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11. (50 points) In this problem you get to do a full dynamic (2 period) mean-variance maximization problem and see how to rebalance a portfolio over time (end of 2018 and 2018). Assume the risk-less one year T-Bill yield is 3% in both periods. Your desire is to maximize E[r] - .5var(r] each period. There are no limits on short selling or borrowing. You have decided that you will invest in five sectors from prob- lem 8: (Sector 1=Energy), (Sector 2=Financial ), (Sector 3=Industrial), (Sector 4=Utilities), and (Sector 5-Consumer Staples). (a) First estimate the Expected Return, Standard Deviation, and the correlation matrix for these sectors as of the end of 2017 and 2018. (b) Asset Allocation: Find the optimal holdings for each sectors at the start of 2018 and 2019. (c) Does the calculated weight by sector make sense? How does allocation across sectors change over time? Making interesting comments. 11. (50 points) In this problem you get to do a full dynamic (2 period) mean-variance maximization problem and see how to rebalance a portfolio over time (end of 2018 and 2018). Assume the risk-less one year T-Bill yield is 3% in both periods. Your desire is to maximize E[r] - .5var(r] each period. There are no limits on short selling or borrowing. You have decided that you will invest in five sectors from prob- lem 8: (Sector 1=Energy), (Sector 2=Financial ), (Sector 3=Industrial), (Sector 4=Utilities), and (Sector 5-Consumer Staples). (a) First estimate the Expected Return, Standard Deviation, and the correlation matrix for these sectors as of the end of 2017 and 2018. (b) Asset Allocation: Find the optimal holdings for each sectors at the start of 2018 and 2019. (c) Does the calculated weight by sector make sense? How does allocation across sectors change over time? Making interesting comments