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.

Click on the datafile logo to reference the data.

Mutual Fund	Year 1	Year 2	Year 3	Year 4	Year 5
Foreign Stock	10.060	13.120	13.470	45.420	-21.930
Intermediate-Term Bond	17.640	3.250	7.510	-1.330	7.360
Large-Cap Growth	32.410	18.710	33.280	41.460	-23.260
Large-Cap Value	32.360	20.610	12.930	7.060	-5.370
Small-Cap Growth	33.440	19.400	3.850	58.680	-9.020
Small-Cap Value	24.560	25.320	-6.700	5.430	17.310

(a)

Construct this version of the Markowitz model for a maximum variance of 30.

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 = %