### last assignment!

The last assignment is nominally due in two weeks, but we can talk next week about how I can collect it since Bill's module is running on a different schedule this term.

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I put my version of the MATLAB demonstration of the Michaud re-sampled allocation from the lab this evening in the docs folder for your reference.

The lab project yesterday consisted of -

- deriving an optimal mean-variance portfolio based on historical relative returns data, and
- augmenting the historical data to reflect a prior opinion

The historical data consists of five years of monthly relative returns on eleven sectors versus the Russell 3000 benchmark index.

The prior is to be represented by 12 months of pseudo-observations, with each sector return independent with mean 0% and standard deviation 2% per month.

For next week's lab, please write a script to produce 1,000 versions of the augmented data and the corresponding solutions for the SR (Sharpe Ratio) portfolio with unit expected objective.

Did anyone leave a pair of glasses in a red case in the MFM office? It is on the bookshelf.

The assignment is due at the beginning of the February 20 meeting.

I will be available for office hours on Sunday, February 3, from 7-9PM in the Vincent Hall MFM office. Please contact me for access to the building.