Minimze standard deviation of portfolio using Solver - no feasible solution

Hi,

Minimize standard deviation of portfolio with 104 assets - no solution according to Solver

I hope someone can help with this issue.

I have created in Excel a portfolio of 104 stocks where I have computed the historical annual deviation and return for each stock. Also, I have created a separate sheet using the analysis toolpack to create a matrix of each asset's correlation coefficient with one another. On the basis of this, I have created a formula computing the standard deviation of the portfolio depending on the weight of each asset in the portfolio.

When I use Solver to minimize the standard deviation of the portfolio by adjusting the variables concerning the weight of each asset, it says that there is no feasible solution. In any case, there must be a standard deviation that is the minimum?

The cells containing the weights is $J$2:$J$105

The formula I use to calculate the standard deviation of the portfolio is:
=SQRT(MMULT(MMULT(TRANSPOSE(K2:K105),cor_edit!B2:DA105),K2:K105))

Where (K2:K105) is the standard deviation multiplied with the weight. The adjustable variables in Solver is not set to this, but the column with the weights only. 
cor_edit!B2:DA105 is the matrix with the correlation coefficients. 

My constraints are

1)
$J$107 = 1
This cell is the sum of all the weights i.e. 100% must be invested. 
I have tried setting it to the following but with no improvement:
$J$107 <= 1
$J$107 >= 0,9

2)
$J$2:$J$105 <= 0,1
i.e. an asset cannot make up more than 10%.

3)

$J$2:$J$105 >= 0

i.e. an asset cannot have a negative weight.

I have tried using the GRG in Solver with multistart and evolutionary. In evolutionary I have tried (in addition to the default settings) with the following settings:
Convergence: 0,1
Mutation speed: 0,1
Population size: 200

Maximum time: Has been trying with as high as 7200 (two hours).

I have checked the box requiring bounds for variables