Compute benchmark returns

In this exercise, we will create a benchmark to evaluate the performance of the optimization models in later exercises. An equal weight benchmark is a simple weighting scheme to construct the benchmark portfolio. The intuition of an equal weight approach is that there is no preference for any given asset. We are setting this up to answer the question, "Can optimization outperform a simple weighting scheme to construct a portfolio?"

Load the PortfolioAnalytics package.
Load the edhec dataset.
Assign the edhec dataset to a variable named asset_returns.
Create a vector of equal weights assigned to a variable named equal_weights.
Compute an equal weight benchmark, rebalanced quarterly, of asset_returns.
Plot the benchmark returns.

Exercise

Compute benchmark returns

Instructions