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
Constants: The variables are used to store values which can change, or that are not known ahead of the time. Most of languages also have the capacity to store constants that a

Order of precedence: As with the numerical operators, it is significant to know that the operator precedence rules. Table below shows the rules for the operators which  have b

A file houseafford.dat stores on its three lines years, median incomes and median home prices for a city. The dollar amounts are in thousands. For example, it might look like this:

Compare results/performance with tridiagonal Gaussian elimination solver for the problem arising from -y''=f   on (0,1) with y(0)=0=y(1). You may also need to use sparse storage an

This problem is intended to demonstrate some problems that can arise from the finite precision of numerical calculations performed with computers.  We will do this by approximating


Consider the shaft-rotor system shown in Figure. Write down the equations of motion. Taking  I= 1 kgm 2 and k=10 kNm/rad, for two special cases (α =0.5 and α = 1000) find as many

Q. The steady-state circuit i(t) in a series RL circuit due to a periodic sawtooth voltage is given by where θ n = tan -1 (nω 0 L/R).With the parameters V A = 25 V, T 0

Example of variable names: If nothing appears when, who or whose is entered, which means there aren't any variables! For illustration, in the starting of a MATLAB session, the

1. Enter the 3×4 matrix Let a ij denote the entry of A in the ith row and jth column. Use Matlab to compute the following : (a) a 13 + a 32 (b) Three times the