- Examine the top 10 holdings of the selected portfolio, and compare them to the top 10 holdings of the minimum mean return portfolio and the maximum mean return portfolio. Are there substantial differences in the holdings of three portfolios? Examine the means and the variances of these stocks. Is there intuitive explanation for why certain stocks are selected in certain portfolios?
- Find the mean-variance efficient portfolios without the short sale constraint, and draw the mean-variance efficient frontier. Compare this to the efficient frontier we obtained above.
- Find the mean-variance efficient portfolios with additional constraint that the portfolio price-to-earnings ratio is 25. Draw the mean-variance efficient frontier. Compare this to the efficient frontiers we obtained above
