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.

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 ". a) Construct this version of the Markowitz model for a maximum variance of 30 . 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 IB LG LV SG 3s=15Rs R s=15(RsR)2 FS,IB,LG,LV,SG,SV (b) Solve the model developed in part (a). If required, round your answers to two decimal places. If your answer is zero, enter " 0 ". Portfolio Expected Return = % \begin{tabular}{|l|r|r|r|r|r|} \hline Mutual Fund & Year 1 & Year 2 & Year 3 & Year 4 & \multicolumn{1}{|c|}{ Year 5 } \\ \hline Foreign Stock & 10.060 & 13.120 & 13.470 & 45.420 & -21.930 \\ \hline Intermediate-Term Bond & 17.640 & 3.250 & 7.510 & -1.330 & 7.360 \\ \hline Large-Cap Growth & 32.410 & 18.710 & 33.280 & 41.460 & -23.260 \\ \hline Large-Cap Value & 32.360 & 20.610 & 12.930 & 7.060 & -5.370 \\ \hline Small-Cap Growth & 33.440 & 19.400 & 3.850 & 58.680 & -9.020 \\ \hline Small-Cap Value & 24.560 & 25.320 & -6.700 & 5.430 & 17.310 \\ \hline \end{tabular} 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 ". a) Construct this version of the Markowitz model for a maximum variance of 30 . 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 IB LG LV SG 3s=15Rs R s=15(RsR)2 FS,IB,LG,LV,SG,SV (b) Solve the model developed in part (a). If required, round your answers to two decimal places. If your answer is zero, enter " 0 ". Portfolio Expected Return = % \begin{tabular}{|l|r|r|r|r|r|} \hline Mutual Fund & Year 1 & Year 2 & Year 3 & Year 4 & \multicolumn{1}{|c|}{ Year 5 } \\ \hline Foreign Stock & 10.060 & 13.120 & 13.470 & 45.420 & -21.930 \\ \hline Intermediate-Term Bond & 17.640 & 3.250 & 7.510 & -1.330 & 7.360 \\ \hline Large-Cap Growth & 32.410 & 18.710 & 33.280 & 41.460 & -23.260 \\ \hline Large-Cap Value & 32.360 & 20.610 & 12.930 & 7.060 & -5.370 \\ \hline Small-Cap Growth & 33.440 & 19.400 & 3.850 & 58.680 & -9.020 \\ \hline Small-Cap Value & 24.560 & 25.320 & -6.700 & 5.430 & 17.310 \\ \hline \end{tabular}