Linearity condition not satisfied with Solver when including binary variables

Hi, I'm trying to model a stock selection portfolio using binary variables for the selection of stocks and the variables for weighing the stocks themselves, but Solver refuses to solve my model when i use the simplex method and pops out the error of 'linearity condition by this solver LP is not satisfied'. I tried nonlinear model like GRG but it generated illegal variables like '1' in stock selection but 0% weight.
The linearity report states that the weight variables and the objective function are not linear but I'm not sure how they aren't.

Would much appreciate any help regarding this problem. Attached is my worksheet with the linearity report.