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Consider a portfolio with four stocks Google(GOOG), 3M(MMM), Microsoft (MSFT), and IBM(IBM). We are interested in monthly return (log return between 22 business days) of

Consider a portfolio with four stocks Google(GOOG), 3M(MMM), Microsoft (MSFT), and IBM(IBM). We are interested in monthly return (log 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% = 1bp) per month (22 business days). Find the portfolio weight vector for the tangency portfolio and calculate the Sharpe Ratio of the tangency portfolio.

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