Adjusted close price Simple return

Date IBM GE DIS KO IBM GE DIS KO

12/3/2012 191.55 20.99 49.79 36.25 0.78% 0.24% 1.80% -4.40%
11/1/2012 190.07 20.94 48.91 37.92 -1.86% 0.34% 1.10% 2.68%
10/1/2012 193.68 20.87 48.38 36.93 -6.23% -7.24% -6.04% -1.96%
9/4/2012 206.55 22.5 51.49 37.67 6.47% 10.46% 5.69% 2.11%
8/1/2012 194 20.37 48.72 36.89 -0.15% -0.20% 0.66% -7.43%
7/2/2012 194.3 20.41 48.4 39.85 0.21% -0.44% 1.32% 3.32%
6/1/2012 193.9 20.5 47.77 38.57 1.39% 10.10% 6.11% 5.35%
5/1/2012 191.24 18.62 45.02 36.61 -6.46% -2.46% 6.03% -2.09%
4/2/2012 204.44 19.09 42.46 37.39 -0.75% -2.45% -1.53% 3.12%
3/1/2012 205.99 19.57 43.12 36.26 6.05% 5.33% 4.28% 6.71%
2/1/2012 194.23 18.58 41.35 33.98 2.54% 2.77% 7.94% 3.47%
1/3/2012 189.41 18.08 38.31 32.84 4.74% 4.45% 3.74% -3.50%
12/1/2011 180.84 17.31 36.93 34.03 -2.19% 13.66% 6.37% 4.07%
11/1/2011 184.89 15.23 34.72 32.7 2.23% -4.81% 2.75% -0.88%
10/3/2011 180.85 16 33.79 32.99 5.58% 9.81% 15.68% 1.13%
9/1/2011 171.29 14.57 29.21 32.62 1.72% -5.82% -11.46% -3.43%
8/1/2011 168.39 15.47 32.99 33.78 -5.05% -8.89% -11.82% 3.59%
7/1/2011 177.35 16.98 37.41 32.61 6.00% -5.03% -1.06% 1.05%
6/1/2011 167.31 17.88 37.81 32.27 1.55% -3.19% -6.23% 1.45%
5/2/2011 164.75 18.47 40.32 31.81 -0.53% -3.95% -3.43% -0.97%
4/1/2011 165.62 19.23 41.75 32.12 4.60% 1.96% 0.02% 1.68%
3/1/2011 158.33 18.86 41.74 31.59 0.74% -4.12% -1.49% 4.57%
2/1/2011 157.17 19.67 42.37 30.21 0.32% 4.57% 12.54% 1.68%
1/3/2011 156.67 18.81 37.65 29.71 10.39% 10.13% 3.63% -4.44%
12/1/2010 141.93 17.08 36.33 31.09 3.75% 16.43% 3.86% 4.12%
11/1/2010 136.8 14.67 34.98 29.86 -1.06% -1.21% 1.04% 3.72%
10/1/2010 138.26 14.85 34.62 28.79 7.05% -1.39% 9.18% 4.81%
9/1/2010 129.15 15.06 31.71 27.47 8.94% 13.06% 1.70% 5.53%
8/2/2010 118.55 13.32 31.18 26.03 -3.63% -10.18% -3.41% 1.36%
7/1/2010 123.02 14.83 32.28 25.68 3.99% 11.84% 6.96% 9.98%
6/1/2010 118.3 13.26 30.18 23.35 -1.42% -11.30% -5.75% -1.68%
5/3/2010 120.01 14.95 32.02 23.75 -2.40% -13.28% -9.29% -3.81%
4/1/2010 122.96 17.24 35.3 24.69 0.59% 3.61% 5.53% -2.83%
3/1/2010 122.24 16.64 33.45 25.41 0.85% 13.35% 11.76% 5.17%
