A B C D E F G H

1 FIVE YEARS OF PRICES FOR 10 STOCKS AND THE SP500

2 Arcelor- General
McDonalds US Steel Mittal Microsof Apple Kellogg Electric

3 Market value ($
billion) 91.72 2.92 22.72 249.84 568.71 17.51 207.72
4
5 Date MCD X MT MSFT AAPL K GE
6 1-Feb-07 37.57 84.74 44.84 25.53 84.61 43.45 28.97
7 1-Mar-07 38.74 94.76 46.63 25.26 92.91 44.83 29.34
8 2-Apr-07 41.52 97.03 47.10 27.14 99.80 46.12 30.59
9 1-May-07 43.47 108.33 53.19 27.91 121.19 47.31 31.18
10 1-Jun-07 43.65 104.10 55.32 26.80 122.04 45.39 32.00
11 2-Jul-07 41.17 94.09 54.10 26.36 131.76 45.41 32.40
12 1-Aug-07 42.35 90.65 58.99 26.22 138.48 48.42 32.49
13 4-Sep-07 46.84 101.65 69.82 26.88 153.47 49.36 34.84
14 1-Oct-07 51.38 103.53 71.24 33.59 189.95 46.53 34.63
15 1-Nov-07 51.60 93.93 66.07 30.76 182.22 47.91 32.22
16 3-Dec-07 51.99 116.25 69.23 32.59 198.08 46.48 31.46
17 2-Jan-08 47.29 98.03 59.42 29.84 135.36 42.38 30.01
18 1-Feb-08 48.08 104.53 68.04 25.00 125.02 45.24 28.38
19 3-Mar-08 49.56 122.29 73.58 26.08 143.50 46.88 31.69
20 1-Apr-08 52.94 148.39 80.14 26.21 173.95 45.64 28.00
21 1-May-08 52.71 166.72 89.35 26.12 188.75 46.50 26.31
22 2-Jun-08 50.28 178.37 89.45 25.38 167.44 43.09 23.11
23 1-Jul-08 53.47 154.79 78.93 23.72 158.95 47.62 24.50
24 1-Aug-08 55.79 128.73 70.99 25.27 169.53 49.16 24.33
25 2-Sep-08 55.52 75.08 44.80 24.72 113.66 50.66 22.38
26 1-Oct-08 52.13 35.68 23.82 20.68 107.59 45.53 17.12
27 3-Nov-08 53.33 29.69 21.48 18.85 92.67 39.22 15.07
28 1-Dec-08 56.46 36.33 22.74 18.13 85.35 39.91 14.49
29 2-Jan-09 52.67 29.32 20.87 15.94 90.13 39.77 10.85
30 2-Feb-09 47.87 19.38 18.02 15.16 89.31 35.74 7.84
31 2-Mar-09 50.00 20.81 18.69 17.25 105.12 33.64 9.31
32 1-Apr-09 48.83 26.15 21.99 19.02 125.83 38.67 11.65
33 1-May-09 54.05 33.63 31.13 19.74 135.81 40.03 12.41
34 1-Jun-09 53.11 35.26 31.04 22.46 142.43 43.10 10.88
35 1-Jul-09 50.86 39.22 33.82 22.22 163.39 43.96 12.44
36 3-Aug-09 52.41 43.24 33.61 23.42 168.21 43.93 12.90
37 1-Sep-09 53.19 43.83 35.03 24.44 185.35 45.93 15.33
38 1-Oct-09 54.62 34.07 32.09 26.34 188.50 48.09 13.32
39 2-Nov-09 59.45 44.17 37.23 28.06 199.91 49.41 14.96
40 1-Dec-09 58.69 54.52 43.37 29.09 210.73 49.99 14.22
41 4-Jan-10 58.68 43.95 36.67 26.89 192.06 51.14 15.11
42 1-Feb-10 60.53 52.42 36.40 27.49 204.62 49.36 15.19
 A B C D E F G H
43 1-Mar-10 63.25 62.90 41.82 28.08 235.00 50.57 17.21
44 1-Apr-10 66.92 54.12 36.99 29.28 261.09 52.00 17.84
45 3-May-10 63.92 46.79 29.07 24.85 256.88 50.93 15.46
46 1-Jun-10 62.97 38.21 25.65 22.16 251.53 47.95 13.72
47 1-Jul-10 66.66 43.94 29.43 24.86 257.25 47.71 15.34
48 2-Aug-10 70.36 42.16 27.96 22.72 243.10 47.74 13.78
49 1-Sep-10 71.76 43.50 31.81 23.71 283.75 48.53 15.58
50 1-Oct-10 74.90 42.39 31.24 25.82 300.98 48.29 15.36
51 1-Nov-10 76.00 48.28 30.73 24.61 311.15 47.70 15.18
52 1-Dec-10 74.51 58.02 36.99 27.19 322.56 49.49 17.67
53 3-Jan-11 71.51 57.28 35.38 27.01 339.32 48.73 19.46
54 1-Feb-11 74.06 57.15 35.75 26.05 353.21 52.29 20.35
55 1-Mar-11 74.46 53.62 35.24 24.88 348.51 52.70 19.51
56 1-Apr-11 76.63 47.43 36.14 25.40 350.13 55.91 19.90
57 2-May-11 80.39 45.89 32.79 24.67 347.83 56.04 19.11
58 1-Jun-11 83.13 45.82 34.08 25.64 335.67 54.40 18.50
59 1-Jul-11 85.26 39.80 30.54 27.02 390.48 54.85 17.57
60 1-Aug-11 89.74 30.01 21.74 26.40 384.83 53.84 16.00
61 1-Sep-11 87.16 21.94 15.74 24.70 381.32 52.72 15.07
62 3-Oct-11 92.16 25.27 20.51 26.43 404.78 53.73 16.55
63 1-Nov-11 95.52 27.26 18.89 25.58 382.20 49.16 15.76
64 1-Dec-11 100.33 26.42 18.19 25.96 405.00 50.57 17.91
65 3-Jan-12 99.05 30.14 20.52 29.53 456.48 49.52 18.71
66 1-Feb-12 99.99 31.01 23.30 30.77 493.17 50.21 19.13
 I J K L M
KS AND THE1 SP500
2 Bank of
America Pfizer Exxon S&P500

