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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 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 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 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 = %

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