As a financial risk manager (FRM) working for an asset management firm, you are facing the task
of constructing a set of optimal portfolios, which eventually will be proposed to the clients. Ideally,
you should deliver a summary of different strategies stating the risk and return of each. In doing
so, you wanna make sure that each strategy is delivering the best risk-return trade-off.
In technical terms, you are asked to construct a Mean-Variance Efficient Frontier (MVEF) given
the universe of the 12 stocks. To do so, you need to solve the following optimization problem for a given m
Your final goal is to provide a list of (m, p(m)) for a set of m values. After deriving this list, you need to: