An investor is developing a portfolio of stocks. She has identified 3 stocks in which to invest. She wants to earn at least 11% return but with minimum risk. Let: P = proportion of total funds invested in i, i = A, B, C Write the NLP for this problem in proper format. Complete the covariance matrix and calculate portfolio variance. Show all your steps and formulas MIN: Subject to: A B D E 1 2 Annual Return 3 Year B 4 1 10.23% 9.73% 10.83% 12.54% 9.52% 5 2 16.10% 4.07% 6 3 12.14% 11.47% 7 4 9.14% 13.72% 12.93% 8 5 11.16% 8.89% 11.97% 9 6 11.60% 10.72% 10 7 11.06% 12.03% 14.00% 16.28% 12.99% 11 8 12.21% 8.56% 11.09% 8.10% 11.22% 12 9 9.25% 13 10 11.11% 8.06% 14 15 Average F G H 1 J 1 2 Covariance Matrix V V V V V V 3 A B C 4 5 B 6 7 A B 8 9 Total 100.0% Portfolio 63.7 27.2 9.1 10 11 11.00% Expected Return Required Return 12 11.00% 13 14 Portfolio Variance 15 An investor is developing a portfolio of stocks. She has identified 3 stocks in which to invest. She wants to earn at least 11% return but with minimum risk. Let: P = proportion of total funds invested in i, i = A, B, C Write the NLP for this problem in proper format. Complete the covariance matrix and calculate portfolio variance. Show all your steps and formulas MIN: Subject to: A B D E 1 2 Annual Return 3 Year B 4 1 10.23% 9.73% 10.83% 12.54% 9.52% 5 2 16.10% 4.07% 6 3 12.14% 11.47% 7 4 9.14% 13.72% 12.93% 8 5 11.16% 8.89% 11.97% 9 6 11.60% 10.72% 10 7 11.06% 12.03% 14.00% 16.28% 12.99% 11 8 12.21% 8.56% 11.09% 8.10% 11.22% 12 9 9.25% 13 10 11.11% 8.06% 14 15 Average F G H 1 J 1 2 Covariance Matrix V V V V V V 3 A B C 4 5 B 6 7 A B 8 9 Total 100.0% Portfolio 63.7 27.2 9.1 10 11 11.00% Expected Return Required Return 12 11.00% 13 14 Portfolio Variance 15