Main homework file is attached as are needed additional materials for parts 2 and 3.
Optimizer Source for Stock Returns and U.S. Treasury Bill Rates: Kenneth R. French Data Library (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) The Asia Pacific portfolio (excluding Japan) includes Australia, Hong Kong, New Zealand, and Singapore. The Europe portfolio include Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, and the United Kingdom MONTHLY Expected Returns, Standard Deviations, and Correlations July 1990 through December 2014, 294 months, returns are total stock market returns for the region)Risk-Free Rate0.24% Correlation with: Asset ClassExpected ReturnStd. DeviationUSJapanAsia (non-Japan)EuropeSharpe Ratio US0.89%4.34%1.000.410.710.790.15 Japan0.21%5.97%0.411.000.470.50-0.01 Asia (non-Japan)0.96%6.01%0.710.471.000.750.12 Europe0.74%5.04%0.790.500.751.000.10 ERROR:#DIV/0! Covariance Matrix USJapanAsia (non-Japan)Europe US0.00190.00110.00190.00170.0000 Japan0.00110.00360.00170.00150.0000 Asia (non-Japan)0.00190.00170.00360.00230.0000 Europe0.00170.00150.00230.00250.0000 0.00000.00000.00000.00000.0000 Bordered Covariance Matrix (Covariance Matrix multiplied by Weights) USJapanAsia (non-Japan)Europe Weights25.00%25.00%25.00%25.00%0.00% US25.00%0.00010.00010.00010.00010.0000 Japan25.00%0.00010.00020.00010.00010.0000 Asia (non-Japan)25.00%0.00010.00010.00020.00010.0000 Europe25.00%0.00010.00010.00010.00020.0000 0.00000.00000.00000.00000.0000 Sum100.00% Portfolio Variance0.0020 Portfolio Std. Deviation4.46% Expected Return0.70% Sharpe Ratio0.1031667858 Sheet3 Mystery Securities, 1995-2014 Source for U.S. Stock Returns and U.S. Treasury Bill Rates: Kenneth R. French Data Library (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) For defintions of Fama-French Factors (Mkt_RF, SMB, & HML), see: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data_Library/f-f_factors.html dateMkt_RFSMBHMLRFSecurity 1Security 2Security 3 1995011.8-2.951.640.421.674.59-1.71 1995023.63-0.330.380.43.14-1.247.74 1995032.18-0.38-2.050.460.385.916.28 1995042.11-0.421.70.442.6-4.356.01 1995052.9-2.251.920.542.113.922.26 1995062.723.06-2.990.477.05-0.9210.45 1995073.722.23-2.240.455.8-3.476.07 1995080.551.831.930.471.254.57-0.09 1995093.35-2.07-0.950.43-1.642.891.53 199510-1.52-3.95-0.090.47-7.422.795.29 1995113.95-0.830.340.424.912.931.05 1995121.030.371.410.49-2.484.99-3.31 1996012.26-2.480.40.430.21.821.1 1996021.332.06-2.330.394.463.186.25 1996030.731.311.270.394.37-7.68-0.68 1996042.064.87-4.020.4610.32-1.69.99 1996052.363.16-1.40.420.955.483.07 199606-1.14-3.641.920.4-6.893.68-1.01 199607-5.97-3.584.370.45-11.40.2-8.99 1996082.762.29-0.60.414.53-13.182.55 1996095.02-0.8-3.770.445.161.4110.9 1996100.86-4.114.80.42-7.823.31-1.17 1996116.25-3.590.160.4111.8610.748.55 199612-1.73.081.010.460.719.3-2.7 1997014.99-1.52-2.330.453.084.638.05 199702-0.49-2.64.680.39-2.9612.47-6.8 199703-5.03-0.333.860.43-7.84-13.54-6.9 1997044.04-5.2-1.030.43-2.863.2414.98 1997056.744.83-4.370.4917.499.989.96 1997064.11.490.750.371.442.671.91 1997077.33-2.51-0.130.434.121.310.7 199708-4.157.341.360.411.55-3.04-2.6 1997095.352.68-0.230.444.02-2.782.6 199710-3.8-0.792.180.42-5.94-4.16-1.92 1997112.98-5.060.980.39-1.818.653.25 1997121.32-2.43.80.48-2.95.38-3.85 1998010.15-0.92-2.030.430.06-7.356.27 