3
80.61 168.03
4
5 BAC PFE XOM ^GSPC
6 44.68 19.57 64.20 1406.82
7 44.85 19.80 67.58 1420.86 0.0099305
8 44.74 20.74 71.10 1482.37 0.0423798
9 45.07 21.78 74.81 1530.62 0.0320307
10 43.45 20.26 75.45 1503.35 -0.0179769
11 42.14 18.63 76.58 1455.27 -0.0325045
12 45.04 19.92 77.42 1473.99 0.0127816
13 45.24 19.59 83.59 1526.75 0.0351683
14 43.45 19.73 83.08 1549.38 0.0147136
15 41.52 19.29 80.83 1481.14 -0.0450428
16 37.67 18.45 84.94 1468.36 -0.0086659
17 40.31 18.96 77.70 1378.55 -0.0631139
18 36.28 18.34 79.23 1330.63 -0.0353797
19 35.19 17.23 77.01 1322.70 -0.0059774
20 34.85 16.55 84.74 1385.59 0.0464509
21 31.57 16.19 81.18 1400.38 0.0106176
22 22.59 14.61 80.60 1280.00 -0.0898836
23 31.14 15.61 73.56 1267.38 -0.0099083
24 29.48 16.25 73.55 1282.83 0.0121168
25 33.79 15.68 71.39 1166.36 -0.0951808
26 23.34 15.06 68.14 968.75 -0.1856365
27 15.69 14.21 74.10 896.24 -0.0777983
28 13.90 15.32 73.81 903.25 0.0077911
29 6.50 12.61 70.71 825.88 -0.0895499
30 3.90 10.88 63.09 735.09 -0.1164565
31 6.75 12.04 63.28 797.87 0.0819527
32 8.84 11.81 61.95 872.81 0.0897722
33 11.16 13.58 64.83 919.14 0.0517206
34 13.08 13.41 65.35 919.32 0.0001958
35 14.66 14.24 65.80 987.48 0.071522
36 17.43 15.08 65.03 1020.62 0.0330093
37 16.78 14.94 64.53 1057.08 0.0351001
38 14.46 15.37 67.40 1036.19 -0.0199599
39 15.72 16.56 71.01 1095.63 0.055779
40 14.94 16.58 64.50 1115.10 0.0176145
41 15.06 17.01 60.95 1073.87 -0.0376751
42 16.53 16.15 61.89 1104.49 0.0281147
 I J K L M
43 17.72 15.78 63.77 1169.43 0.0571328
44 17.70 15.38 64.52 1186.69 0.0146515
45 15.63 14.16 57.96 1089.41 -0.0855317
46 14.28 13.26 54.71 1030.71 -0.0553884
47 13.95 13.95 57.21 1101.60 0.0665158
48 12.38 14.96 57.07 1049.33 -0.0486118
49 13.03 16.14 59.65 1141.20 0.0839285
50 11.39 16.38 64.19 1183.26 0.036193
51 10.89 15.48 67.58 1180.55 -0.0022929
52 13.28 16.63 71.04 1257.64 0.0632565
53 13.66 17.30 78.38 1286.12 0.022393
54 14.22 18.47 83.53 1327.22 0.0314566
55 13.28 19.49 82.16 1325.83 -0.0010479
56 12.23 20.13 85.92 1363.61 0.0280969
57 11.70 20.79 81.98 1345.20 -0.0135929
58 10.92 19.96 79.93 1320.64 -0.0184262
59 9.68 18.65 78.37 1292.28 -0.0217084
60 8.15 18.60 73.18 1218.89 -0.0584675
61 6.11 17.32 71.81 1131.42 -0.0744671
62 6.82 18.87 77.20 1253.30 0.1023066
63 5.44 19.86 80.00 1246.96 -0.0050715
64 5.56 21.42 84.30 1257.60 0.0084966
65 7.13 21.18 83.28 1312.41 0.04266
66 8.18 21.14 84.88 1351.95 0.0296829
date MCD X MT MSFT AAPL K GE BAC
1-Feb-07
1-Mar-07 0.030667 0.11176 0.039144 -0.01063 0.093579 0.031267 0.012691 0.003798
2-Apr-07 0.069303 0.023673 0.010029 0.071787 0.071537 0.028369 0.041721 -0.00246
1-Nov-11 0.035809 0.075803 -0.08228 -0.03269 -0.0574 -0.08889 -0.04891 -0.22608
1-Dec-11 0.049129 -0.0313 -0.03776 0.014746 0.057943 0.028278 0.127884 0.021819
3-Jan-12 -0.01284 0.131732 0.120528 0.12885 0.119658 -0.02098 0.043699 0.248713
1-Feb-12 0.009445 0.028457 0.127053 0.041133 0.077309 0.013838 0.0222 0.137381

