A second version of the Markowitz portfolio model maximizes expected return subj

Question

A second version of the Markowitz portfolio model maximizes expected return subject to a constraint that the variance of the portfolio must be less than or equal to some specified amount. Consider the Hauck Financial Service data.

Click on the datafile logo to reference the data.

Portfolio Expected Return =  %

Annual Return (%) Mutual Fund Year 1 Year 2 Year 3 Year 4 Year 5 Foreign Stock 10.06 13.12 13.47 45.42 -21.93 Intermediate-Term Bond 17.64 3.25 7.51 -1.33 7.36 Large-Cap Growth 32.41 18.71 33.28 41.46 -23.26 Large-Cap Value 32.36 20.61 12.93 7.06 -5.37 Small-Cap Growth 33.44 19.4 3.85 58.68 -9.02 Small-Cap Value 24.56 25.32 -6.7 5.43 17.31 DATA file

Explanation / Answer

FS, IB, LG, LV, SG, SV 0

Answer A 10.06FS+17.64IB+32.41LG+32.36LV+33.44SG+24.56SV0 13.12FS+3.25IB+18.71LG+20.61LV+19.40SG+25.32SV0 13.47 FS + 7.51 IB + 33.28 LG + 12.93 LV + 3.85 SG - 6.70 SV 0 45.42FS-1.33IB+41.46LG+7.06LV+58.68SG-6.70SV 0 -21.93FS+7.36IB-23.26LG-5.37LV-9.02SG+17.31SV0 FS+IB+LG+LV+SG+SV=1

FS, IB, LG, LV, SG, SV 0

Answer B The solution obtained is shown. Objective Function Value = 18.499

Related Questions

Navigate

• Browse (All)
• Browse A
• Subjects

---