Exercise

# Global Minimum Variance Portfolio

The global minimum variance portfolio is the portfolio that provides you with the lowest possible portfolio volatility for a number of underlying assets. To calculate the global minimum variance portfolio for our `returns_df`

data set, you can make use of the R function `globalMin.portfolio()`

.

The `globalMin.portfolio()`

function only needs two inputs:

- The
`er`

argument: the expected returns of the underlying assets (that is`mu_hat_annual`

in this case). - The
`cov.mat`

argument: the covariance matrix of the returns (that is`cov_mat_annual`

in this case).

Both `mu_hat_annual`

and `cov_mat_annual`

were calculated in a previous exercise and are preloaded in your workspace.

Instructions

**100 XP**

- Assign the global minimum variance portfolio to
`global_min_var_portfolio`

and print the result to the console. - Apply the
`summary()`

function to`global_min_var_portfolio`

. Set the`risk.free`

argument to 3% to get the portfolio Sharpe ratio. - Make a plot with the
`plot()`

function that shows the weight of Boeing and Microsoft in global minimum variance portfolio.