average 0.016314 -0.01675 -0.01091 0.003111 0.02938 0.00241 -0.00692 -0.0283

MCD X MT MSFT AAPL K GE BAC

MCD 0.002015 0.003676 0.002833 0.001507 0.001701 0.000674 0.002013 0.00312
X 0.003676 0.038041 0.028382 0.007567 0.011073 0.003088 0.01271 0.017614
MT 0.002833 0.028382 0.026745 0.006534 0.009678 0.003105 0.010215 0.013302
MSFT 0.001507 0.007567 0.006534 0.006274 0.004884 0.000985 0.004643 0.00793
AAPL 0.001701 0.011073 0.009678 0.004884 0.012579 0.001631 0.004906 0.004902
K 0.000674 0.003088 0.003105 0.000985 0.001631 0.002646 0.002751 0.004649
GE 0.002013 0.01271 0.010215 0.004643 0.004906 0.002751 0.01218 0.016323
BAC 0.00312 0.017614 0.013302 0.00793 0.004902 0.004649 0.016323 0.039298
PFE 0.001547 0.004336 0.003751 0.001787 0.000675 0.001142 0.004106 0.007988
XOM 0.001087 0.004346 0.003861 0.001449 0.001963 0.000324 0.002214 0.001745

GMVP #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?

mean #NAME?
variance #NAME?
sd 0.03074
 PFE XOM

0.011684 0.051309
0.046382 0.050775
0.051134 0.035627
0.075617 0.052355
-0.01127 -0.01217
-0.00189 0.01903

0.001286 0.004654

PFE XOM
0.001547 0.001087
0.004336 0.004346
0.003751 0.003861
0.001787 0.001449
0.000675 0.001963
0.001142 0.000324
0.004106 0.002214
0.007988 0.001745
0.004055 0.001118
0.001118 0.002611

#NAME? #NAME?
 MCD X MT MSFT AAPL K GE BAC
MCD #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
X #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
MT #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
MSFT #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
AAPL #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
K #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
GE #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
BAC #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
PFE #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
XOM #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?

GMVP #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?

mean #NAME?
variance #NAME?
sd 0.02868
 PFE XOM
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?
#NAME? #NAME?

#NAME? #NAME?
 CONSTANT CORRELATION MATRIX
MCD X MT MSFT AAPL K GE
MCD #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
X #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
MT #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
MSFT #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
AAPL #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
K #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
GE #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
BAC #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
PFE #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
XOM #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?

