858482 0.007137669 0.005834259 0.041815087 -0.002461191 0.006367961 0.006367961 Correl Matrix 0.098067142 0.146364023 0.19864524 0.220937613 0.190777579 0.077418239 0.18199572 A*F A B C D E F G A*G 0.098067142 A 1 0.720673878 0.688287867 0.226756317 0.340368617 0.667638298 -0.169787138 0.146364023 B 0.720673878 1 0.392109307 -0.030258016 -0.231520241 0.594603268 -0.463656671 B*B 0.001702053 0.027604007 0.066815783 0.001352373 0.003849397 0.019055171 0.00815578 0.021422427 0.021422427 0.19864524 C 0.688287867 0.392109307 1 0.76610051 0.778153237 0.51737455 0.455352787 B*C 0.011303722 0.008409078 -0.008934819 -0.002134493 0.003539201 0.053539171 0.002680472 0.011400388 0.011400388 0.220937613 D 0.226756317 -0.030258016 0.76610051 1 0.782114164 0.429199152 0.890092167 B*D 0.017951143 -0.001136373 -0.028616285 -0.007631115 -0.002119753 0.025710707 -0.010029101 -0.000978463 -0.000978463 0.190777579 E 0.340368617 -0.231520241 0.778153237 0.782114164 1 0.122127651 0.719858925 B*E 0.008567448 -0.018480962 -0.06439677 -0.005302253 0.005311899 0.037135534 -0.001623297 -0.006464734 -0.006464734 0.077418239 F 0.667638298 0.594603268 0.51737455 0.429199152 0.122127651 1 0.154940723 B*F 0.004296668 0.003609422 0.021562945 -0.001537673 -0.003430418 0.006642998 0.009281629 0.006737595 0.006737595 0.18199572 G -0.169787138 -0.463656671 0.455352787 0.890092167 0.719858925 0.154940723 1 B*G 0.012467917 -0.012329739 -0.054051105 -0.0062859 -0.006317663 0.004385294 -0.01197308 -0.012350713 -0.012350713 1 0.720673878 0.688287867 0.226756317 0.340368617 0.667638298 -0.169787138 0.720673878 1 0.392109307 -0.030258016 -0.231520241 0.594603268 -0.463656671 0.688287867 0.392109307 1 0.76610051 0.778153237 0.51737455 0.455352787 0.226756317 -0.030258016 0.76610051 1 0.782114164 0.429199152 0.890092167 0.340368617 -0.231520241 0.778153237 0.782114164 1 0.122127651 0.719858925 0.667638298 0.594603268 0.51737455 0.429199152 0.122127651 1 0.154940723 -0.169787138 -0.463656671 0.455352787 0.890092167 0.719858925 0.154940723 1