Question: 11. In the Markowitz portfolio optimization model defined in equations (8.10) through (8.19), the decision variables represent the percentage of the portfolio invested in each
11. In the Markowitz portfolio optimization model defined in equations (8.10) through (8.19), the decision variables represent the percentage of the portfolio invested in each of the mutual funds. For example, FS 0.25 in the solution means that 25% of the money in the portfolio is invested in the foreign stock mutual fund. It is possible to define the deci- sion variables to represent the actual dollar amount invested in each mutual fund or stock. Redefine the decision variables so that now each variable represents the dollar amourt invested in the mutual fund. Assume an investor has $50,000 to invest and wants to mini- mize the variance of his or her portfolio subject to a constraint that the portfolio returns a minimum of 1 0%. definition of the decision variables. Solve the revised model with LINGO or Reformulate the model given by (8.10) through (8.19) based on the new Excel Solver 11. In the Markowitz portfolio optimization model defined in equations (8.10) through (8.19), the decision variables represent the percentage of the portfolio invested in each of the mutual funds. For example, FS 0.25 in the solution means that 25% of the money in the portfolio is invested in the foreign stock mutual fund. It is possible to define the deci- sion variables to represent the actual dollar amount invested in each mutual fund or stock. Redefine the decision variables so that now each variable represents the dollar amourt invested in the mutual fund. Assume an investor has $50,000 to invest and wants to mini- mize the variance of his or her portfolio subject to a constraint that the portfolio returns a minimum of 1 0%. definition of the decision variables. Solve the revised model with LINGO or Reformulate the model given by (8.10) through (8.19) based on the new Excel Solver
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