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. DATA file Mutual Fund Foreign Stock Annual Return (%) Year 1 Year 2 Year 3 Year 4 Year 5 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 Large-Cap Value Small-Cap Growth Small-Cap Value 32.41 18.71 33.28 41.46 -23.26 32.36 20.61 12.93 7.06 -5.37 33.44 19.40 3.85 58.68 -9.02 24.56 25.32 -6.70 5.43 17.31 (a) Construct this version of the Markowitz model for a maximum variance of 38. Let: FS = IB = proportion of portfolio invested in the foreign stock mutual fund 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 = SV = R Rs proportion of portfolio invested in the small-cap growth fund proportion of portfolio invested in the small-cap value fund = the expected return of the portfolio = 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". 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 R s.t. FS 10.06 + 17.64 + 32.41 + 32.36 + 33.44 + 24.56 = IB LG LV SG SV FS 13.12 13.47 FS 45.42 FS > > + 3.25 + 18.71 + 20.61 IB LG LV + SG 19.40 + 25.32 = SV + 7.51 + 33.28 + 12.93 + 3.85 + -6.7 = IB LG LV SG SV + -1.33 + 41.46 + 7.06 + 58.68 > + 5.43 = IB LG LV SG SV -21.93 + 7.36 + -23.26 + -5.37 FS IB LG LV 6+ SG -9.02 + 55 17.31 = || SV 1 + 1 + 1 + 1 + 1 + 1 FS IB LG LV SG SV 1/5 s=1 Rs = -1 (Rs - R) S 1/5 FS, IB, LG, LV, SG, SV IV > > > R 1 R 2 R 3 R 4 R 5 38 1 0 S