The data in the attached spreadsheet shows the weights of an envelope portfolio where short sales are allowed (one weight is negatve). Use the Excel Solver to maximize theta (the sharpe ratio) with the constraints that the sum of the weights should be one and no short sales (no negative weights), to compute the weights of the envelope portfolio with no short sales allowed. What are the weights of the envelope portfolio with no short sales, given the attached data and above instructions?

a. [0, 0.1254, 0.3890, 0.4534]

b. [0.6543, 0.2654, 0.0236, 0.0567]

c. [0, 0, 0.3000, 0.7000]

d. [0.5856, 0.0965, 0.3179, 0]

	Variance-covariance matrix					Means
	0.10	0.03	-0.08	0.05		8%
	0.03	0.20	0.02	0.03		9%
	-0.08	0.02	0.30	0.20		10%
	0.05	0.03	0.20	0.90		11%
Constant	c	3.0%
Here we start with an arbitrary feasible portfolio and use Solver
x1	0.6219
x2	0.0804
x3	0.3542
x4	-0.0565
Total	1
Portfolio mean	8.62%
Portfolio sigma	19.39%
q = Theta = (mean-constant)/sigma	28.99%