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)"

A.

Constraint: 01

Optimal solution: =815

B.

Constraint: 021

Optimal solution: x² = (16/9, 7/3)

C.

Constraint: 011 , 021

Optimal solution: x² = (16/9, 7/3)

D.

None of the above is correct.