Consider the Data on Investment Made in Four Types of Funds

question 60

Essay

Consider the data on investment made in four types of funds and returns from S&P 500.
a. Develop an optimization model that will give the fraction of the portfolio to invest in each of the funds so that the return of the resulting portfolio matches as closely as possible the return of the S&P 500 Index. (Hint: Minimize the sum of the squared deviations between the portfolio's return and the S&P 500 Index return for each year in the data set.)
b. Solve the model developed in part a.

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Definitions:

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A research approach that involves measuring two variables to identify a relationship between them, without implying causation.

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