Spreadsheet: 44350d1242936070-regression-question-3-updated-2-
Sheet: Sheet2

Date | AORD | BHP | NAB | SGB | TLS | AWC | WPL |  | Weight |  | Minimisation Problem |  |  | Assets | Weight | Period Portfolio Weight
2003-01-02 00:00:00 | -0.6418205355317843 | 0.3183391003460212 | -1.061143984220908 | -0.3956043956043942 | -1.318385650224215 | -0.2608695652173898 | -0.8431876606683812 |  |  |  | 0.16022 |  |  | BHP | 0.1324965249603739 | 0.9999999999999998
2003-02-03 00:00:00 | 0.3031960840771672 | 0.1617977528089876 | 1.267940858276235 | 1.097727272727274 | 0.3022670025188932 | -1.306666666666667 | 0.05529953917050801 |  |  |  |  |  |  | NAB | 0.3173185186886592
2003-03-03 00:00:00 | 0.5152004493435376 | -0.3059866962305988 | 0.2074363992172215 | 0.3685580426861002 | 0.4127764127764122 | 0.7780548628428923 | 0.6165137614678899 |  |  |  |  |  |  | SGB | 0.2255610211592569
2003-04-01 00:00:00 | 0.03594870241340953 | -0.5870307167235493 | 0.2231484450144281 | 0.8181818181818175 | 0.8551068883610453 | -0.1686182669789216 | -0.01047120418848291 |  |  |  |  |  |  | TLS | -0.005063777266395889
2003-05-01 00:00:00 | 0.07691791395395509 | 0.05741626794258536 | 0.143531633616619 | 0.2553191489361719 | -0.2926829268292672 | -0.6270783847980992 | 0.9746724890829714 |  |  |  |  |  |  | AWC | 0.1730694144468961
2003-06-02 00:00:00 | 0.4313581646603746 | 1.614285714285714 | -0.3060653188180407 | -0.2555555555555564 | 0.7636363636363619 | 2.225563909774437 | 0.8820678513731801 |  |  |  |  |  |  | WPL | 0.1566182980112096
2003-07-01 00:00:00 | 0.3715839958798739 | 1.38509968520462 | -0.5706990105330347 | -0.08514664143803374 | 0.8717948717948714 | 0.5581395348837193 | 0.05417607223476217
2003-08-01 00:00:00 | -0.1000343438758642 | -0.4063969896519297 | -0.1126005361930296 | -0.2858504049547399 | -0.6693227091633447 | 0.0969696969696976 | 0.04494382022471921
2003-09-01 00:00:00 | 0.4012341792078598 | 1.320350535540409 | -0.08119079837618415 | 0.2401171303074667 | 0 | 2.044088176352703 | -0.1522388059701498
2003-10-01 00:00:00 | -0.3169631976602494 | -0.4631578947368422 | -0.6580381471389645 | -0.4880382775119609 | 0.4810126582278462 | -0.1232876712328759 | 0.4625850340136042
2003-11-03 00:00:00 | 0.4141815564665032 | 0.9744525547445235 | 0.4281081081081064 | -0.3291770573566093 | -0.2677484787018241 | 1.34948096885813 | 0.9257641921397397 |  |  |  | PER
2003-12-01 00:00:00 | -0.08130671506352094 | -0.8810126582278475 | 0.2463465553235897 | 0.03076923076923066 | 0.2489626556016589 | -1.660964230171073 | -0.1702702702702705
2004-01-02 00:00:00 | 0.3248873187964429 | 1.027322404371584 | 0.1309239686327981 | 0.95140664961637 | -0.3414634146341462 | -0.3249097472924194 | 0.5181631254283774
2004-02-02 00:00:00 | 0.1562045959970364 | 0 | 0.04047217537942593 | 0.02274881516587701 | -0.6025104602510463 | -0.3116883116883105 | 0.3784494086727967
2004-03-01 00:00:00 | -0.03055848261327743 | -0.775167785234899 | -0.5929411764705872 | -0.556291390728477 | 0.6343612334801758 | -0.6628571428571424 | 0.6420382165605094
