= - Problem 10.8 Consider the following problem: Maximize f(w) = autw (1 - awPw subject to : WT1v 1 where a (0,1), p = [ll1, M2, --. , Mon]" is the vector with the expected u ] rates of return of n different assets in a portfolio with weight vector w = (W1, W2, .. , wn] and covariance matrix P = PT > 0. = 2 i) Find the value of w* that maximizes f(w) and show any conditions that need to be satisfied ii) Use the result in part(i) to find the optimum portfolio of 4 stocks with the following characteristics: Mi = 0.08, M12 = 0.10, M3 0.25,114 = 0.05, 0 = 0.04, o2 = 0.06,0} = 0.09, 0} = 0.09,012 = 0.001,013 = 0.008,014 = 0,023 = 0,024 = 0,034 = 0.002. If you have $1 million, how will you set up the portfolio? = = = = = = = = = = - = - Problem 10.8 Consider the following problem: Maximize f(w) = autw (1 - awPw subject to : WT1v 1 where a (0,1), p = [ll1, M2, --. , Mon]" is the vector with the expected u ] rates of return of n different assets in a portfolio with weight vector w = (W1, W2, .. , wn] and covariance matrix P = PT > 0. = 2 i) Find the value of w* that maximizes f(w) and show any conditions that need to be satisfied ii) Use the result in part(i) to find the optimum portfolio of 4 stocks with the following characteristics: Mi = 0.08, M12 = 0.10, M3 0.25,114 = 0.05, 0 = 0.04, o2 = 0.06,0} = 0.09, 0} = 0.09,012 = 0.001,013 = 0.008,014 = 0,023 = 0,024 = 0,034 = 0.002. If you have $1 million, how will you set up the portfolio? = = = = = = = = = =