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

(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

Ask an Expert

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

Write your message here..

Related Questions

Subpixel boundary., could you help me object could you help me object

Write a script file which will determine the displacement, The mass of the ... The mass of the spring-mass-damper system shown below was initially displaced by 1 meter to the right and then released. The subsequent acceleration of the mass was measured using

Quiz2, 2)''dbcont'' command for debugging is used to Select one: a. Cont... 2)''dbcont'' command for debugging is used to Select one: a. Continue normal code execution from the debug prompt. b. List all breakpoints. c. Execute (step) one or more lines

Compute the result - algorithms, Compute the result: To compute the ar... Compute the result: To compute the area, the formula is required. In this situation, the area of the circle is π multiplied by the radius squared. Therefore, that means the va

Monte carlo simulation, i need help with a monte carlo simulation. I have m... i need help with a monte carlo simulation. I have most of the code, but I can''t get it to plot correctly

Develop matlab monte carlo queuing simulator, Answers should be submitted i... Answers should be submitted in an MS Word document. Simulations should accompany answers in a separate MATLAB file. 1)  Queuing Simulator: Consider a communications router that

Deccendingorder, 256789;267825;625892;982895;598289 256789;267825;625892;982895;598289

Looping statements, Looping Statements: Consider the problem of comput... Looping Statements: Consider the problem of computing the area of a circle with radius of 0.3 centimeters-a MATLAB program certainly is not required to do that; you would use

#titlecoulombs law.., matlab coding matlab coding

Data mining, I need my data mining assignment done. Can you guys help me wi... I need my data mining assignment done. Can you guys help me with that?