The spreadsheet Group Report Data.xlsx contains monthly returns on the eleven Australian GICS industry portfolios from January 2018 to March 2024. The industry abbreviations are in the table below.

You need to estimate a number of portfolios for two different investors and discuss the implications for diversification. Key information on portfolio construction is as follows: Investor utility is based on monthly values and is represented by: U = E(R) - A2. There are two investors with different risk aversion coefficients (A). Taylor has a risk aversion coefficient of 5 and Travis has a risk aversion coefficient of 10. The expected returns per month to be used throughout the report are in the following table. Do not use historical average returns as expected returns. The covariance matrix needs to be estimated using all of the historical data provided to construct portfolios for each investor using the Markowitz approach. Both investors are able to short-sell each industry throughout the report (i.e. they can have a negative portfolio weight). Investors are unable to borrow or lend at the risk-free rate except for part 5 of the report. Set the initial weights to be equal weights when conducting your optimisation (i.e. weights = 9.09%).