2. Solving the Markowitz Problem: Take the means above as the expected returns and the estimated covariance matrix above as your best estimate of the covariance between the returns of the six stocks.

(a) Suppose that the target return is 0.8%. What are the portfolio weights for a portfolio with this return and the minimum possible variance?

(b) Repeat for target returns of 0.9%, 1%, 1.1%, all the way to 1.8%. Report a table of portfolio weights, expected returns, and volatilities. Plot a graph of the expected return (y-axis) versus the volatility (x-axis) of the optimal portfolios.

(c) Would an investor who likes higher expected returns and dislikes volatility ever invest in the portfolio constructed in (a)? Why or why not?