Estimate the covariance matrix

Assume that utility functions are of the form: U = E(R) – ½A?2. There are three different types of investors that correspond to the investment options offered by superannuation funds. The Conservative investor has a risk aversion coefficient (A) of 12. The Balanced investor has a risk aversion coefficient of 7 and the High Growth investor has a risk-aversion coefficient of 2. Investors are unable to short-sell the asset classes and are not allowed to borrow or lend at a risk- free rate. They can invest in the Australian Bank Bill Index (CASH), which is a close substitute for the risk-free rate, but it is not a risk-free asset.
The expected return of each asset class is given in the table below (do not estimate them from the historical data). You are required to use all of the historical data provided to estimate the covariance matrix so that you can construct portfolios using the Markowitz approach.

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