Hi,

I would like to maximize the Sharpe ratio (=Historical Return (portfolio)/Standard deviation(portfolio return) ). I have been trying to use "ssc install mvport" but it requires to set minimum returns whereas there is only one unique solution to these type of problems. Is there a way to go around this with mvport or another way in Stata?

Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input double(t ret_portfolio ret_VXX)
 96 .6553403830264137  -.026055776892430247
 97  .615942433885238    .14349995909351226
 98 .6549980760630792  -.040995921871646406
 99  .611331259457566   .053640704267382856
100 .6516463810889485   .018197266869645415
101  .644861822841235   -.05813630041724627
102 .6516117762023534   .022150029533372712
103 .6254649519493242                     0
104 .6443330677719585                     0
105   .66776014102663  -.041823172493498935
106 .6782191499082576   -.04967960799095366
107 .6800066130394212   -.05481516738061238
108 .6623282484514186  -.021233738984473362
109  .638411098072581   .033013205282112795
110 .6873603538582862  -.025566531086577558
111 .6578176494999823   -.00851861316977596
112 .6488450182532621  -.015379328120972646
113 .6643661380843244   -.01666666666666664
114 .6528852243747404  -.005146863075694368
115  .644730548167746   .020872357506020903
116 .6564061832675793    .00218435998252512
117 .6620415941587723   .009328683522231849
118 .6735547117009687  -.025913449080072558
119 .7011827258446057  -.009133634831958864
120 .6463984892326546   .002595310542330466
121 .6460057122087697   .032759082388645916
122 .6473336031088274    .01875540190146933
123 .6810530602788413  -.023415627386103376
124 .6714916375972614   -.01207540613326384
125 .6837540612757514  -.010288427717200156
126 .6663051111530061   -.01759218125277658
127 .6672716321369859  -.028940942389436456
128  .662799254149418  -.024215330166713313
129 .6567089407077172  -.018516750978333472
130 .6530305606897248   .017796362929106274
131 .6271134933172295   .050066883240970854
132 .6316877704734297    .05814376706096452
133 .6385512015566848   -.05047725513801706
134 .5934496817049018    .06239811628328202
135 .6328575631817959   -.05464154803512059
136 .6297901572916506   -.02452660054102794
137 .6363967972137055    -.0207062303568128
138 .6489518937634264    .02010572021899184
139 .6454115594414876    -.0173035995188303
140 .6287686059385796   .002730696798493334
141 .6552305975801749  -.005822142924218146
142 .6636901006777652  .0014168319637290212
143 .6435402777615122  .0010375400867760746
144  .664266026253659  -.009705078677094142
145 .6291283821152882    .02997145575642251
146 .6424204523665015   .006096997690531146
147 .6407467983780517                     0
148 .6242077156926915  -.013772839959599669
149 .6084393371732796   .006144679266362504
150 .6135215705386448   .030535763856759615
151 .6181735391647832   .014815479931758925
152  .628523638184595   -.02689789417802152
153 .6389701304974386   -.02936897617748685
154 .6246221280103584  -.013021077283372371
155 .6405162508574946   -.02723993925588463
156 .6195841798285232  -.021075226851400106
157 .6010876639076472    .03109737865045355
158 .6467047454641123  -.005316578057032355
159  .632989122680923   -.03459669582118564
160 .6591459900556108  -.016206965975437884
161 .6344433934888756  -.002865036324567698
162 .6373608050817517   .004002052334530534
163 .6348437564412239   .009300899427636924
164 .6313039889035046   .003037974683544275
165 .6451635402154641   -.00969207470974249
166 .6320392877516561 -.0014272606789683003
167 .6348730768577456  -.011230219499744854
168 .6322820565282328                     0
169 .6344422121074473 -.0076406814661847695
170 .5921646213488992   .061075850587868116
171 .5995224226215796   .015885467738772214
172 .6159195300382249   .014092664092664171
173 .6271556618370869   .015419760137064578
174 .5245029563050037    .16741657292838394
175 .5656339671818992    .08575558053637379
176 .6561462884539186   -.07572844253808604
177 .5876126212199566   .005920947351576211
178 .6739983882018561   -.06395163856188349
179 .6191174014319663   .011896668932698772
180 .5716538278172333    .07356399059455833
181   .61134307579603  -.016583229036295406
182 .6187314341802082   .008988227807826881
183 .5943708116792095    .03791880173433191
184 .5052477499397975    .07716846422603674
185 .6558237743612695  -.020730503455083895
186  .549002066497686     .0563076036866359
187 .5506910460582927   .008725289706884807
188 .6185435473864563   -.03791052844979041
189 .6349038978514235   -.03167802205520819
190 .6394464247675926   -.03220658639199206
191 .5886391743450335   .007944835856693167
192 .6218321084109512  -.009518143961927433
193 .6426069824082752  -.033858858858858795
194 .7019721200933644   -.06931385500038854
195 .6317173798388191  -.004592134925273417
end
Thanks a lot in advance!