retdata = read.csv(‘m-fac9003.csv’) rm(list=ls()) retdata = read.csv(‘m-fac9003.csv’) View(retdata) t = dim(retdata)[1] market = retdata[,14] str(retdata) retdata$date riskfree = retdata[,12] retdata1 = retdata[,c(-14, -12)] retdata1 = as.matrix(retdata1) n = dim(retdata1)[2] ones = rep(1,t) X = cbind(ones,market) b_hat = solve(t(X)%%X)%%t(X)%%retdata1 E_hat = retdata1 - X%%b_hat diagD_hat = diag(t(E_hat)%%E_hat)/(t-2) retvar = apply(retdata1,2,var) R_2 = 1 - diag(t(E_hat)%%E_hat)/((t-1)retvar) res_std = sqrt(diagD_hat) cov_factor = var(market)t(b_hat)%%b_hat + diag(diagD_hat) ; sd = sqrt(diag(cov_factor)) ; cor_factor = cov_factor/(sd%%t(sd));

cov_sample = cov(retdata1); cor_sample = cor(retdata1);

one.vec = rep(1,12) a = solve(cov_factor)%%one.vec b = t(one.vec)%%a mvp.w = a/as.numeric(b) mvp.w