Portfolio selection problem, MATLAB Programming

An individual with $10,000 to invest has identi?ed three mutual funds as attractive opportunities. Over the last ?ve years, dividend payments (in cents per dollar invested) have been as shown in Table 5, and the individual assumes that these payments are indicative of what can be expected in the future. This particular individual has two requirements:

(1) the combined expected yearly return from his/her investments must be no less than $800 (the amount $10,000 would earn at 8 percent interest) and (2) the variance in future, yearly, dividend payments should be as small as possible. How much should this individual invest in each fund to achieve these requirements?

[Hint: Let xi(i =1, 2, 3) designate the amount of funds to be allocated to investment i, and let xik denote the return per dollar invested from investment i during the kth time period in the past (k =1, 2,..., 5). If the past history of payments is indicative of future performance, the expected return per dollar from investment i is

2116_Portfolio Selection Problem..png

(b) Set up a quadratic optimization problem that will determine the best investment mix.

(c) Solve the problem using the MATLAB quadratic optimization routine quadprog. Interpret your results.

Posted Date: 3/9/2013 12:41:28 AM | Location : United States







Related Discussions:- Portfolio selection problem, Assignment Help, Ask Question on Portfolio selection problem, Get Answer, Expert's Help, Portfolio selection problem Discussions

Write discussion on Portfolio selection problem
Your posts are moderated
Related Questions
Illustration of Built-in functions and help: To find out what a specific function does and how to call it, type help and then the name of function. Illustration: >> help si


Size function - Dimensions of matrix: For the matrix mat shown next, it has three rows and two columns, therefore the size is 3 × 2. The length is the larger dimension that is

Need help with creating functions in matlab.

Finite Difference Method for An Elliptic Partial Differential Equation   Problem  Use the finite difference method and MatLab code to solve the 2D steady-state heat equat

Function Name: voteCounter Inputs (1): - (char) filename of votes Outputs (0): - none Function Description: You use the brand new VoteMaster 3000 to tally up votes in the r


what equation equals 36

Your Task: Write an M-function that computes simple returns as formula (1). Use this function to calculate the daily returns for each index. Using MATLAB build-in functions estimat

MATLAB. • MATLAB Programming; • Simulation in MATLAB.