On Planet Claire, markets are highly volatile. Here's some recent historical data: Year-Month Hair Products (R)...

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On Planet Claire, markets are highly volatile. Here's some recent historical data: Year-Month Hair Products (R₁) Cosmetics (R₂) Cash (R3) 2007-04 1.0 2007-03 2.0 2007-02 2.0 2007-01 0.5 2.0 2.0 0.5 2.0 1.0 1.0 1.0 1.0 (a) Calculate r₁, 72, 73, and express the linear program to maximize u times the expected return minus the mean absolute deviation. (b) Find the value μM where if μ> μM the optimal solution is to put all the investment into the investment with highest expected return. Hint: The optimal dictionary is worked out in Vanderbei section 13.1.2. You only need to consider the objective function. (c) Find every portfolio on Planet Claire's efficient frontier. On Planet Claire, markets are highly volatile. Here's some recent historical data: Year-Month Hair Products (R₁) Cosmetics (R₂) Cash (R3) 2007-04 1.0 2007-03 2.0 2007-02 2.0 2007-01 0.5 2.0 2.0 0.5 2.0 1.0 1.0 1.0 1.0 (a) Calculate r₁, 72, 73, and express the linear program to maximize u times the expected return minus the mean absolute deviation. (b) Find the value μM where if μ> μM the optimal solution is to put all the investment into the investment with highest expected return. Hint: The optimal dictionary is worked out in Vanderbei section 13.1.2. You only need to consider the objective function. (c) Find every portfolio on Planet Claire's efficient frontier.

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