Based on this week's readings (from Chapter 12 in the coursetext), address the following scenario and answer the questions:Lymann Brothers has a substantial number of clients who wish to owna mutual fund portfolio that closely matches the performance of theS&P 500 stock index. A manager at Lymann Brothers has selectedfive mutual funds that will be considered for inclusion in theportfolio. The manager must decide what percentage of the portfolioshould be invested in each mutual fund. Annual Returns (PlanningScenarios) Mutual Fund Year 1 Year 2 Year3 Year 4 InternationalStock 25.64 27.62 5.80 −3.13 Large-Cap Blend 15.31 18.77 11.06 4.75Mid-Cap Blend 18.74 18.43 6.28 −1.04 Small-Cap Blend 14.19 12.37−1.92 7.32 Intermediate Bond 7.88 9.45 10.56 3.31 S&P 500 13.0012.00 7.00 2.00 Minimize the variance of the portfolio subject toconstraints on the expected return, assuming that Lymann Brothers'client requires the expected portfolio return to be at least 9percent.
