Following the practicum of Section 9.5, you could try the following:

(i) Pick a set of five stocks that you think will show nicely complementary properties for purposes of diversification. Then repeat the procedures of the text; compute the CAPM portfolio and see if the portfolio dominates that of the text, in the sense that it has a higher mean return and a lower variance.

(ii) Now get more ambitious and repeat the text exercise but with all 14 stocks on board. The hardest part—aside from darting back and forth across the spreadsheet—is to assemble the covariance matrix of returns. To speed things up, you might try the implied procedure in Q4 above, and do the whole assemblage in matrix -vector operation.

Has the extra diversification improved the expected return- risk trade off, for either of the portfolios— the Minimum Variance or CAPM?