DJI FTSE100 DAX CAC40 NIKKEI HSI BOVESPA GOLD 4-Jan-16 15944.46 5990.4 9880.82 4380.36 17163.92 19052.45 38376 1115 1-Dec-15 17425.03 6242.3 10743.01 4637.06 19033.71 21914.4 43350 1068.25 2-Nov-15 17719.92 6356.1 11382.23 4957.6 19747.47 21996.42 45120 1086.44 1-Oct-15 17663.54 6361.1 10850.14 4897.66 19083.1 22640.04 45869 1159.25 1-Sep-15 16284.7 6061.6 9660.44 4455.29 17388.15 20846.3 45059 1124.77 3-Aug-15 16528.03 6247.9 10259.46 4652.95 18890.48 21670.58 46626 1117.93 1-Jul-15 17689.86 6696.3 11308.99 5082.61 20585.24 24636.28 50865 1128.31 1-Jun-15 17619.51 6521 10944.97 4790.2 20235.73 26250.03 53081 1181.5 ####### 18010.68 6984.4 11413.82 5007.89 20563.15 27424.19 52760 1198.63 1-Apr-15 17840.52 6960.6 11454.38 5046.49 19520.01 28133 56229 1198.93 2-Mar-15 17776.12 6773 11966.17 5033.64 19206.99 24900.89 51150 1178.63 2-Feb-15 18132.7 6946.7 11401.66 4951.48 18797.94 24823.29 51583 1227.08 2-Jan-15 17164.95 6749.4 10694.32 4604.25 17674.39 24507.05 46908 1250.75 Compute the covariance matrix and state the variance for the Nikkei index. What are the smallest and largest values of the target returns which seem sensible, i.e., beyond which the minimum variance portfolio model will not change its answer?

DJI FTSE100 DAX CAC40 NIKKEI HSI BOVESPA GOLD 4-Jan-16 15944.46 5990.4 9880.82 4380.36 17163.92 19052.45 38376 1115 1-Dec-15 17425.03 6242.3 10743.01 4637.06 19033.71 21914.4 43350 1068.25 2-Nov-15 17719.92 6356.1 11382.23 4957.6 19747.47 21996.42 45120 1086.44 1-Oct-15 17663.54 6361.1 10850.14 4897.66 19083.1 22640.04 45869 1159.25 1-Sep-15 16284.7 6061.6 9660.44 4455.29 17388.15 20846.3 45059 1124.77 3-Aug-15 16528.03 6247.9 10259.46 4652.95 18890.48 21670.58 46626 1117.93 1-Jul-15 17689.86 6696.3 11308.99 5082.61 20585.24 24636.28 50865 1128.31 1-Jun-15 17619.51 6521 10944.97 4790.2 20235.73 26250.03 53081 1181.5 ####### 18010.68 6984.4 11413.82 5007.89 20563.15 27424.19 52760 1198.63 1-Apr-15 17840.52 6960.6 11454.38 5046.49 19520.01 28133 56229 1198.93 2-Mar-15 17776.12 6773 11966.17 5033.64 19206.99 24900.89 51150 1178.63 2-Feb-15 18132.7 6946.7 11401.66 4951.48 18797.94 24823.29 51583 1227.08 2-Jan-15 17164.95 6749.4 10694.32 4604.25 17674.39 24507.05 46908 1250.75 Compute the covariance matrix and state the variance for the Nikkei index. What are the smallest and largest values of the target returns which seem sensible, i.e., beyond which the minimum variance portfolio model will not change its answer?

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Chapter5: Operating Activities: Purchases And Cash Payments

Section: Chapter Questions

Problem 2.1C

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Question

	DJI	FTSE100	DAX	CAC40	NIKKEI	HSI	BOVESPA	GOLD
4-Jan-16	15944.46	5990.4	9880.82	4380.36	17163.92	19052.45	38376	1115
1-Dec-15	17425.03	6242.3	10743.01	4637.06	19033.71	21914.4	43350	1068.25
2-Nov-15	17719.92	6356.1	11382.23	4957.6	19747.47	21996.42	45120	1086.44
1-Oct-15	17663.54	6361.1	10850.14	4897.66	19083.1	22640.04	45869	1159.25
1-Sep-15	16284.7	6061.6	9660.44	4455.29	17388.15	20846.3	45059	1124.77
3-Aug-15	16528.03	6247.9	10259.46	4652.95	18890.48	21670.58	46626	1117.93
1-Jul-15	17689.86	6696.3	11308.99	5082.61	20585.24	24636.28	50865	1128.31
1-Jun-15	17619.51	6521	10944.97	4790.2	20235.73	26250.03	53081	1181.5
#######	18010.68	6984.4	11413.82	5007.89	20563.15	27424.19	52760	1198.63
1-Apr-15	17840.52	6960.6	11454.38	5046.49	19520.01	28133	56229	1198.93
2-Mar-15	17776.12	6773	11966.17	5033.64	19206.99	24900.89	51150	1178.63
2-Feb-15	18132.7	6946.7	11401.66	4951.48	18797.94	24823.29	51583	1227.08
2-Jan-15	17164.95	6749.4	10694.32	4604.25	17674.39	24507.05	46908	1250.75

Compute the covariance matrix and state the variance for the Nikkei index.
What are the smallest and largest values of the target returns which seem sensible, i.e., beyond which the minimum variance portfolio model will not change its answer?

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