Question: Use the data below of the monthly return data for seven (7) stocks. CALCULATE IN EXCEL a. Use these returns and the Matrix of Excess
Use the data below of the monthly return data for seven (7) stocks. CALCULATE IN EXCEL a. Use these returns and the Matrix of Excess Returns to compute the Variance-Covariance Matrix for these seven (7) stocks. (Do not use the varcovar VBA function). b. Use the Variance - Covariance Matrix for these seven (7) stocks to compute the individual stock proportions for the Global Minimum Variance Portfolio (GMVP). c. Calculate the Expected Return and Risk (Standard Deviation) for the Global Minimum Variance Portfolio (GMVP)
| Month | Stock A | Stock B | Stock C | Stock D | Stock E | Stock F | Stock G |
| 1 | -2.90% | -9.51% | 1.94% | -16.18% | -3.23% | 4.31% | 2.40% |
| 2 | 4.79% | 10.51% | 10.47% | 12.03% | 16.66% | 7.61% | 5.20% |
| 3 | 2.91% | 7.93% | 12.07% | 8.29% | -0.72% | -0.56% | 4.00% |
| 4 | 4.25% | -7.34% | -10.77% | -12.40% | 2.16% | -5.94% | -0.50% |
| 5 | 5.30% | -14.27% | 5.18% | 3.30% | 13.38% | 14.35% | 9.00% |
| 6 | -0.88% | 3.70% | -1.64% | 7.31% | 10.56% | 6.54% | 1.90% |
| 7 | 3.54% | 1.78% | 7.50% | 16.59% | -3.93% | -0.90% | -0.40% |
| 8 | 3.76% | -15.77% | 4.65% | 19.34% | 5.85% | -1.45% | -2.30% |
| 9 | 2.94% | -4.16% | 2.96% | 6.42% | -2.76% | 10.47% | 2.10% |
| 10 | 2.86% | -4.34% | -0.72% | 0.00% | 5.11% | -6.24% | 2.40% |
| 11 | -0.86% | -15.88% | 14.50% | 6.32% | 1.08% | -1.44% | -6.70% |
| 12 | 0.41% | 35.06% | 1.90% | 6.76% | 3.74% | -13.12% | 1.30% |
| 13 | -2.85% | 21.97% | 3.73% | 12.15% | 2.06% | 2.76% | 2.60% |
| 14 | -3.05% | 11.46% | -5.39% | 4.74% | -4.55% | -6.39% | -2.50% |
| 15 | 4.85% | 29.49% | 22.15% | 25.86% | 17.46% | 17.24% | 9.80% |
| 16 | 1.26% | 14.75% | -2.59% | 4.11% | -0.45% | -2.66% | -0.70% |
| 17 | 5.82% | -6.92% | -5.32% | -12.50% | -1.81% | 18.13% | -0.30% |
| 18 | -7.20% | 0.00% | -24.99% | -7.52% | -11.98% | -5.49% | -9.00% |
| 19 | -0.86% | -25.57% | -0.38% | 2.44% | -2.09% | -0.53% | -4.90% |
| 20 | 5.10% | 21.51% | 0.75% | 1.19% | 12.84% | 3.01% | -0.40% |
| 21 | 1.69% | 23.49% | 11.94% | 13.33% | -2.37% | 11.90% | 6.40% |
| 22 | -0.83% | 40.97% | 2.66% | 4.16% | 9.71% | 0.00% | 2.70% |
| 23 | 0.86% | 22.31% | 18.83% | 30.40% | -1.77% | 11.30% | 4.40% |
| 24 | 4.66% | 11.58% | 4.37% | 5.73% | 5.86% | 17.59% | 7.20% |
| 25 | 4.45% | 12.89% | -2.10% | 2.29% | 6.81% | 1.90% | 2.40% |
| 26 | 0.34% | -17.99% | 5.35% | -6.71% | 11.55% | 1.87% | 0.30% |
| 27 | 0.00% | 5.87% | 13.20% | 10.86% | 7.14% | 8.65% | 4.30% |
| 28 | 1.18% | -1.01% | -16.59% | -6.89% | -2.67% | -5.73% | -4.60% |
| 29 | 6.25% | 17.36% | 1.08% | 7.89% | 8.90% | 11.49% | 4.70% |
| 30 | 0.37% | 13.46% | 5.32% | 15.99% | 0.31% | 6.43% | 2.40% |
| 31 | 5.95% | 2.32% | -14.65% | 4.40% | -1.57% | -0.57% | -1.60% |
| 32 | 0.00% | -25.48% | -3.83% | 5.48% | 6.69% | 9.98% | 1.30% |
| 33 | 6.43% | -5.52% | 0.91% | 3.59% | 4.18% | -6.88% | -4.00% |
| 34 | 7.72% | 9.03% | 19.51% | 14.40% | 3.15% | 26.55% | 11.40% |
| 35 | -6.22% | 24.39% | 22.21% | 8.09% | 3.89% | -13.09% | -1.90% |
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