2004-04-01 00:00:00 | 0.17325468791267 | 0.6565022421524667 | 0.2970297029702973 | 0.9999999999999991 | -0.2259414225941425 | 0.6290322580645169 | -0.2031438935912919
2004-05-03 00:00:00 | 0.254794758309469 | 0.4285714285714297 | -0.1407867494824013 | 0.09890109890109855 | 0.8699360341151392 | -0.1149425287356318 | 0.3025830258302582
2004-06-01 00:00:00 | 0.05370648386822641 | 0.6206896551724137 | -1.277932960893855 | -0.4196185286103544 | -0.2385685884691866 | -0.2088974854932295 | 0.9502099580083971
2004-07-01 00:00:00 | 0.05346718930656191 | -0.03747072599531753 | -0.004689331770223237 | 0.1355294117647041 | -0.3164300202839758 | 0.5669291338582694 | 0.03335186214563635
2004-08-02 00:00:00 | 0.3800218984249968 | 1.118245888801882 | 0.1454261141516824 | 0.201023731968359 | -0.3749999999999987 | 0.4060150375939839 | 0.9711751662971189
2004-09-01 00:00:00 | 0.3644379132990467 | -0.4212034383954153 | 0.574739281575896 | 0.8237986270022883 | 0.05161290322580481 | -0.2400000000000002 | -0.0184615384615392
2004-10-01 00:00:00 | 0.4959987322716097 | 1.380846325167036 | -0.08846295613711774 | 0.4059957173447541 | 0.6680942184154173 | 0.645640074211502 | 0.8505392912172587
2004-11-01 00:00:00 | 0.3357005173988021 | -0.07989347536617863 | 0.3252877831414773 | 0.5517812758906375 | -0.0486815415821491 | 0.2957746478873249 | -0.4316546762589928
2004-12-01 00:00:00 | 0.1586933458340516 | 0.7238605898123316 | 0.3383947939262466 | -0.2566336633663369 | 0.0733197556008145 | 0.288659793814432 | 0.3283582089552217
2005-01-04 00:00:00 | 0.145518299364455 | 2.222503160556258 | -0.3375527426160341 | -0.1019830028328617 | 0.7773279352226714 | -0.0604026845637593 | 0.6566585956416491
2005-02-01 00:00:00 | -0.1613857813063864 | -0.7999999999999998 | -0.1866859623733723 | 0 | -0.3878326996197718 | -0.2833052276559855 | 1.388429752066116
2005-03-01 00:00:00 | -0.4609081597814964 | -1.22742857142857 | 0.3351708930540243 | 0.1224489795918355 | -0.5893909626719052 | -0.331606217616581 | -0.3950617283950626
2005-04-01 00:00:00 | 0.3874109203418641 | 0.4812221514958619 | 0.9481587415087587 | 0.6303030303030317 | 0.446280991735537 | -0.4476021314387215 | 0.6382978723404245
2005-05-02 00:00:00 | 0.4702240566037732 | 1.057527539779684 | -0.01192842942346006 | 0.06909788867562305 | 0.095617529880478 | 0.132841328413285 | 2.181818181818183
2005-06-01 00:00:00 | 0.3313553511903367 | 0.7964004499437571 | 0.1910447761194032 | 0.2335877862595419 | 0.02371541501976537 | 0.4817518248175183 | 0.4102564102564115
2005-07-01 00:00:00 | 0.1844157636827948 | 0.6835443037974667 | 0.02350636630754188 | 0.143766379633095 | -0.9230769230769238 | 0.5263157894736832 | 1.067107438016527
2005-08-01 00:00:00 | 0.4869604622181951 | 1.047904191616767 | 0.6647116324535665 | 0.3817980022197567 | -1.564102564102563 | 0.3226890756302536 | 1.114754098360657
2005-09-01 00:00:00 | -0.4700605321604336 | -0.8095456631482327 | -0.0185242358752693 | -0.2796701326640387 | 0.4127764127764122 | -0.6284779050736509 | -1.466666666666667
