Refer to Exercise 7.81.

a. Compute the expected value and variance of the portfolio described next.

Cisco Systems 26.59%

Intel 2.49%

Microsoft 54.74%

Research in Motion 16.19%

b. Can you do better? In other words, can you find a portfolio whose expected value is greater than or equal to 1% and whose variance is less than the one you calculated in part (a)? (Hint: Don’t spend too much time at this. You won’t be able to do better.)

c. If you want to learn how we produced the portfolio above, take a course that teaches linear and nonlinear programming.