b. Perform a mean-variance optimization using the 9 industry portfolios. In particular, find the portfolios that minimize the variance for the following levels of mean (monthly) return: E[Rp] = 0.00%, 0.50%, 1.00%, 1.50%, and 2.00%. Compute the standard deviation of each of the optimal portfolios. Plot the efficient frontier in a second graph along with the industry portfolios. Why is the frontier to the left of the individual industry portfolios?

b. Perform a mean-variance optimization using the 9 industry portfolios. In particular, find the portfolios that minimize the variance for the following levels of mean (monthly) return: E[Rp]=0.00%,0.50%,1.00%,1.50%, and 2.00%. Compute the standard deviation of each of the optimal portfolios. Plot the efficient frontier in a second graph along with the industry portfolios. Why is the frontier to the left of the individual industry portfolios