Below you will find prices for Southwest Airlines (LUV) and Bank of America (BAC) for each month.
Month LUV BAC
1/1/16 $37.05 $13.76
2/1/16 $41.32 $12.19
3/1/16 $44.12 $13.16
4/1/16 $44.02 $41.91
5/1/16 $14.45
6/1/16 $38.69 $12.97
7/1/16 $36.61 $14.21
8/1/16 $36.48 $38.57
9/1/16 $15.42
10/1/16 $39.72 $16.25
11/1/16 $46.23 $20.80
12/1/16 $49.43 $22.83
1/1/17 $51.99 $22.38
Construct portfolios with weights for LUV of 100%, 90%, 80%, 70%, 60%, 50%, 40%, 30%, 20%, 10%, and 0%, with the corresponding weights going to BAC. For example, portfolio 1 has 100% in LUV and 0% in BAC. Portfolio 2 has 90% LUV and 10% BAC.
Of the 11 portfolios you constructed, how many would NOT be on Markowitz's Efficient Frontier? In other words, how many of the portfolios have a sub-optimal risk/return trade-off?