金融建模高手进

求第四题红色字的passive portfolio 有什么可以选择？跪求高手指点

You are a fund manager in an asset management company and you have
been tasked with setting up a new actively managed investment portfolio,
called the Platinum Fund. The fund’s investments are to be made in 10
large US stocks, which are listed in the table below together with their ticker
symbols and market capitalisations. The table also reports analyst forecasts
of the future under- or over-performance of the 10 stocks over the
investment horizon, relative to the expected returns that are implied by their
market capitalisations, and the expected return on the S&P 500. You decide
to back test the performance of the active fund portfolio using historical
data, and compare its performance with that of three passive portfolios. The
first is the market capitalisation weighted portfolio of the 10 stocks, the
second is the tangency portfolio, while the third is a passive portfolio of your
choice. The file ‘Group Assignment Data’ contains monthly adjusted close
prices for the 10 stocks and the S&P 500, for the period September 2006 to
September 2014. You should assume that the risk free rate is constant over
the eight-year period at 0.05% per month.

Market  Analyst
Capitalisation  Forecast
Ticker  Name                (USD billions)  (% per month)
                                 30 Sep 2011  30 Sep 2011
MMM  3M                       89.21                 0.00%
T  AT&T                       183.22                  0.00%
CAT  Caterpillar              59.46                -0.10%
UTX  United Technologies  92.78              0.00%
WFC  Wells Fargo           266.66              0.10%
PFE  Pfizer                     182.55             0.00%
KO  Coca-Cola                192.63              0.00%
ORCL  Oracle                170.43             -0.10%
INTC  Intel                   165.71              0.00%
MRK  Merck                   168.64              0.10%

^GSPC  S&P                  500               N/A  0.80%

Task 1: Assume that the current date is 30 September 2011. Estimate the
following portfolios for the 10 stocks:
(a) Portfolio 1: The market capitalisation weighted portfolio;
(b) Portfolio 2: The tangency portfolio;
(c) Portfolio 3: The optimal active portfolio, incorporating the analyst
forecasts of performance;
(d) Portfolio 4: An alternative passive portfolio (i.e. one that assumes that
the market is fully efficient and that the individual stocks are correctly
priced). You should explain the motivation for your choice of portfolio.