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What is the correct way to write out the non-linear program for part a?

What is the correct way to write out the non-linear program for part a?

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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What is the correct way to write out the non-linear program for part a? 

Financial planner Minnie Margin has a substantial number of clients who wish to own a mutual fund portfolio that matches, as a whole, the performance of the Russell 2000 index. Her task is to determine what proportion of the portfolio should be invested in each of the five mutual funds listed below so that the portfolio most closely mimics the performance of the Russell 2000 index. Annual Returns International Stock Large-Cap Value Mid-Cap Value Small-Cap Growth Short-Term Bond Russell 2000 Index Year 1 22.37 15.48 17.42 23.18 9.26 20 Year 2 26.73 19.64 20.07 12.36 8.81 22 Year 3 4.86 11.50 -4.97 3.25 6.15 8 Year 4 2.17 -5.25 -1.69 3.81 4.04 2 a) Write out the (non-linear) program that would produce a portfolio that most closely mimics the performance of the Russell 2000 Index. b) Use Excel's Solver with "GRG Non-Linear" as the solution algorithm: what is the optimal solution, i.e., what percentages should be invested in each of the five funds?
Transcribed Image Text:Financial planner Minnie Margin has a substantial number of clients who wish to own a mutual fund portfolio that matches, as a whole, the performance of the Russell 2000 index. Her task is to determine what proportion of the portfolio should be invested in each of the five mutual funds listed below so that the portfolio most closely mimics the performance of the Russell 2000 index. Annual Returns International Stock Large-Cap Value Mid-Cap Value Small-Cap Growth Short-Term Bond Russell 2000 Index Year 1 22.37 15.48 17.42 23.18 9.26 20 Year 2 26.73 19.64 20.07 12.36 8.81 22 Year 3 4.86 11.50 -4.97 3.25 6.15 8 Year 4 2.17 -5.25 -1.69 3.81 4.04 2 a) Write out the (non-linear) program that would produce a portfolio that most closely mimics the performance of the Russell 2000 Index. b) Use Excel's Solver with "GRG Non-Linear" as the solution algorithm: what is the optimal solution, i.e., what percentages should be invested in each of the five funds?
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