Note: GMVP is the global minimum variance portfolio

SIM is single index model

1. Below you will find annual return data for six furniture companies for the years 1982- 1992. Use these data to calculate the variance-covariance matrix of the returns. A H 1 4 5 6 7 8 9 10 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 C D ET DATA FOR 6 FURNITURE COMPANIES Leggett Herman Shaw La-z-Boy Kimball Flexsteel & Platt Miller Industries 36.67% 0.20% 41.54% 21.92% 26.13% 22.50% 122.82% 61.43% 195.09% 62.27% 73.38% 117.89% 63.51% -38.38% - 1.27% 45.15% 7.80% 21.39% 28.42% 1.30% 81.17% 24.27% 38.14% 45.36% -7.44% 21.89% 19.83% 10.73% 54.48% 20.19% 48.27% 9.11% -10.21% -11.92% 26.82% -8.94% -11.28% 12.65% 13.77% 7.06% -6.24% 27.02% 12.85% 12.08% 32.55% -7.55% 123.03% -11.64% 2.42% -17.13% -6.48% 1.31% 15.48% 20.29% 6.90% 3.62% 50.12% -5.54% 19.92% 22.21% 33.46% 84.40% 5.71% 62.76% 12 13 15 Beta 16 Mean returns 0.80 29.24% 0.95 20.68% 0.65 25.02% 0.85 31.64% 0.85 15.34% 1.40 43.87%