## Assignment 6

BUSI 721: Data-Driven Finance I

Rice University

- Compute the historical means and covariance matrix of the S&P 500, Treasuries, and Corporates using Damodoran’s data (see 11-markets_portfolios.ipynb for a url to download the data). Print them and then convert them to numpy arrays before doing the following parts.
- Compute the global minimum variance portfolio.
- Vary the target expected return on a grid from 4% to 12% and compute the minimum risk portfolio, allowing short sales but not using cash. Calculate the mean and standard deviation of each portfolio and plot them.
- Assume the risk-free rate is 3%. What is the tangency portfolio, allowing short sales?