Mathematics, 28.11.2019 00:31 marissaimuniz

Pat mccormack, a financial advisor for investors r us, is evaluating two stocks in a particular industry. he wants to maximize the variance of a portfolio consisting of these two stocks, but he wants to have an expected return of at least 9%. after obtaining historical data on the variance and returns, he develops the following nonlinear program:

minimize portfolio variance = 0.16x^2 + 0.2xy + 0.09y^2
subject to:
x + y = 1 (all funds must be invested)
0.11x + 0.08y ≥ 0.09 (return on the investment)
x, y ≥ 0
where
x = proportion of money invested in stock 1
y = proportion of money invested in stock 2
solve using excel and determine how much to invest in each of the two stocks. what is the return on this portfolio? what is the variance in this portfolio?
must show set-up in excel solver.

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Pat mccormack, a financial advisor for investors r us, is evaluating two stocks in a particular indu...

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