2/1/2010 121.21 14.68 29.93 24.16 4.37% 0.48% 5.72% -2.82%
1/4/2010 116.14 14.61 28.31 24.86 -6.50% 6.33% -8.38% -4.82%
12/1/2009 124.22 13.74 30.9 26.12 3.60% -4.98% 7.97% -0.34%
11/2/2009 119.9 14.46 28.62 26.21 5.23% 12.35% 10.37% 8.04%
10/1/2009 113.94 12.87 25.93 24.26 0.84% -13.16% -0.31% -0.70%
9/1/2009 112.99 14.82 26.01 24.43 1.32% 18.85% 5.43% 11.00%
8/3/2009 111.52 12.47 24.67 22.01 0.57% 3.74% 3.70% -2.13%
7/1/2009 110.89 12.02 23.79 22.49 12.93% 14.26% 7.65% 3.83%
6/1/2009 98.19 10.52 22.1 21.66 -1.75% -12.33% -3.66% -1.55%
5/1/2009 99.94 12 22.94 22 3.52% 6.57% 10.61% 14.17%
4/1/2009 96.54 11.26 20.74 19.27 6.52% 25.11% 20.58% -2.03%
3/2/2009 90.63 9 17.2 19.67 5.27% 18.89% 8.31% 8.73%
2/2/2009 86.09 7.57 15.88 18.09 0.96% -27.84% -18.94% -4.39%
1/2/2009 85.27 10.49 19.59 18.92 8.90% -25.12% -8.84% -5.64%
12/1/2008 78.3 14.01 21.49 20.05 3.13% -3.78% 2.24% -3.37%
11/3/2008 75.92 14.56 21.02 20.75 -11.73% -12.02% -13.07% 7.24%
10/1/2008 86.01 16.55 24.18 19.35 -20.52% -23.49% -15.57% -16.67%
9/2/2008 108.21 21.63 28.64 23.22 -3.92% -8.04% -5.13% 2.29%
8/1/2008 112.62 23.52 30.19 22.7 -4.52% -0.68% 6.60% 1.11%
 7/1/2008 117.95 23.68 28.32 22.45 7.97% 6.00% -2.75% -0.93%
6/2/2008 109.24 22.34 29.12 22.66 -8.42% -12.15% -7.14% -8.63%
5/1/2008 119.28 25.43 31.36 24.8 7.67% -6.06% 3.64% -2.75%
4/1/2008 110.78 27.07 30.26 25.5 4.83% -11.65% 3.35% -3.26%
3/3/2008 105.68 30.64 29.28 26.36 1.12% 11.70% -3.21% 4.77%
2/1/2008 104.51 27.43 30.25 25.16 6.71% -5.45% 8.62% -0.91%
1/2/2008 97.94 29.01 27.85 25.39 -0.91% -4.60% -7.54% -3.86%
12/3/2007 98.84 30.41 30.12 26.41
 Variance-covariance matrix
Mean P1 P2
IBM 1.27% 0.2 0.1 IBM
GE -0.02% 0.3 -0.3 GE
DIS 1.14% 0.1 0.8 DIS
=AVERAGE(I3:I62)
KO 0.66% 0.4 0.4 KO
=MMULT(TRANSPOSE(O3:O6),L3:L6
P1 0.63% )=MMULT(TRANSPOSE(P3:P6),L3:L6
P2 1.31% =MMULT(TRANSPOSE(F3:I62-TRANSPOS
)
COUNT(F3:F62)
 Variance-covariance matrix
IBM GE DIS KO
0.003041 0.002648 0.002257 0.000879
0.002648 0.011669 0.006042 0.003054
0.002257 0.006042 0.005922 0.001663
0.000879 0.003054 0.001663 0.002616