2005-10-03 00:00:00 | 0.4647494731117021 | 0.6496062992125999 | 0.04452690166975692 | 0.4669603524229098 | -1.026128266033254 | 1.181347150259069 | 1.272151898734179
2005-11-01 00:00:00 | 0.3277772929575002 | 0.4817927170868357 | -0.02218114602587828 | 0.5766784452296818 | 0.2493506493506494 | 1.999999999999998 | 1.455793991416306
2005-12-01 00:00:00 | 0.4367991845056052 | 1.610412926391382 | 0.54814814814815 | 0.2589345920431567 | 0.1526717557251915 | 0.1455525606469008 | 1.846389385047205
2006-01-03 00:00:00 | -0.004426048112782244 | -0.6410763751483963 | 0.991735537190082 | -0.09504950495049647 | -0.3919597989949746 | -0.9107856191744332 | -1.255196815568331
2006-02-01 00:00:00 | 0.51361102000656 | 1.856187290969899 | 0.3336968375136324 | 0.3113772455089823 | -0.342857142857143 | 0.8126801152737748 | 1.478883674981474
2006-03-01 00:00:00 | 0.2825916024532162 | 0.5561187545257038 | -0.02864721485411259 | 0.003891050583657574 | 0.641711229946524 | -0.4048582995951415 | 0.3482849604221645
2006-04-03 00:00:00 | -0.5408872671403877 | -0.4359861591695489 | -0.8040414783302299 | -0.591247974068073 | -0.7005076142131981 | -0.9050279329608939 | -0.7179487179487167
2006-05-01 00:00:00 | 0.1489049333306509 | 0.3274685816876115 | 0.02393844400113654 | 0 | -0.09703504043126587 | 0.2356495468277933 | 0
2006-06-01 00:00:00 | -0.1833134684147786 | -0.5117091925900028 | 0.252559726962458 | -0.2782134333446979 | 0.4565217391304328 | -0.6755555555555555 | -0.3299999999999996
2006-07-03 00:00:00 | 0.2970285045692043 | -0.03066812705366972 | 0.1403899721448463 | 0.5277486910994762 | -0.6910994764397893 | -0.03767660910518078 | -0.1486328581444263
2006-08-01 00:00:00 | 0.07842828457813233 | -0.8213762811127379 | 0.1255506607929515 | 0.1323971915747224 | 0.3666666666666654 | -0.3023622047244081 | -0.8547089446284897
2006-09-01 00:00:00 | 0.5630353999608833 | 0.773280943025541 | 0.48392370572207 | 0.8611111111111116 | 0.8086253369272232 | 1.046849757673666 | -0.5197452229299375
2006-10-02 00:00:00 | 0.2436809953483188 | -0.4606866002214831 | 0.3143006809848092 | 0.08886146251157179 | -0.5757575757575761 | -0.6953937592867772 | 0.003195739014648424
2006-11-01 00:00:00 | 0.401420829061081 | -0.4238003838771607 | 0.3736600306278701 | 0.1286370597243485 | 1.177718832891245 | 0 | 0.175718849840254
2006-12-01 00:00:00 | 0.2410927838704522 | 0.3485873458018309 | 0.005940594059405946 | 0.09090909090909083 | 0.2898550724637694 | 0.2271293375394334 | -0.2393072684334814
2007-01-02 00:00:00 | 0.1225489344703616 | 0.5893271461716942 | -0.01781296387926812 | -0.07218045112782034 | 0.05660377358490365 | 0.5201238390092886 | -0.0289156626506033
2007-02-01 00:00:00 | 0.3348405398435492 | 1.220788794692224 | 0.01189296333002865 | 0.7189107413010607 | 1.126760563380282 | 1.014836795252224 | 0.7181964573268926 |  | Period | BHP | NAB | SGB | TLS | AWC | WPL