GMVP #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?

MEAN #NAME?
VARIANCE #NAME?
SIGMA 0.031276
N MATRIX 0.2

BAC PFE XOM

#NAME? #NAME? #NAME?
#NAME? #NAME? #NAME?
#NAME? #NAME? #NAME?
#NAME? #NAME? #NAME?
#NAME? #NAME? #NAME?
#NAME? #NAME? #NAME?
#NAME? #NAME? #NAME?
#NAME? #NAME? #NAME?
#NAME? #NAME? #NAME?
#NAME? #NAME? #NAME?

#NAME? #NAME? #NAME?

 SIMPLE MATRIX
MCD X MT MSFT AAPL K GE
MCD 0.002015 0.003676 0.002833 0.001507 0.001701 0.000674 0.002013
X 0.003676 0.038041 0.028382 0.007567 0.011073 0.003088 0.01271
MT 0.002833 0.028382 0.026745 0.006534 0.009678 0.003105 0.010215
MSFT 0.001507 0.007567 0.006534 0.006274 0.004884 0.000985 0.004643
AAPL 0.001701 0.011073 0.009678 0.004884 0.012579 0.001631 0.004906
K 0.000674 0.003088 0.003105 0.000985 0.001631 0.002646 0.002751
GE 0.002013 0.01271 0.010215 0.004643 0.004906 0.002751 0.01218
BAC 0.00312 0.017614 0.013302 0.00793 0.004902 0.004649 0.016323
PFE 0.001547 0.004336 0.003751 0.001787 0.000675 0.001142 0.004106
XOM 0.001087 0.004346 0.003861 0.001449 0.001963 0.000324 0.002214

DIAGONAL MATRIX
MCD X MT MSFT AAPL K GE
MCD 0.002015 0 0 0 0 0 0
X 0 0.038041 0 0 0 0 0
MT 0 0 0.026745 0 0 0 0
MSFT 0 0 0 0.006274 0 0 0
AAPL 0 0 0 0 0.012579 0 0
K 0 0 0 0 0 0.002646 0
GE 0 0 0 0 0 0 0.01218
BAC 0 0 0 0 0 0 0
PFE 0 0 0 0 0 0 0
XOM 0 0 0 0 0 0 0

SHRINKAGE
0.2 SHRINKAGE MATRIX
MCD X MT MSFT AAPL K GE
MCD 0.002015 0.000735 0.000567 0.000301 0.00034 0.000135 0.000403
X 0.000735 0.038041 0.005676 0.001513 0.002215 0.000618 0.002542
MT 0.000567 0.005676 0.026745 0.001307 0.001936 0.000621 0.002043
MSFT 0.000301 0.001513 0.001307 0.006274 0.000977 0.000197 0.000929
AAPL 0.00034 0.002215 0.001936 0.000977 0.012579 0.000326 0.000981
K 0.000135 0.000618 0.000621 0.000197 0.000326 0.002646 0.00055
GE 0.000403 0.002542 0.002043 0.000929 0.000981 0.00055 0.01218
BAC 0.000624 0.003523 0.00266 0.001586 0.00098 0.00093 0.003265
PFE 0.000309 0.000867 0.00075 0.000357 0.000135 0.000228 0.000821
XOM 0.000217 0.000869 0.000772 0.00029 0.000393 6.49E-05 0.000443

GMVP #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?

mean #NAME?
variance #NAME?
sd #NAME?
X
BAC PFE XOM
0.00312 0.001547 0.001087
0.017614 0.004336 0.004346
0.013302 0.003751 0.003861
0.00793 0.001787 0.001449
0.004902 0.000675 0.001963
0.004649 0.001142 0.000324
0.016323 0.004106 0.002214
0.039298 0.007988 0.001745
0.007988 0.004055 0.001118
0.001745 0.001118 0.002611

BAC PFE XOM

0 0 0
0 0 0
0 0 0
0 0 0
0 0 0
0 0 0
0 0 0
0.039298 0 0
0 0.004055 0
0 0 0.002611

BAC PFE XOM

0.000624 0.000309 0.000217
0.003523 0.000867 0.000869
0.00266 0.00075 0.000772
0.001586 0.000357 0.00029
0.00098 0.000135 0.000393
0.00093 0.000228 6.49E-05
0.003265 0.000821 0.000443
0.039298 0.001598 0.000349
0.001598 0.004055 0.000224
0.000349 0.000224 0.002611

#NAME? #NAME?