2. (35 points total) -> Use the data in (b), write an AMPL code to find the minimum ADR portfolio in which rp is > delta, where delta is a given lower bound. The values of n, m, R, p and delta should be only specified in the data file. -> Given the return matrix 5.51 4.80 2.56 -1.24 0.61 0.16 R = 5.46 3.60 -1.64 -1.70 -1.30 0.30 and probabilities pi = 0.25 for i = 1, 2, 3, 4, compute the efficient frontier by increasing delta from 0 in increments of 0.2. Increase delta until the LP problem is infeasible. List in a table the pairs (delta, minimum ADR). (This matrix is scaled for convenience, so the actual values should be 0.551, 0.480, etc.) Hint: this can be done very efficiently as follows: . specify "delta" as a parameter: declare it in the model file. . After solving the LP with AMPL, you can reset delta by typing, - let delta := 0.2; # don't forget the colon! - solve; - let delta := 0.4; solve; from the AMPL console command line. This way you do not have to "reset data", etc. -> Write down the optimal investment x when delta is 0, when delta is 1, and when delta is 2. Which investment is more diversified, i.e., which is more evenly spread among the stocks?2. (35 points total) -> Use the data in (b), write an AMPL code to find the minimum ADR portfolio in which rp is > delta, where delta is a given lower bound. The values of n, m, R, p and delta should be only specified in the data file. -> Given the return matrix 5.51 4.80 2.56 -1.24 0.61 0.16 R = 5.46 3.60 -1.64 -1.70 -1.30 0.30 and probabilities pi = 0.25 for i = 1, 2, 3, 4, compute the efficient frontier by increasing delta from 0 in increments of 0.2. Increase delta until the LP problem is infeasible. List in a table the pairs (delta, minimum ADR). (This matrix is scaled for convenience, so the actual values should be 0.551, 0.480, etc.) Hint: this can be done very efficiently as follows: . specify "delta" as a parameter: declare it in the model file. . After solving the LP with AMPL, you can reset delta by typing, - let delta := 0.2; # don't forget the colon! - solve; - let delta := 0.4; solve; from the AMPL console command line. This way you do not have to "reset data", etc. -> Write down the optimal investment x when delta is 0, when delta is 1, and when delta is 2. Which investment is more diversified, i.e., which is more evenly spread among the stocks