This problem continues using the data from the previous problem. The file P07_40.xlsx includes all of the previous data and contains investment weights in row 3 for creating a portfolio. These fractions are currently all equal to 1/27, but they can be changed to any values you like, as long as they continue to sum to 1. For any such weights, find the estimated mean, variance, and standard deviation of the resulting portfolio return.

Previous problem

The file P07_39.xlsx contains historical monthly returns for 27 companies. For each company, calculate the estimated mean return and the estimated variance of return. Then calculate the estimated correlations between the companies’ returns. Note that “return” here means monthly return. (Hint: You might want to use StatTools’ Summary Statistics capabilities.)