BUS-660 Topic 4: Intege... W Midterm Exam - BUS-66... webassign.net b Answered: The binding c... × W Topic 4 Assignment - BU... how to get more chegg... b My Questions | bartleby + macbook screenshot - G... C Consider the following m... As discussed in Section 8.3, the Markowitz model uses the variance of the portfolio as the measure of risk. However, variance includes deviations both below and above the mean return. Semivariance includes only deviations below the mean and is considered by many to be a better measure of risk. (a) Develop a model that minimizes semivariance for the Hauck Financial data given in the file HauckData with a required return of 10%. Assume that the five planning scenarios in the Hauck Financial Services model are equally likely to occur. Hint: Modify model (8.10)-(8.19). Define a variable d for each 5 - scenario and let d≥ Ŕ – R¸ with d¸ ≥ 0. Then make the objective function: Min 1 5 Σας Let Min s.t. 15 FS = proportion of portfolio invested in the foreign stock mutual fund IB = proportion of portfolio invested in the intermediate-term bond fund LG proportion of portfolio invested in the large-cap growth fund LV = proportion of portfolio invested in the large-cap value fund SG proportion of portfolio invested in the small-cap growth fund SV = proportion of portfolio invested in the small-cap value fund the expected return of the portfolio R RS 5 = the return of the portfolio in years. Σ Wi S=1 2 d. S s = 1 R₁ = × R2= 13.120FS+3.250/B + 18.710LG +20.610LV + 19.400SG + 25.320SV R3= 13.470FS+7.510IB + 33.280LG + 12.930LV + 3.850SG – 6.700SV R4 = R5=-21.930FS+7.360IB - 23.260LG - 5.370LV - 9.020SG + 17.310SV FS + IB + LG + LV + SG + SV = 1 d₁ ≥RR₁ d3 ≥R-R3 R d5 ≥ RR5 R = 10 5 Σ Rs s = 1 = R FS, IB, LG, LV, SG, SV > 0 (b) Solve the model developed in part (a) with a required expected return of 10%. (Round your answers to three decimal places.) FS = IB = LG = 30.3 x × LV = 0 SG = SV = х Objective value х * * * < x View 125% ▼ Zoom Data 田 Add Category Pivot Table Mutual Fund Year 1 Year 2 Year 3 Year 4 Year 5 Foreign Stock 10.060 13.120 13.470 45.420 -21.930 Intermediate-Term Bond 17.640 3.250 7.510 -1.330 7.360 Large-Cap Growth 32.410 18.710 33.280 41.460 -23.260 Large-Cap Value Small-Cap Growth Small-Cap Value 32.360 20.610 12.930 33.440 19.400 3.850 24.560 25.320 -6.700 7.060 -5.370 58.680 -9.020 5.430 17.310 用 A Insert Table Chart Text Shape Media Comment Share Sheet Name Data Background Format Organize Sheet Duplicate Sheet Delete Sheet

BUS-660 Topic 4: Intege... W Midterm Exam - BUS-66... webassign.net b Answered: The binding c... × W Topic 4 Assignment - BU... how to get more chegg... b My Questions | bartleby + macbook screenshot - G... C Consider the following m... As discussed in Section 8.3, the Markowitz model uses the variance of the portfolio as the measure of risk. However, variance includes deviations both below and above the mean return. Semivariance includes only deviations below the mean and is considered by many to be a better measure of risk. (a) Develop a model that minimizes semivariance for the Hauck Financial data given in the file HauckData with a required return of 10%. Assume that the five planning scenarios in the Hauck Financial Services model are equally likely to occur. Hint: Modify model (8.10)-(8.19). Define a variable d for each 5 - scenario and let d≥ Ŕ – R¸ with d¸ ≥ 0. Then make the objective function: Min 1 5 Σας Let Min s.t. 15 FS = proportion of portfolio invested in the foreign stock mutual fund IB = proportion of portfolio invested in the intermediate-term bond fund LG proportion of portfolio invested in the large-cap growth fund LV = proportion of portfolio invested in the large-cap value fund SG proportion of portfolio invested in the small-cap growth fund SV = proportion of portfolio invested in the small-cap value fund the expected return of the portfolio R RS 5 = the return of the portfolio in years. Σ Wi S=1 2 d. S s = 1 R₁ = × R2= 13.120FS+3.250/B + 18.710LG +20.610LV + 19.400SG + 25.320SV R3= 13.470FS+7.510IB + 33.280LG + 12.930LV + 3.850SG – 6.700SV R4 = R5=-21.930FS+7.360IB - 23.260LG - 5.370LV - 9.020SG + 17.310SV FS + IB + LG + LV + SG + SV = 1 d₁ ≥RR₁ d3 ≥R-R3 R d5 ≥ RR5 R = 10 5 Σ Rs s = 1 = R FS, IB, LG, LV, SG, SV > 0 (b) Solve the model developed in part (a) with a required expected return of 10%. (Round your answers to three decimal places.) FS = IB = LG = 30.3 x × LV = 0 SG = SV = х Objective value х * * * < x View 125% ▼ Zoom Data 田 Add Category Pivot Table Mutual Fund Year 1 Year 2 Year 3 Year 4 Year 5 Foreign Stock 10.060 13.120 13.470 45.420 -21.930 Intermediate-Term Bond 17.640 3.250 7.510 -1.330 7.360 Large-Cap Growth 32.410 18.710 33.280 41.460 -23.260 Large-Cap Value Small-Cap Growth Small-Cap Value 32.360 20.610 12.930 33.440 19.400 3.850 24.560 25.320 -6.700 7.060 -5.370 58.680 -9.020 5.430 17.310 用 A Insert Table Chart Text Shape Media Comment Share Sheet Name Data Background Format Organize Sheet Duplicate Sheet Delete Sheet

Practical Management Science

6th Edition

ISBN:9781337406659

Author:WINSTON, Wayne L.

Publisher:WINSTON, Wayne L.

Chapter7: Nonlinear Optimization Models

Section7.4: Advertising Response And Selection Models

Problem 23P

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