An investor has decided to divide his $1.5 million portfolio among government bonds, interestsensitive stocks, and technology stocks because some of these categories tend to increase return in periods when the others decrease. Specifically, his analysis of recent experience produced the following average returns and covariances among categories:

Bonds interest-

Sensitive Stocks Technology Stocks Mean return 5.81% 10.97% 13.02%

Covariance Bonds 1.09 -1.12 -3.15 Interestsensitive stocks

-1.12 1.52 4.38 Technology stocks

-3.15 4.38 12.95 The investor wants to find the least variance way to divide his portfolio among the three categories while maintaining a 10% average return.

(a) Formulate this portfolio problem as a constrained NLP.

(b) Use class optimization software to start from a feasible solution and compute at least a local optimum.