Continuing the previous problem, determine the that minimizes the chance that you will lose money during any month, subject to a lower bound constraint on your expected monthly return. (The lower bound will depend on your data. It must not be above the largest average return of your For example, if you require the mean return to be greater than 1% and all average less than1%, the constraint can’t possibly be satisfied.)
Data from Previous Problem:
Visit http://biz.yahoo.com/r/. Under Research Tools, click on Historical Quotes, and then download the monthly returns on at least four for the preceding 60 months. Use this data to determine the that maximizes the chance of beating the S&P 500 for these years.
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