Consider the example in which we use the Frank-Wolfe Algorithm to solve for the portfolio problem where $\theta= 1$.

The initial point x⁰ = (0, 0). What is the constraint and the optimal solution of the optimization problem in Step 3 of the second iteration? (you may refer to the class slide starting with "Step 3 (Repeat)"

1) Constraint: 0101

Optimal solution: =815=815

2) Constraint: 0x210x21

Optimal solution: x² = (16/9, 7/3)

3) Constraint: 0x110x11 , 0x210x21

Optimal solution: x² = (16/9, 7/3)

4) None of the above is correct.