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.

(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
	= the expected return of the portfolio
	Rs = 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.

Mutual Fund Foreign Stock Intermediate-Term Bond Large-Cap Growth Large-Cap Value Small-Cap Growth Small-Cap Value Year 1 10.060 17.640 32.410 32.360 33.440 24.560 Year 2 13.120 3.250 18.710 20.610 19.400 25.320 Year 3 Year 4 13.470 45.420 7.510 -1.330 33.280 41.460 12.930 7.060 3.850 58.680 -6.700 .430 Year 5 -21.930 7.360 -23.260 -5.370 -9.020 17.310 Max R s.t + + + + + SV - Select your answer - + + + + + + + + + + LG + LG + LG + LG + + + sv - Select your answer - SV - Select your answer - SV - Select your answer - SV - Select your answer - sv - Select your answer - + + + + + + + + + + + + SG + + R, - Select your answer - R (R, - R - Select your answer - FS, IB, LG, LV, SG, SV - Select your answer - (b) Solve the model developed in part (a). If required, round your answers to two decimal places. If your answer is zero, enter "o". Portfolio Expected Return = % Mutual Fund Foreign Stock Intermediate-Term Bond Large-Cap Growth Large-Cap Value Small-Cap Growth Small-Cap Value Year 1 10.060 17.640 32.410 32.360 33.440 24.560 Year 2 13.120 3.250 18.710 20.610 19.400 25.320 Year 3 Year 4 13.470 45.420 7.510 -1.330 33.280 41.460 12.930 7.060 3.850 58.680 -6.700 .430 Year 5 -21.930 7.360 -23.260 -5.370 -9.020 17.310 Max R s.t + + + + + SV - Select your answer - + + + + + + + + + + LG + LG + LG + LG + + + sv - Select your answer - SV - Select your answer - SV - Select your answer - SV - Select your answer - sv - Select your answer - + + + + + + + + + + + + SG + + R, - Select your answer - R (R, - R - Select your answer - FS, IB, LG, LV, SG, SV - Select your answer - (b) Solve the model developed in part (a). If required, round your answers to two decimal places. If your answer is zero, enter "o". Portfolio Expected Return = %