
MATLAB: An Introduction with Applications
6th Edition
ISBN: 9781119256830
Author: Amos Gilat
Publisher: John Wiley & Sons Inc
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What is the correct way to write out the non-linear program for part a?

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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