Compute and display the portfolio weights for the three efficient frontiers in Figure 6.55. What do you find? Do the results make sense? Use the multivariate returns data of Exercises 8 and 9 or other...

Compute and display the portfolio weights for the three efficient frontiers in

Figure 6.55. What do you find? Do the results make sense?

Use the multivariate returns data of Exercises 8 and 9 or other similarly

interesting multivariate returns data for this problem. For alpha equal to .05,

compute robust, optimistic, and pessimistic CVaR optimal portfolios and

display the results of each along with the classical CVaR optimal portfolio

(also using an alpha value of .05). Discuss how you would use the results to

guide a portfolio selection investment decision. Do likewise for alpha

values of .1, .2, and .5.