1 Mutual Fund Year 1 Year 2 Year 3 Year 4 Year 5 2 Foreign Stock 10.060 13.120 13.470 45.420 -21.930 3 Intermediate-Term Bond 17.640 3.250 7.510 -1.330 7.360 4 Large-Cap Growth 32.410 18.710 33.280 41.460 -23.260 5 Large-Cap Value 32.360 20.610 12.930 7.060 5.370 6 Small-Cap Growth 33.440 19.400 3.850 58.680 -9.020 7 Small-Cap Value 24.560 25.320 -6.700 5.430 17.310 Data File Available: Download HauckData.xisx As discussed in Section 8.3, the Markowitz model uses the variance of the p viations below the mean and is considered by many to be a better measure of risk. (a) Develop a model that minimizes semivariance for the Hauck Financial data given in the file HauckData with a required return of 109%. ( Assume that the five planning scenarios in the Hauck Financial Services model are equally likely to occur. Hint: Modify model (8.10)-(8.19). Define a variable d, for each scenario and let d, 2 R - R, with d, 2 0. Then make the objective function: Min = \\ d 2. 5-1 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 R = the expected return of the portfolio Rs = the return of the portfolio in year s FS + 1B +LG + LV + SG + SV= ERER d, 2 R- d2 2 R - d 2 R d 2 R - d, 2 R- FS, IB, LG, LV, SG, SV 2 (b) Solve the model developed in part (a) with a required expected return of 10%. (Round your answers to three decimal places.) FS = LG = LV = SG SV =