Essentials of Business Analytics 1st Edition by Jeffrey Camm,James Cochran,Michael Fry,Jeffrey Ohlmann ,David Anderson

Exercise 17

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 again the Hauck Financial Service data given in Section 10.4.

a. Construct this version of the Markowitz model for a maximum variance of 30.
b. Solve the model developed in part a.