T(TRANSPOSE(F3:I62-TRANSPOSE(L3:L6)),F3:I62-TRANSPOSE(L3:L6))/
(F3:F62)

Variance of P1 0.003427

=MMULT(TRANSPOSE(O3:O6),MMULT(S3:V6,O3:O6)
)

Variance of P2 0.002993

=MMULT(TRANSPOSE(P3:P6),MMULT(S3:V6,P3:P6)
)

Covariance of P1 and P2 0.00218

=MMULT(TRANSPOSE(O3:O6),MMULT(S3:V6,P3:P6)
)
 Adjusted close price Simple return
Date IBM GE DIS KO IBM GE DIS KO
2/1/2007 98.58 35.71 33.92 47.92 -0.27% 8.74% -3.55% 0.08%
1/3/2007 98.85 32.84 35.17 47.88 2.05% 6.90% 2.63% -0.77%
12/1/2006 96.86 30.72 34.27 48.25 5.70% 5.10% 4.64% 3.03%
11/1/2006 91.64 29.23 32.75 46.83 -0.12% -15.69% 5.04% 0.90%
10/2/2006 91.75 34.67 31.18 46.41 12.67% 4.97% 1.80% 4.57%
9/1/2006 81.43 33.03 30.63 44.38 1.19% 14.01% 4.25% 0.41%
8/1/2006 80.47 28.97 29.38 44.2 5.02% -8.76% -0.14% 0.68%
7/3/2006 76.62 31.75 29.42 43.9 0.76% 8.21% -1.04% 3.44%
6/1/2006 76.04 29.34 29.73 42.44 -3.86% 10.59% -1.65% -1.58%
5/1/2006 79.09 26.53 30.23 43.12 -2.61% 18.86% 9.09% 4.91%
4/3/2006 81.21 22.32 27.71 41.1 -0.16% 7.57% 0.25% 0.22%
3/1/2006 81.34 20.75 27.64 41.01 2.78% 4.75% -0.36% 0.49%
2/1/2006 79.14 19.81 27.74 40.81 -1.05% -14.61% 10.61% 1.44%
1/3/2006 79.98 23.2 25.08 40.23 -1.10% 23.87% 5.60% 2.65%
12/1/2005 80.87 18.73 23.75 39.19 -7.53% -11.32% -2.86% -5.59%
11/1/2005 87.46 21.12 24.45 41.51 8.84% -18.58% 2.30% 0.46%
10/3/2005 80.36 25.94 23.9 41.32 2.07% -10.49% 1.01% -0.96%
9/1/2005 78.73 28.98 23.66 41.72 -0.49% -10.47% -4.21% -1.21%
8/1/2005 79.12 32.37 24.7 42.23 -3.17% -5.79% -1.75% 0.55%
7/1/2005 81.71 34.36 25.14 42 12.47% 8.29% 1.82% 4.82%
6/1/2005 72.65 31.73 24.69 40.07 -1.78% 7.82% -8.25% -5.87%
5/2/2005 73.97 29.43 26.91 42.57 -0.82% 20.12% 3.94% 2.75%
4/1/2005 74.58 24.5 25.89 41.43 -16.42% -9.23% -8.09% 4.25%
3/1/2005 89.23 26.99 28.17 39.74 -1.29% -17.56% 2.81% -2.00%
2/1/2005 90.4 32.74 27.4 40.55 -0.71% -1.83% -2.39% 3.15%
1/3/2005 91.05 33.35 28.07 39.31 -5.24% -8.10% 2.97% -0.38%
12/1/2004 96.08 36.29 27.26 39.46 4.61% 3.80% 4.32% 5.93%
11/1/2004 91.85 34.96 26.13 37.25 5.21% 1.39% 6.61% -2.69%
10/1/2004 87.3 34.48 24.51 38.28 4.68% -9.24% 11.82% 1.51%
9/1/2004 83.4 37.99 21.92 37.71 1.24% 2.84% 0.46% -9.89%
8/2/2004 82.38 36.94 21.82 41.85 -2.53% -3.10% -2.76% 1.92%
7/1/2004 84.52 38.12 22.44 41.06 -1.23% -7.41% -9.41% -13.10%
