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Tangency two-asset portfolio = Consider two stock VNM and GAS with the monthly mean return...

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Tangency two-asset portfolio = Consider two stock VNM and GAS with the monthly mean return 1 = 0.037961,72 0.01846, the monthly variance o = 0.00559,02 = 0.00941. The covariance of the two assets's return is Cov12 = 0.00135. Assume that the monthly risk-free interest rate is 0.00583 and the short sell is not permitted. a) Transfer the problem of finding a tangency portfolio to a quadratic programming b) Compute the weights of Si and S2 that constitute a tangency portfolio. c) Write a R code to verify the obtained solution. Tangency two-asset portfolio = Consider two stock VNM and GAS with the monthly mean return 1 = 0.037961,72 0.01846, the monthly variance o = 0.00559,02 = 0.00941. The covariance of the two assets's return is Cov12 = 0.00135. Assume that the monthly risk-free interest rate is 0.00583 and the short sell is not permitted. a) Transfer the problem of finding a tangency portfolio to a quadratic programming b) Compute the weights of Si and S2 that constitute a tangency portfolio. c) Write a R code to verify the obtained solution

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