Stout Investments wishes to design a minimum variance portfolio of index funds. The funds selected for consideration and their variance–covariance matrix and average returns are given below: Stout Investments would like to achieve an average weekly return of 0.19%, or roughly a 10% annual return. a. Formulate and solve a Markowitz portfolio optimization model for this situation. b. Suppose the company wants to restrict the percentage of investments in each fund as follows: Bond: between 10% and 50% S&P 500: between 30% and 50% Small cap: no more than 20% Mid cap: no more than 20% Large cap: no more than 20% Emerging market: no more than 10% Commodity: no more than 20% How would the optimal portfolio change? Compare the solutions obtained using the GRG and Evolutionary algorithms provided by Solver.
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