6/1/2004 85.57 41.17 24.77 47.25 -0.49% 2.64% 8.59% -1.23%
5/3/2004 85.99 40.11 22.81 47.84 0.68% -3.21% 1.92% 1.55%
4/1/2004 85.41 41.44 22.38 47.11 -4.00% 0.36% -7.86% 0.53%
3/1/2004 88.97 41.29 24.29 46.86 -4.82% -1.81% -5.78% 1.19%
2/2/2004 93.48 42.05 25.78 46.31 -2.59% -2.14% 10.50% 1.47%
1/2/2004 95.97 42.97 23.33 45.64 7.06% -6.97% 2.91% -2.98%
12/1/2003 89.64 46.19 22.67 47.04 2.36% 24.84% 1.98% 9.14%
11/3/2003 87.57 37 22.23 43.1 1.38% 1.43% 1.97% 0.68%
10/1/2003 86.38 36.48 21.8 42.81 1.30% 4.26% 12.26% 8.02%
9/2/2003 85.27 34.99 19.42 39.63 7.70% -0.40% -1.62% -0.80%
8/1/2003 79.17 35.13 19.74 39.95 1.14% 11.28% -6.45% -3.22%
7/1/2003 78.28 31.57 21.1 41.28 -1.52% 3.95% 10.99% -3.12%
6/2/2003 79.49 30.37 19.01 42.61 -6.28% 1.91% 0.48% 2.33%
5/1/2003 84.82 29.8 18.92 41.64 3.88% -0.63% 5.29% 12.81%
4/1/2003 81.65 29.99 17.97 36.91 8.25% 7.22% 9.64% -0.22%
3/3/2003 75.43 27.97 16.39 36.99 0.61% -0.43% -0.18% 1.26%
 2/3/2003 74.97 28.09 16.42 36.53 -0.12% -5.74% -2.55% -0.60%
1/2/2003 75.06 29.8 16.85 36.75 0.90% -1.46% 7.32% -7.71%
12/2/2002 74.39 30.24 15.7 39.82 -10.84% -7.15% -16.71% -3.96%
11/1/2002 83.43 32.57 18.85 41.46 10.31% 21.17% 18.70% -1.36%
10/1/2002 75.63 26.88 15.88 42.03 35.37% -14.53% 10.28% -3.09%
9/3/2002 55.87 31.45 14.4 43.37 -22.64% -18.71% -3.42% -5.59%
8/1/2002 72.22 38.69 14.91 45.94 7.31% 4.01% -11.57% 2.13%
7/1/2002 67.3 37.2 16.86 44.98 -2.22% -12.92% -6.18% -10.82%
6/3/2002 68.83 42.72 17.97 50.44 -10.51% -13.99% -17.53% 1.16%
5/1/2002 76.91 49.67 21.79 49.86 -3.75% -2.40% -1.13% 0.08%
4/1/2002 79.91 50.89 22.04 49.82 -19.47% 6.11% 0.41% 6.23%
3/1/2002 99.23 47.96 21.95 46.9 5.99% 14.11% 0.37% 10.74%
2/13/2002 93.62 42.03 21.87 42.35
 Variance-covariance matrix
Mean/ E R P1 P2 IBM GE
IBM 0.40% 23.8% -36.2% IBM 0.006353 0.001107
GE 0.27% 2.2% -18.7% GM 0.001107 0.011021
DIS 0.97% -5.0% 164.3% DIS 0.002328 0.001703
KO 0.31% 79.0% -9.4% KO 0.000278 0.00175
1 1
Return of P1 0.30%
=SUM(D3:D6
Return of P2 1.37% )
Variance of P1
=MMULT(TRANSPOSE(O3:O6),L3:L6 Variance of P2
) Covariance of P1 and P2
Superportfolio of P1 and P2
Weight of P1 0
=M13*L8+(1-M13)*L9
Expected return 1.37%
=M13^2*T9+(1-M13)^2*T10+2*M13*(1-M13)*T11
Variance 0.01
=SQRT(M15)
Standard deviation 10.00%

