# % Given {F XOM INTC} Returns =-0.12 0.39 -0.091 STDs =…

Question % Given {F XOM INTC} Returns =-0.12 0.39 -0.091 STDs =… % Given {F XOM INTC}Returns =-0.12 0.39 -0.091STDs = [sqrt(0,00115) sart(0.0003438) sqrt(0.000314382)1Correlations = [1 0.3931 0.3512; 0.3931 1 0.2554; 0.3512 0.2554 1]%Variance / Covariance Matrixformat shortV = zeros (3)for i=1:3for j = 1:3V(i,j) = Correlations(i,j) *STDs (i)*STDs(j) ;endendV*Make N random portfoliosN = 1000;Weights = rand(N,3)*NormalizeTotal = sum(Weights, 2)Weights = Weights. /Total*Expected Return of PortfoliosPortReturn = Weights*Returns’%Variance of Portfoliosfor i = 1:NPortVar(i) = Weights(i, : )*V”Weights (i,:)’;endPortVar = PortVar”;%Plot Random Portfoliosplot(sqrt(PortVar),PortReturn,’.b’)hold on%Plot Pure Portfoliosplot (STDs, Returns, ‘OR’)Problem 1:  On the above Monte Carlo simulation of 1000 portfolios ,plot the efficient frontier using the KKT conditions (allows shorting).  If there was something wrong with your Monte Carlo simulation on the midterm, fix it.Problem 2: On the same graph, plot the efficient frontier without allowing shorting (you can use fmincon or your favorite convex optimization software).Problem 3: Comment on the results.Image transcription textGiven {F XOM INTC} Returns = [-0. 12 0.39 -0.09] STDs = [sqrt(0.00115) sqrt(0.0003438) sqrt(0.000314382) ]Correlations = [1 0. 3931 0. 3512; 0.3931 1 0.2554; 0.3512 0. 2554 1 “Variance / Covariance Matrix formatshort V = zeros (3) for i=1:3 for j = 1:3 V(i, j) = Correlations(i, j)*STDs(i)*STDs(j); end end Make N ra… Show more… Show more Math Statistics and Probability ELE 8551 Share QuestionEmailCopy link Comments (0)