17. Portfolio Optimization. Consider the following stock return data:

1 2 3 4 5 6 Stock 1 0.300 0.103 0.216 20.046 20.071 0.056 Stock 2 0.225 0.290 0.216 20.272 0.144 0.107 Stock 3 0.149 0.260 0.419 20.078 0.169 20.035 7 8 9 10 11 12 Stock 1 0.038 0.089 0.090 0.083 0.035 0.176 Stock 2 0.321 0.305 0.195 0.390 20.072 0.715 Stock 3 0.133 0.732 0.021 0.131 0.006 0.908

a. Construct the Markowitz portfolio model using a required expected return of 15%.
Assume that the 12 scenarios are equally likely to occur.

b. Solve the model using Excel Solver.

c. Solve the model for various values of required expected return and plot the efficient frontier.