Using monthly data, construct an efficient frontier using ONLY five different (5) ETFs, for the sample period January 2015 to December 2019 (60 observations). Indicate what the “optimal” asset allocation would be for each of the following two (2) scenarios:
- Average nominal return of 3 percent per annum, and
- Average nominal return of 6 percent per annum.
Show only the summary statistics and the diagram(s). Discuss briefly whether your answers make sense by analyzing the risk/return and correlation characteristics, and whether it would be reasonable to impose constraints (on the weights), based on the set of assets that you have chosen. Finally, compare and discuss the portfolio weights to each asset’s contribution to the risk of the overall portfolio. The assignment should be formatted as a report.
Length: Only (1) page…you can use BOTH the front & back sides (no exceptions), this includes any tables or charts; (so no cover page needed)
Please also hand in the data of ETF that you will use by formatting as EXCEL.
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