Perlman & Brothers, an investment company, intends to invest a given amount of money in three stocks. From past data, the means and standard deviations of annual returns have been estimated as shown...

Perlman & Brothers, an investment company, intends to invest a given amount of money in three stocks. From past data, the means and standard deviations of annual returns have been estimated as shown in Table 7.7. The correlations among the annual returns on the stocks are listed in Table 7.8. The company wants to find a minimum-variance portfolio that yields an expected annual return of at least 0.12.

Objective To use NLP to find the portfolio of the three stocks that minimizes the risk, measured by portfolio variance, subject to achieving an expected return of at least 0.12.