City College is a community college with a $$100$ million endowment. Since its establishment, it has had a fixed investment policy of $55\%$ stocks $($spread $10/15/30$ amongst small, medium, and large$-$cap stock portfolios$),35\%$ bond index fund $($VBMFX$),$ and $10\%$ Equity REITs from $20042020.$

Since the role of the endowment in meeting budget needs has increased dramatically in the past few years, City College decided to review its past performance and future contributions to the institution. The school hired your company to assess its performance and recommend an optimal portfolio mix. In particular, the school feels strongly that $0\mathrm{.}8\%$ per month represents a $$floor$$ below which the portfolio expected return should not drop and wants you to suggest an efficient asset allocation to achieve this goal.

Your manager has decided to assign the task to your team. Please address the following questions. For simplicity, we assume that short sales are allowed $($unless explicitly ruled out$),$ and borrowing at the risk$-$free rate is possible.

Plot the portfolio frontier given the five risky assets the college is investing in $($you may use the solver module in Excel for this purpose and allow for short sales when developing the frontier$).$