1998027.030.33-0.880.398.444.512.01 1998034.76-11.250.394.52-3.268.84 1998040.730.480.320.434.66-10.830.56 199805-3.07-3.544.110.4-8.580.59-6.91 1998063.18-3.14-2.20.41-3.675.5217.71 199807-2.46-4.92-1.160.4-7.2110.37-4.8 199808-16.08-5.755.220.43-21.69-5.2-18.67 1998096.15-0.17-3.880.4614.0112.4619.15 1998107.13-3.19-2.750.3213.2910.82-0.88 1998116.11.14-3.440.313.549.1515.11 1998126.16-0.3-4.70.38-1.01-3.0417.93 1999013.50.86-5.560.352.12-12.2119.21 199902-4.08-5.541.560.35-6.92-15.97-10.44 1999033.45-3.83-2.90.4310.56-8.9314.78 1999044.333.192.430.3717.880.07-4.22 199905-2.463.622.680.347.259.96-2.16 1999064.773.46-4.190.41.474.869.7 199907-3.472.210.540.38-4.04-6.88-6.71 199908-1.38-1.34-0.880.39-5.310.552.78 199909-2.813.18-3.040.39-6.32-6.913.14 1999106.13-6.79-3.180.39-3.87-24.932.76 1999113.377.76-7.960.362.813.5211.75 1999127.727-9.170.44-0.35-10.1525.3 200001-4.744.370.260.41-4.4-8.62-10.06 2000022.4522.02-12.610.43-3.09-4.019.68 2000035.2-16.47.650.478.55.112.49 200004-6.4-7.79.090.46-2.333.79-18.88 200005-4.42-4.853.720.51.1319.51-10.05 2000064.6413.69-10.020.4-5.182.9613.52 200007-2.51-2.788.490.48-4.71-4.39-8.94 2000087.03-0.92-1.230.56.9419.0312.08 200009-5.45-1.946.80.51-12.480.87-9.92 200010-2.76-3.624.810.56-8.3622.8-8.36 200011-10.72-3.1412.320.51-23.54.07-22.3 2000121.191.526.170.5-10.8216.96-8.48 2001013.137.1-5.740.5435.570.0722.17 200102-10.05-1.1813.880.38-19.839.47-18.58 200103-7.260.556.350.42-17.59-0.14-14.1 2001047.940.29-4.360.3915.115.6721.52 2001050.7232.770.32-5.882.250.29 200106-1.946.43-2.270.280.01-0.575.03 200107-2.13-4.235.640.3-6.61-9.19-11.35 200108-6.462.093.430.31-14.364.66-15.06 200109-9.25-6.591.780.28-22.792.92-13.61 2001102.466.88-7.060.2215.71-2.8212.4 2001117.540.320.760.1720.11.1912.07 2001121.615.130.450.15-0.67-1.722.7 200201-1.441.113.460.14-1.148.45-4.57 200202-2.29-1.623.920.13-17.765.04-9.94 2002034.244.321.150.137.991.582.69 200204-5.25.854.230.15-13.813.29-15.96 200205-1.38-3.72.510.14-5.934.53-5.11 200206-7.213.541.490.13-14.61-22.05-4.34 200207-8.18-5.19-3.650.15-6.774.07-10.49 2002080.5-2.262.290.144.438.922.19 200209-10.352.711.250.14-15.96-21.27-16.18 2002107.84-2.96-6.460.1421.194.923.98 2002115.963.15-1.540.1222.64-6.5912.17 200212-5.76-0.463.870.11-14.298.98-10.51 200301-2.571.39-0.840.1-3.81-6.25-1.37 200302-1.88-0.29-1.440.090.751.24-0.59 2003031.090.74-1.590.10.34-19.680.38 2003048.221.08-0.040.119.82.718.02 2003056.054.830.090.0921.932.475.53 2003061.421.50.730.12.1710.910.51 2003072.355.51-2.060.075.34-11.32.46 2003082.342.71.710.0742.533.53 200309-1.240.580.980.08-0.578.11.63 2003106.082.881.790.073.846.142.97 2003111.352.231.460.070.5711.59-0.06 2003124.29-2.792.710.089.015.674.56 2004012.152.671.550.072.52.054.07 2004021.4-1.170.450.062.043.82-3.6 200403-1.321.840.070.09-1.96-4.03-2.91 200404-1.83-2.59-1.670.082.661.91-1.25 2004051.17-0.1-0.330.06-0.18-12.612.67 2004061.862.321.670.081.186.034.68 200407-4.06-3.84.520.1-4.45-3.75-6.68 2004080.08-1.591.130.11-0.073.19-2.68 2004091.62.930.390.112.24-2.484.64 2004101.430.44-0.830.115.592.845.25 2004114.544.161.940.154.2917.46.67 2004123.430.18-0.360.167.377.483.2 200501-2.76-1.632.670.16-6.84.36-6.81 2005021.89-0.662.850.164.123.12-2.19 200503-1.97-1.391.750.21-2.90.31-2.75 200504-2.61-4-0.460.21-3.28-1.34-4.85 