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A second version of the Markowitz portfolio model maximizes expected return subject to a constraint that the variance of the portfolio must be less than

A second version of the Markowitz portfolio model maximizes expected return subject to a constraint that the variance of the portfolio must be less than or equal to some specified amount. Consider the Hauck Financial Service data.

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Annual Return (%)
Mutual Fund Year 1 Year 2 Year 3 Year 4 Year 5
Foreign Stock 10.06 13.12 13.47 45.42 -21.93
Intermediate-Term Bond 17.64 3.25 7.51 -1.33 7.36
Large-Cap Growth 32.41 18.71 33.28 41.46 -23.26
Large-Cap Value 32.36 20.61 12.93 7.06 -5.37
Small-Cap Growth 33.44 19.40 3.85 58.68 -9.02
Small-Cap Value 24.56 25.32 -6.70 5.43 17.31

(a) Construct this version of the Markowitz model for a maximum variance of 38.
Let:
FS = proportion of portfolio invested in the foreign stock mutual fund
IB = proportion of portfolio invested in the intermediate-term bond fund
LG = proportion of portfolio invested in the large-cap growth fund
LV = proportion of portfolio invested in the large-cap value fund
SG = proportion of portfolio invested in the small-cap growth fund
SV = proportion of portfolio invested in the small-cap value fund
= the expected return of the portfolio
Rs = the return of the portfolio in years
If required, round your answers to two decimal places. For subtractive or negative numbers use a minus sign even if there is a + sign before the blank. (Example: -300) If the constant is "1" it must be entered in the box. If your answer is zero enter 0.
Max
s.t
FS + IB + LG + LV + SG + SV - Select your answer -<>=Item 7 R 1
FS + IB + LG + LV + SG + SV - Select your answer -<>=Item 14 R 2
FS + IB + LG + LV + SG + SV - Select your answer -<>=Item 21 R 3
FS + IB + LG + LV + SG + SV - Select your answer -<>=Item 28 R 4
FS + IB + LG + LV + SG + SV - Select your answer -<>=Item 35 R 5
FS + IB + LG + LV + SG + SV - Select your answer -<>=Item 42
- Select your answer -<>=Item 45
- Select your answer -<>=Item 47
FS, IB, LG, LV, SG, SV - Select your answer -<>=Item 49
(b) Solve the model developed in part (a).
If required, round your answers to two decimal places. If your answer is zero, enter 0.
FS %
IB %
LG %
LV %
SG %
SV %

Portfolio Expected Return = %

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