Consider a portfolio with four stocks Google(GOOG), 3M(MMM), Microsoft (MSFT), and IBM(IBM). we are interested in a

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Question:

Consider a portfolio with four stocks Google(GOOG), 3M(MMM), Microsoft (MSFT), and IBM(IBM). we are interested in a monthly return (Tog return between 22 business days) of the portfolio elements from 01/01/2010 to 06/30/2020.

1. Find efficient frontier

2. Suppose that risk-free rate of return rf = 0.0001 (.0.01% = 1 bp) per month (22 business days). Find the portfolio weight vector for the tangency portfolio and calculate the Shame Ratio of the tangency portfolio.