2005053.652.99-1.240.245.93.186.11 2005060.572.592.820.230.33-2.34-2.7 2005073.922.78-0.480.247.13.585.31 200508-1.22-0.891.450.3-3.054.540.77 2005090.49-0.681.130.29-2.174.740.21 200510-2.02-1.03-0.690.270.651.71.89 2005113.610.99-1.790.313.5-2.625.81 200512-0.25-0.520.490.32-0.264.21-2.51 2006013.045.321.190.356.74-2.453.19 200602-0.3-0.32-0.820.34-1.21-0.11-4 2006031.463.55-0.10.372.250.123.15 2006040.73-1.243.070.360.683.34-2.4 200605-3.57-3.062.810.43-1.35-0.95-6.78 200606-0.35-0.541.590.4-0.332.951.17 200607-0.78-43.270.4-4.879.04-2.58 2006082.030.83-1.760.426.614.315.32 2006091.84-1.24-0.430.412.27-6.394.88 2006103.231.630.480.415.695.427.22 2006111.710.780.480.425.543.422.22 2006120.87-0.892.520.4-0.743.01-0.7 2007011.40.09-0.020.442.741.293.48 200702-1.961.370.240.38-0.18-3.51-4.3 2007030.68-0.260.390.43-1.144.871.47 2007043.49-2.1-0.970.443.542.783.96 2007053.24-0.02-0.140.413.242.623.55 200706-1.960.76-1.070.4-2.87-0.06-1.09 200707-3.73-2.68-2.990.4-4.35-5.12-2.21 2007080.92-0.15-2.380.42-1.14.251.85 2007093.22-2.46-2.140.322.290.965.19 2007101.80.19-1.950.32-1.234.6411.39 200711-4.83-2.8-1.090.34-13.46.58-7.36 200712-0.870.0200.27-6.84-1.982.67 200801-6.36-0.753.070.213.17-0.3-10.46 200802-3.09-0.57-0.030.13-12.5-2.86-6.57 200803-0.930.810.280.17-9.670.010.91 2008044.6-1.49-0.080.188.13-9.577.29 2008051.863.03-0.380.18-2.4310.325.08 200806-8.441.09-1.060.17-20.47-6.61-7.89 200807-0.773.593.690.152.022.13-2.74 2008081.533.731.480.13-6.583.071.6 200809-9.24-0.374.410.15-23.12-5.43-8.62 200810-17.23-2.27-2.990.08-26.09-5.24-17.7 200811-7.86-3.64-4.930.03-20.25-10.76-11.32 2008121.743.99-1.204.05-0.352.84 200901-8.12-0.98-9.860-8.23-1.54-2.62 200902-10.1-0.36-6.910.01-25.35-8.2-2.64 2009038.950.752.60.0244.146.839.57 20090410.195.355.420.0145.772.1110.74 2009055.21-2.660.56021.419.524.25 2009060.432.66-2.440.01-6.12-0.034.39 2009077.722.54.790.0112.267.345.48 2009083.33-0.527.570.0125.020.322.62 2009094.082.481.390.018.874.825.1 200910-2.59-4.22-4.370-13.3-0.731.89 2009115.56-2.670.1705.022.225.51 2009122.755.780.730.011.43.285.41 201001-3.360.210.601.99-3.15-7.83 2010023.41.432.7301.4353.4 2010036.311.582.050.014.656.364.88 20100424.933.190.010.68-3.030.3 201005-7.89-0.08-2.350.01-8.95-7.71-8.03 201006-5.56-2.12-4.280.01-6.673.54-6.34 2010076.930.270.090.016.8611.128.9 201008-4.77-3.02-1.40.01-3.9-0.05-3.72 2010099.543.86-2.850.0111.7910.0411.22 2010103.881.05-2.220.013.365.278.68 2010110.63.67-0.590.01-0.68-3.77-2.8 2010126.820.783.360.0113.614.37 2011011.99-2.440.70.014.11-2.942.38 2011023.491.561.720.011.368.981.53 2011030.452.7-1.160.01-2.145.25-0.23 2011042.9-0.36-2.170-0.124.93.17 201105-1.27-0.64-2.070-3.574.11-2.2 201106-1.75-0.12-0.230-5.32-5.6-0.89 201107-2.36-1.43-1.140-4.113.291.23 201108-5.99-3.3-1.570.01-13.87-0.11-6.4 201109-7.59-3.72-0.990-11.81-5.27-4.27 20111011.353.59-0.92015.98.2611.71 201111-0.28-0.26-0.160-7.567.57-1.92 2011120.74-0.571.540-3.033.72-2.62 2012015.052.53-2.16018.47-4.585.45 2012024.42-1.640.0406.589.626.05 2012033.11-0.24-0.0604.075.424.09 201204-0.85-0.62-0.170-6.331.63-0.79 201205-6.19-0.120.110.01-13.29-3.34-7.91 2012063.890.820.4803.495.864.12 2012070.79-2.60.020-2.014.4-2.17 2012082.550.710.550.012.19-3.053.6 2012092.730.491.570.013.620.453.88 201210-1.76-1.074.140.01-4.09-2.65-5.7 2012110.780.67-1.10.01-1.513.112