Minimum variance frontier

Standard Expected
Weight Deviation Return
=M16 =M14
10.00% 1.37%
-0.4 13.94% 1.79%
-0.2 11.95% 1.58%
0.0 10.00% 1.37%
0.2 8.12% 1.15%
0.4 6.39% 0.94%
0.6 4.93% 0.73%
0.8 4.08% 0.51%
1 4.20% 0.30%
1.2 5.24% 0.09%
Minimum variance fronti
1.4 6.79% -0.13%
Expected return

2.00%

1.50%

1.00%

0.50%

0.00%
3.60% 5.60% 7.60% 9.60%

-0.50%
Standard deviation
0.00%
3.60% 5.60% 7.60% 9.60%

-0.50%
Standard deviation
 DIS KO
0.002328 0.000278
0.001703 0.00175
0.004656 0.000703
0.000703 0.002127

0.001766 4.20%
0.01 10.00%
0.000408

Minimum variance frontier

7.60% 9.60% 11.60% 13.60% 15.60%

Standard deviation
7.60% 9.60% 11.60% 13.60% 15.60%

Standard deviation
 Adjusted close price Simple return
Date IBM GE DIS KO IBM GE DIS KO
2/1/2007 98.58 35.71 33.92 47.92 -0.27% 8.74% -3.55% 0.08%
1/3/2007 98.85 32.84 35.17 47.88 2.05% 6.90% 2.63% -0.77%
12/1/2006 96.86 30.72 34.27 48.25 5.70% 5.10% 4.64% 3.03%
11/1/2006 91.64 29.23 32.75 46.83 -0.12% -15.69% 5.04% 0.90%
10/2/2006 91.75 34.67 31.18 46.41 12.67% 4.97% 1.80% 4.57%
9/1/2006 81.43 33.03 30.63 44.38 1.19% 14.01% 4.25% 0.41%
8/1/2006 80.47 28.97 29.38 44.2 5.02% -8.76% -0.14% 0.68%
7/3/2006 76.62 31.75 29.42 43.9 0.76% 8.21% -1.04% 3.44%
6/1/2006 76.04 29.34 29.73 42.44 -3.86% 10.59% -1.65% -1.58%
5/1/2006 79.09 26.53 30.23 43.12 -2.61% 18.86% 9.09% 4.91%
4/3/2006 81.21 22.32 27.71 41.1 -0.16% 7.57% 0.25% 0.22%
3/1/2006 81.34 20.75 27.64 41.01 2.78% 4.75% -0.36% 0.49%
2/1/2006 79.14 19.81 27.74 40.81 -1.05% -14.61% 10.61% 1.44%
1/3/2006 79.98 23.2 25.08 40.23 -1.10% 23.87% 5.60% 2.65%
12/1/2005 80.87 18.73 23.75 39.19 -7.53% -11.32% -2.86% -5.59%
11/1/2005 87.46 21.12 24.45 41.51 8.84% -18.58% 2.30% 0.46%
10/3/2005 80.36 25.94 23.9 41.32 2.07% -10.49% 1.01% -0.96%
9/1/2005 78.73 28.98 23.66 41.72 -0.49% -10.47% -4.21% -1.21%
8/1/2005 79.12 32.37 24.7 42.23 -3.17% -5.79% -1.75% 0.55%
7/1/2005 81.71 34.36 25.14 42 12.47% 8.29% 1.82% 4.82%
6/1/2005 72.65 31.73 24.69 40.07 -1.78% 7.82% -8.25% -5.87%
5/2/2005 73.97 29.43 26.91 42.57 -0.82% 20.12% 3.94% 2.75%
4/1/2005 74.58 24.5 25.89 41.43 -16.42% -9.23% -8.09% 4.25%
3/1/2005 89.23 26.99 28.17 39.74 -1.29% -17.56% 2.81% -2.00%
2/1/2005 90.4 32.74 27.4 40.55 -0.71% -1.83% -2.39% 3.15%
1/3/2005 91.05 33.35 28.07 39.31 -5.24% -8.10% 2.97% -0.38%
12/1/2004 96.08 36.29 27.26 39.46 4.61% 3.80% 4.32% 5.93%
11/1/2004 91.85 34.96 26.13 37.25 5.21% 1.39% 6.61% -2.69%
10/1/2004 87.3 34.48 24.51 38.28 4.68% -9.24% 11.82% 1.51%
9/1/2004 83.4 37.99 21.92 37.71 1.24% 2.84% 0.46% -9.89%
8/2/2004 82.38 36.94 21.82 41.85 -2.53% -3.10% -2.76% 1.92%
7/1/2004 84.52 38.12 22.44 41.06 -1.23% -7.41% -9.41% -13.10%
6/1/2004 85.57 41.17 24.77 47.25 -0.49% 2.64% 8.59% -1.23%
