Exercise

# The MSR portfolio

The maximum Sharpe ratio, or **MSR** portfolio, which lies at the apex of the efficient frontier, can be constructed by looking for the portfolio with the highest Sharpe ratio.

Unfortunately, the MSR portfolio is often quite erratic. Even though the portfolio had a high historical Sharpe ratio, it doesn't guarantee that the portfolio will have a good Sharpe ratio moving forward.

Instructions

**100 XP**

- Sort
`RandomPortfolios`

with the**highest**Sharpe value, ranking in descending order. - Multiply
`MSR_weights_array`

across the rows of`StockReturns`

to get weighted stock returns. - Finally, review the plot of cumulative returns over time.