Portfolio manager Max Gaines needs to develop an investment portfolio for his conservative clients. His task is to determine the proportion of the portfolio to invest in each of the five mutual funds listed below so that the portfolio provides the best return possible with a minimum risk. Formulate the maximum linear program.

Annual Returns (planning scenarios)

Mutual fund	year 1	year 2	year 3	year 4
International stock	22.37	26.73	6.46	-3.19
Large-cap blend	14.88	18.61	10.52	5.25
Mid-cap blend	19.45	18.04	5.91	-1.94
Small-cap blend	13.79	11.33	-2.07	6.85
Intermediate bond	7.29	8.05	9.18	3.92

Answer rating: 100% (QA)

Maximize Z 2237x1 2673x2 646x3 319x4 1488x5 1861x6 1052x7 525x8 1945x... View the full answer