Using the ETF data from the previous problem:

a. Create a sample variance/covariance matrix using the ETF returns.

Use the matrix algebra functions or the COVARIANCE.S function.

(Hint: The matrix function will be less work.)

b. Using the Solver, find the weights for the minimum variance portfolio.

c. Using the Solver, find the optimal weights for a portfolio with a return of 2.0% per month. Now, create nine additional portfolios with returns between that of the minimum variance and maximum return portfolios.

d. Create a chart of the efficient frontier. Now add a new series that shows the returns and standard deviations of the individual ETFs.

How does the efficient frontier compare to the ETFs?

e. Find the weights for the market portfolio. What is its return and standard deviation?

f. Add the capital market line (CML) to your chart.