5/3/2004 85.99 40.11 22.81 47.84 0.68% -3.21% 1.92% 1.55%
4/1/2004 85.41 41.44 22.38 47.11 -4.00% 0.36% -7.86% 0.53%
3/1/2004 88.97 41.29 24.29 46.86 -4.82% -1.81% -5.78% 1.19%
2/2/2004 93.48 42.05 25.78 46.31 -2.59% -2.14% 10.50% 1.47%
1/2/2004 95.97 42.97 23.33 45.64 7.06% -6.97% 2.91% -2.98%
12/1/2003 89.64 46.19 22.67 47.04 2.36% 24.84% 1.98% 9.14%
11/3/2003 87.57 37 22.23 43.1 1.38% 1.43% 1.97% 0.68%
10/1/2003 86.38 36.48 21.8 42.81 1.30% 4.26% 12.26% 8.02%
9/2/2003 85.27 34.99 19.42 39.63 7.70% -0.40% -1.62% -0.80%
8/1/2003 79.17 35.13 19.74 39.95 1.14% 11.28% -6.45% -3.22%
7/1/2003 78.28 31.57 21.1 41.28 -1.52% 3.95% 10.99% -3.12%
6/2/2003 79.49 30.37 19.01 42.61 -6.28% 1.91% 0.48% 2.33%
5/1/2003 84.82 29.8 18.92 41.64 3.88% -0.63% 5.29% 12.81%
4/1/2003 81.65 29.99 17.97 36.91 8.25% 7.22% 9.64% -0.22%
3/3/2003 75.43 27.97 16.39 36.99 0.61% -0.43% -0.18% 1.26%
2/3/2003 74.97 28.09 16.42 36.53 -0.12% -5.74% -2.55% -0.60%
 1/2/2003 75.06 29.8 16.85 36.75 0.90% -1.46% 7.32% -7.71%
12/2/2002 74.39 30.24 15.7 39.82 -10.84% -7.15% -16.71% -3.96%
11/1/2002 83.43 32.57 18.85 41.46 10.31% 21.17% 18.70% -1.36%
10/1/2002 75.63 26.88 15.88 42.03 35.37% -14.53% 10.28% -3.09%
9/3/2002 55.87 31.45 14.4 43.37 -22.64% -18.71% -3.42% -5.59%
8/1/2002 72.22 38.69 14.91 45.94 7.31% 4.01% -11.57% 2.13%
7/1/2002 67.3 37.2 16.86 44.98 -2.22% -12.92% -6.18% -10.82%
6/3/2002 68.83 42.72 17.97 50.44 -10.51% -13.99% -17.53% 1.16%
5/1/2002 76.91 49.67 21.79 49.86 -3.75% -2.40% -1.13% 0.08%
4/1/2002 79.91 50.89 22.04 49.82 -19.47% 6.11% 0.41% 6.23%
3/1/2002 99.23 47.96 21.95 46.9 5.99% 14.11% 0.37% 10.74%
2/13/2002 93.62 42.03 21.87 42.35
 Variance-covariance matrix
Mean P IBM GM
IBM 0.40% -0.003644 IBM 0.006353 0.001107
GE 0.27% -0.020232 GM 0.001107 0.011021
DIS 0.97% 0.203344 DIS 0.002328 0.001703
=SUM(N3:N6
KO 0.31% 0.130956 ) KO 0.000278 0.00175
0.310425
E® of P1 0.23%
Variance of P1

Risk free rate 0.10% E® of Q 0.30%

Theta 0.084 =(L8-M11)/

SQRT(T9)

Superportfolio of risk free asset and P1

Weight of RFA 0
=M16*M11+(1-
Expected return 0.23% M16)*L8
=(1-M16)^2*T9
Variance 0.000244
=SQRT(M18
Standard deviation 1.56% )

Minimum variance frontier

Standard Expected
Weight Deviation Return
=C16 =C14
1.56% 0.23%
-0.4 2.19% 0.28%
-0.2 1.88% 0.26%
0.0 1.56% 0.23%
0.2 1.25% 0.20%
0.4 0.94% 0.18%
0.6 0.63% 0.15%
0.8 0.31% 0.13%
1 0.00% 0.10%
1.2 0.31% 0.07%
1.4 0.63% 0.05%
DIS KO
0.002328 0.000278
0.001703 0.00175
0.004656 0.000703
0.000703 0.002127

0.000244 1.6%

Capital market line

Expected return

1200.00%

1000.00%

800.00%

600.00%

400.00%

200.00%

0.00%
3.60% 4.10% 4.60% 5.10%
Standard5.60%
deviation 6.10% 6.60% 7.10% 7.60%
60% 7.10% 7.60%