2. (Mean-variance optimization) Pick arbitrarily 9 stocks in the S&P 500 index: https://en.wikipedia.org/wiki/List_of_S%26P_500_companies The 10th asset is the S&P 500 index itself; we use SPY which is a tradable proxy. The requirement is that we have at least 20 years of data for all assets. (Note that some survival bias is present here.) Download 20 years of monthly data. Implement the following two strategies: (i) At each time, use the last 5 years of data (previous 60 data points) to estimate the expected return and covariance matrix (with the simple empirical average). Find the long-only portfolio which minimizes 1 2 w- - . (ii) Use the setting in (i) but compute the long-only minimum variance portfolio. 1 Thus each portfolio begins after observing 5 years of data. (See Section 15.4.3 of the book.) (a) Visualize the value process of both portfolios. (b) Visualize the portfolio weights of both portfolios over time and discuss their sensitiv- ities over time. (c) Compute the time series of drawdown for both portfolios.