Hello, Could anyone help me to find the covariance of four stocks. The correlati

Question

Hello,

Could anyone help me to find the covariance of four stocks. The correlations is below:

Riskless interest rate: 4.o0t AT&T; COKE DUPONT EXXON 10.19 14.75 13.79 13.94 16.19 21.03 25.86 22.16 Sharpe: 0.3823 0.5112 0.3786 0.4486 Mean: STD: Correlation ATET COKE DUPONT EXXON AT&T; 1.0000 0.4300 0.5700 0.4700 COKE 0.4300 1.0000 0.4000 0.3300 DUPONT 0.5700 0.4000 1.0000 0.5500 EXXON 0.4700 0. 3300 0.5500 1.0000 Efficient Frontier Portfolios: P-mean P-std Sharpe ATET COKE DUPONT EXXON 22.80 42.85 0.4387-2.0473 1.5544 0.5379 0.9551 21.80 39.43 0.4513 -1.8040 1.4358 0.4823 0.8859 20.80 36.06 0.4657-1.5608 1.3173 0.4268 0.8167 19.80 32.76 0.4822-1.3175 1.1988 0.3712 0.7475 18.80 29.54 0.5009-1.0742 1.0802 0.3157 0.6783 17.80 26.43 0.5220 -0.8309 0.9617 0.2601 0.6091 16.80 23.48 0.5450 -0.5876 0.8431 0.2046 0.5399 15.80 20.76 0.5683-0.3443 0.7246 0.1490 0.4707 14.80 18.36 0.5879 -0.1011 0.6061 0.0935 0.4015 13.80 16.44 0.5959 0.1422 0.4875 0.0379 0.3323 12.80 15.17 0.5798 0.3855 0.3690 -0.0176 0.2632 11.80 14.72 0.5296 0.6288 0.2504-0.0732 0.1940 (MVP) 13.87 16.57 0.5959 0.1234 0.4967 0.0422 0.3377 (The most efficient)

Explanation / Answer

cov(X,Y) = corr(X,Y) * sd (X) *sd(Y)

say X =AT& T

Y = coke

Cov(AT& T ,coke) = corr(AT& T ,coke) *sd(AT& T) * sd(Coke)

= 0.43 * 16.19*21.03 =146.4045

similarly other can be calculated

following table gives covariance   {A,C D & E are shorcut respectively}

Please rate

A C D E A 262.1161 C 146.4046 442.2609 D 238.6438 217.5343 668.7396 E 168.6221 153.7882 315.1817 491.0656

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