2007-03-01 00:00:00 | 0.3602729644744773 | -0.1525593844095017 | 0.772277227722773 | 0.3357122466457305 | 0.02575107296137258 | -0.2462380300957587 | -0.02127120790073489 |  | 1 | 0.1362159699856131 | 0.1894793127753156 | 0.1637821080941173 | 0.1708799718100112 | 0.1585798458668913 | 0.1810637914680515
2007-04-02 00:00:00 | 0.3575662114544604 | 0.8214164689935624 | -0.1283720930232564 | 0.4465426270480428 | 0.4882226980728062 | 0.9888268156424589 | 1.089802130898022 |  | 2 | 0.05925225934659241 | 0.3388326063313823 | 0.152691512017481 | -0.06422227327101666 | 0.2295242504464783 | 0.2839216451290826
2007-05-01 00:00:00 | -0.05903686650477713 | 1.332064700285441 | -0.4287729196050769 | -0.616867469879518 | -0.6666666666666683 | 0.06193548387096737 | 0.767441860465115 |  | 3 | -0.03632282419982995 | 0.3513720984115835 | 0.169166128311736 | -0.04666769818220722 | 0.2560001340801517 | 0.3064521615785659
2007-06-01 00:00:00 | -0.2340823376541064 | 0.6748501284613182 | -0.7781569965870316 | -0.3149872988992382 | 0.02614379084967222 | -0.754813863928113 | -0.645245901639345 |  | 4 | 0.06702053583004808 | 0.3333760501863908 | 0.1379529429043073 | -0.07870107930422668 | 0.2467061767008117 | 0.2936453736826687
2007-07-02 00:00:00 | -0.3841939393939406 | -0.3372972972972965 | -0.400417101147029 | -0.591304347826088 | -0.2869565217391288 | -0.6246575342465754 | -0.3021483021483018 |  | 5 | 0.08556353023486739 | 0.323795831073758 | 0.1159365129724565 | -0.03975301487168468 | 0.3228552916153308 | 0.191601848975272
2007-08-01 00:00:00 | -12 | -12 | -12 | -12 | -12 | -12 | -12 |  | 6 | -0.1494726935318302 | 0.418582221625786 | 0.208229798410271 | 0.002234091113756416 | 0.2926832749388559 | 0.2277433074431608
[NAME] | 55 | 55 | 55 | 55 | 55 | 55 | 55 |  | 7 | 0.3110972589257521 | 0.2708460194973398 | 0.09717102478782964 | -0.03653968341294226 | 0.2302167524682326 | 0.1272086277337881
Expected Return | 0.1602189930837343 | 0.3401696295163322 | 0.05265955283405317 | 0.136692952998896 | 0.01663810907277427 | 0.1138787988961569 | 0.3063599086001085 |  | 8 | -0.06703582988758797 | 0.3726403078803615 | 0.2656438837861382 | 0.05448414612332413 | 0.1973674796985468 | 0.1769000123992172
[NAME] | 0.08797744388853 | 0.6487030032232828 | 0.2281770923362024 | 0.1860812429088881 | 0.3670280840286635 | 0.6150187984928626 | 0.5659469539901902 |  | 9 | -0.01909566530273502 | 0.3578764182771187 | 0.2542646641118414 | 0.04057552343988341 | 0.2049913590800467 | 0.1613877003938446
[NAME] | 0.2966099187291787 | 0.8054210099216947 | 0.4776788590006913 | 0.4313713515161711 | 0.6058284278809171 | 0.7842313424576083 | 0.7522944596301306 |  | 10
[NAME] | 0.5630353999608833 | 2.222503160556258 | 1.267940858276235 | 1.097727272727274 | 1.177718832891245 | 2.225563909774437 | 2.181818181818183 |  | 11
Min | -0.6418205355317843 | -1.22742857142857 | -1.277932960893855 | -0.616867469879518 | -1.564102564102563 | -1.660964230171073 | -1.466666666666667 |  | 12
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