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
Create a function using mat lab to generate a sinusoidal signal. The parameters of the signal should have an Amplitude = 100, frequency = 100Hz, initial phase = 0, sample rate = 50

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 be

Q. Explain Power system toolbox ? Power system toolbox (PST) was developed to enable users to perform power system analysis within MATLAB. PST may be used on any computer syste

Illustration of Function functions: For illustration, to pass the sin function into fplot, one would pass its handle as shown in figure for the result.   >> fplot(@s

Command Window: To the left of the Command Window, there are 2 tabs for the Current Directory Window and Workspace Window. If the Current Directory tab is selected, the files

(a) Using Matlab, find and plot the magnitude of the DTFT of 10 samples of x(n) for n=[0:1:9] of x(n) = cos(2*pi*f1*n) + cos(2*pi*f2*n)  for f1=0.22 and f2=0.24 and pad zeros to ge

Ask question #Mingdfgdfgdfgimum 100 words accepted#

Call to length function: The call to length function consists of the name of the function, followed by an argument in the parentheses. This function takes the argument, and re

Scripts with Input and output: Placing all this together, we can implement the algorithm from the starting of this section. The following script computes and prints the area o

The purpose of this lab is to introduce students to the basic concept of overtones. In order to generate two tones at the same time, you need to generate two waveforms and add them