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All the Fama-French data is downloadable here: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html and in particular, daily RMRF, SMB and HML data can be downloaded here: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/F-F_Research_Data_Factors_daily.zip


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Following @silencer's comment, your formula for variance is wrong. I would suggest that instead of trying to re-invent the wheel, you just use the formula that everyone else uses. So I'd replace your first indented line with $$ w^{*}\equiv argmin\left\{ \frac{1}{2}w'\varSigma w-\lambda\left(w'\mathbf{1}-1\right)\right\} $$ which will give you $$ ...


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The derivation is correct and given the formula you should get $w^{*'} \vec{1} = 1$. My guess is that the inversion of the $\Omega$ matrix is numerically badly conditioned. Instead of implementing the formula as it is, have you tried to calculate $\vec{1}^{'} \Omega^{-1}$ and $e^{'} \Omega^{-1}$ only once and rewrite: $$ w^{*\prime} = \frac{1}{2}\left[ ...



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